Beta Herding in the Covid-19 Era: Evidence from Borsa Istanbul

Article Information
Journal: Business and Economics Research Journal
Title of Article: Beta Herding in the Covid-19 Era: Evidence from Borsa Istanbul
Author(s): Hilal H. Erdogan
Volume: 12
Number: 2
Year: 2021
Page: 359-368
ISSN: 2619-9491
DOI Number: 10.20409/berj.2021.326
Abstract
The study aims to examine beta herding in the Covid-19 era in Borsa Istanbul. Herding was analyzed based on the state-space model utilizing cross-sectional volatility of beta coefficients between January 2010 and November 2020. The results provided evidence of herding in Borsa Istanbul. In case of beta herding, this model provides to detect whether herding is intentional or spurious, as well. Within this context, market volatility, market return, size, and value factors of the Fama-French model were included in the analysis. Accordingly, intentional herding was found in Borsa Istanbul and investors tend to herd more, particularly under the global pandemic of Covid-19.

Keywords: Herd Behavior, Covid-19, Cross-Sectional Volatility, Beta Coefficient, Borsa Istanbul

JEL Classification: G01, G10, G41

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