Piyasaların Likiditesi Sürü Davranışını Tetikliyor Mu?
Does The Liquidity of Market Lead to Herding?

Summary/Abstract: Purpose – This study purpose to analyze the herd behavior and the relationship between herd behavior and the market liquidity in Borsa Istanbul stock markets. Design/methodology/approach – In this study, Christie ve Huang (1995) model has been tested for four different period by using daily data between 18.01.2005 and 17.04.2018 of stocks traded in Stock Exchange Istanbul and taking into consideration the 2007-2009 global crisis. Findings – As a result of analysis, the herd behavior is not valid in the pre-crisis period in Turkey. However the investors exhibit herd behavior in times of high market liquidity in crisis period and in periods of low market liquidity in the post-crisis period. Investors attempt to comply with the market's co-decision because of the increasing uncertainty in these periods. It has also been found that investors' tendency to show herd behavior is related to market liquidity. Discussions – Since the findings of this paper have not been tested previously for Turkey, the paper would contribute to the existing literature and it will serve as a model for future papers.

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