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Analysis of Herding in Reits of an Emerging Market: The Case of Turkey

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  • Omokolade Akinsomi
  • Yener Coskun
  • Rangan Gupta
Abstract
In this paper, we examine herding behavior in Turkish REITs (TREITs) by using daily closing prices over the period from 07/1/2007 to 05/30/2016. To the best of our knowledge, we are the first to examine the herding behavior in TREITs by utilizing Chang, Cheng, and Khorana's (2000) methodology. Our results indicate herding behavior, the presence of directional asymmetry, and a linear relation between volatility and herding. The evidence also suggests that herding is a persistent phenomenon and increases during market stress. We also find transition periods in both with/without asymmetry term models. Our findings suggest critical implications for portfolio managers and supervisors dealing with the behavioral aspects of irrationality arising from herding behaviors in emerging stock markets and TREITs.

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  • Omokolade Akinsomi & Yener Coskun & Rangan Gupta, 2018. "Analysis of Herding in Reits of an Emerging Market: The Case of Turkey," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 24(1), pages 65-81, January.
    • Handle: RePEc:taf:repmxx:v:24:y:2018:i:1:p:65-81
    DOI: 10.1080/10835547.2018.12090007
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    1. Chang, Eric C. & Cheng, Joseph W. & Khorana, Ajay, 2000. "An examination of herd behavior in equity markets: An international perspective," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1651-1679, October.
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    19. Mehmet Balcilar & Riza Demirer, 2015. "Effect of Global Shocks and Volatility on Herd Behavior in an Emerging Market: Evidence from Borsa Istanbul," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(1), pages 140-159, January.
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    Cited by:

    1. Esin Cakan & Riza Demirer & Rangan Gupta & Josine Uwilingiye, 2019. "Economic Policy Uncertainty and Herding Behavior Evidence from the South African Housing Market," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(1), pages 88-113, March.
    2. Yener Coskun & Isil Erol & Giacomo Morri, 2021. "Why do Turkish REITs trade at discount to net asset value?," Empirical Economics, Springer, vol. 60(5), pages 2227-2259, May.
    3. Omokolade Akinsomi & Yener Coskun & Rangan Gupta & Chi Keung Marco Lau, 2016. "Impact of Volatility and Equity Market Uncertainty on Herd Behavior: Evidence from UK REITs," Working Papers 201688, University of Pretoria, Department of Economics.
    4. Yener Cos‚kun & A. Sevtap Selcuk-Kestel & Bilgi Yilmaz, 2017. "Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 17(4), pages 199-215, December.

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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