Daily and Intraday Herding within Different Types of Investors in Borsa Istanbul

Dalgic N., Ekinci C. E., Ersan O.

EMERGING MARKETS FINANCE AND TRADE, vol.57, pp.1793-1810, 2021 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 57
  • Publication Date: 2021
  • Doi Number: 10.1080/1540496x.2019.1641082
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit, PAIS International, DIALNET
  • Page Numbers: pp.1793-1810
  • Keywords: behavioral finance, Borsa Istanbul, herding, STOCK MARKETS, BEHAVIOR, IMPACT, INFORMATION, CHINESE
  • Istanbul Technical University Affiliated: Yes


This paper aims to explore the daily and intraday herd behavior of various investor groups trading in an emerging equity market, Borsa Istanbul (BIST). We analyze a one-year tick-by-tick order and trade data of BIST 100 Index stocks and document differences in herding behavior of investor groups considering market capitalization, market conditions, and announcements as well as daily and intraday periodicities. We find that nonprofessional investors (brokerage houses and domestic funds) tend to herd on large (small) stocks; their herding behavior mostly exhibits a U shape (an inverse U shape) during the day. All types of investors tend to herd in down markets on a daily basis while this behavior disappears, even inverts intraday.