THE INVESTMENT BEHAVIOUR OF INSTUTIONAL

MARMARA ÜNİVERSİTESİ SOSYAL BİLİMLER ENSTİTÜSÜ İNGİLİZCE İŞLETME ANABİLİM DALI MUHASEBE FİNANSMAN BİLİM DALI THE INVESTMENT BEHAVIOUR OF INSTUTIONAL INVESTORS IN STOCK EXCHANGE MARKETS: EVIDENCE FROM İSTANBUL STOCK EXCHANGE Doktora Tezi MUSTAFA OKUR İstanbul, 2008 MARMARA ÜNİVERSİTESİ SOSYAL BİLİMLER ENSTİTÜSÜ İNGİLİZCE İŞLETME ANABİLİM DALI MUHASEBE FİNANSMAN BİLİM DALI THE INVESTMENT BEHAVIOUR OF INSTUTIONAL INVESTORS IN STOCK EXCHANGE MARKETS: EVIDENCE FROM İSTANBUL STOCK EXCHANGE Doktora Tezi MUSTAFA OKUR Danışman: PROF.DR. A.OSMAN GÜRBÜZ İstanbul, 2008 Failures are stepping stones to success… Thomas A. Edison Abstract Behavioural Finance is a new approach in literature. Main idea is that, investors are not as rational as they are assumed to be. Therefore, financial markets could be better understood by using models which capture the effects of both rational and irrational investors. The critics of Behavioural Finance could be grouped into two main categories; limits of arbitrage and psychological factors. In this thesis, we concentrated on the psychological factors rather than limits of arbitrage. We empirically tested positive feedback trading and herding behaviour among institutional investors in Istanbul Stock Exchange. We used a weekly historical dataset. The high frequency of the data used differentiates the research fromtheotherstudiesintheliterature.Wepresentedevidenceofpositivefeedback tradingandherdingbehaviouramonginstitutionalinvestorsincertainstocks ệzet Davranỗ Finans, finans literatỹrỹnde yeni bir yaklaşımdır. Altında yatan temel düşünce, finans piyasalarındaki yatırımcıların aslında varsayıldığı kadar rasyonel olmadıklarıdır. Dolayısıyla finans piyasaları hem rasyonel hem de irrasyonel yatrmclarn etkilerini dikkate alan modeller yardmyla daha iyi aỗklanabilir. Davranỗ finansn yapt eletiriler iki temel balkta toplanabilir snrlarbitrajvepsikolojikfaktửrler. Bu çalışmada psikolojik faktörlerden ziyade sınırlı arbitraj üzerinde durulmuştur. İstanbul Menkul Kıymetler Borsa’sındaki kurumsal yatırımcıların pozitif tepki stratejileri ve sürü psikolojisi davranışları haftalık veri seti kullanılarak ampirik olarak testedilmitir. Kullanlan yỹksek frekansasahip veri seti ỗalmay dierlerinden ayrmaktadr. Uygulama sonuỗlar belli hisse senetlerinde kurumsal yatrmclararasndapositiftepkistratejisinuygulandvesỹrỹpsikolojisininetkili olduugửsterilmitir Acknowldegements Bu ỗalmay gerỗekletirmemde gửrỹleri ile katkda bulunan bata deerli hocamProf.Dr.A.Osman Gỹrbỹzeveemei geỗendiertỹm hocalarma ayrca maddi ve manevi desteini esirgemeyen eim Behiyeye ve aileme ỗok teekkỹr eder,ỗalmanntỹmilgililereyararlolmasndilerim Tableofcontents TABLEOFCONTENTS I LIST OF FIGURES III LIST OF GRAPHS III LIST OF TABLES IV LIST OF ABBREVIATIONS V I. INTRODUCTION 1 II. FINANCE THEORY IN LITERATURE 3 T HEORETICAL BACKGROUND 3 II.1 MODERN FINANCE, EFFICIENT MARKET HYPOTHESIS, RANDOM WALK HYPOTHESIS, 5 AND EMPIRICAL EVIDENCE 5 II.1.I. Market Efficiency and Security Return Patterns 10 II.1.II. The Empirical Foundations of the EMH 14 II.1.III. Random Walk Hypothesis 17 II.1.IV Challenges to the Efficient Market Hypothesis 18 II.2 BEHAVIOURAL FINANCE T HEORY 22 II.2.I. Behavioural Finance: An Historical Overview 22 II.2.II. Prospect Theory 28 II.2.III. Basic Cognitive Biases 33 II.2.IV. Limits of Arbitrage and Noise Trading 43 II.3 BEHAVIOURAL FINANCE: CONTRIBUTIONS TO MODERN FINANCE T HEORY 48 III. INVESTORS AND TRADING STRATEGIES IN FINANCIAL MARKETS 50 III.1 INDIVIDUAL VS INSTITUTIONAL INVESTORS 50 III.1.I. Individual Investors 50 III.1.II. Institutional Investors 55 III.1.III. The Reasons for Differences in Trading Behaviour Between Institutional 61 and Individual Investors 61 III.2 T RADING IN FINANCIAL MARKETS 64 III.2.I. Fundamental Trading 65 III.2.II. Feedback Trading 66 III.2.III. Basic Factors Contributing to Feedback Trading in Financial Markets 72 IV. FEEDBACK TRADING AND HERDING AMONG INVESTORS 81 IV.1 FEEDBACK TRADING AND INSTITUTIONAL INVESTORS HERDING 81 IV.2 FEEDBACK TRADING AND INDIVIDUAL INVESTORS’ HERDING 90 V. THE MICROSTRUCTURE OF THE TURKISH EQUITIY MARKET 95 V.1 RECENT DEVELOPMENTS IN İSTANBUL STOCK EXCHANGE (ISE) 97 V.2.MAJOR PERFORMANCE INDICATORS OF THE ISE 99 V.3 INSTITUTIONAL INVESTORS IN ISE 105 VI. METHODOLOGY AND EMPIRICAL RESULTS 110 VI.1 DATA DESCRIPTION AND METHODOLOGY 110 VI.2 TESTS OF HERDING AND FEEDBACK T RADING 114 VI.2.I. Herding Measure: The Degree of Relation Between the Institutional Investors’ Trades 114 VI.2.II. Feedback Trading Measure No.1: The Rela tion Between Stock Returns and Institutional Investors’ Trading 117 VI.2.III. Feedback Trading Measure No. 2: The Rela tion Between Stock Returns and Total Institutional Trading 122 VII. CONCLUSION 128 VII. APPENDIX 133 IX. REFERENCES 174 II List of Figures FIGURE 1.HYPOTETICAL VALUE FUNCTION 30 List of Graphs GRAPH 5. 1. ISE 100 INDEX AND TRADING VOLUME IN ISE 101 GRAPH 5. 2.NUMERICAL DISTRIBUTION OF A AND B TYPE MUTUAL FUNDS 106 GRAPH 5. 3. A AND B TYPE MUTUAL FUNDS' PORTFOLIO VALUE IN USD TERMS 107 GRAPH 6. 1. THE PROPORTION OF FIRST 25 INSTITUTIONAL INVESTORS TO TOTAL INSTITUTIONAL INVESTORS IN ISE IN 02.01.2002 . 112 GRAPH 6. 2. THE PROPORTION OF FIRST 25 INSTITUTIONAL INVESTORS TO TOTAL INSTITUTIONAL INVESTORS IN ISE IN 29.12.2006 . 113 GRAPH 6. 3.RELATION BETWEEN THE INSTITUTIONAL INVESTORS’ TRADING IN ISE NATIONAL30 INDEX . 117 GRAPH 6. 4.RELATION BETWEEN STOCK RETURNS AND TOTAL INSTITUTIONAL TRADING IN ISE 30 . 124 GRAPH 6. 5RELATION BETWEEN LAGGED STOCK RETURNS AND TOTAL INSTITUTIONAL TRADING IN ISE 30 124 GRAPH 6. 6. CAUSALITY RELATION BETWEEN STOCK RETURNS AND INSTITUTIONAL TRADING 126 III Campbell, John Y. 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Tiêu đề	The Investment Behaviour Of Institutional Investors In Stock Exchange Markets: Evidence From Istanbul Stock Exchange
Tác giả	Mustafa Okur
Người hướng dẫn	Prof. Dr. A. Osman Gırbız
Trường học	Marmara University
Chuyên ngành	English Business Administration
Thể loại	Thesis
Năm xuất bản	2008
Thành phố	İstanbul

Định dạng
Số trang	203
Dung lượng	1,63 MB