Two Essays on Herding

Download

TWO ESSAYS ON HERDING_v14_07022023.pdf

Date

2023-2

Author

Tekel, Onur

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

269
views

209
downloads

This thesis examines the herding behavior within the banking and the mutual fund industries. It highlights the existence of herding, its potential reasons, and its effects on the industry dynamics. A review of the herding behavior literature is provided in the first chapter. In the second chapter, we analyze herding in lending decisions. Using loan data from 30 commercial banks, the presence of herding in cash credit lending decisions is investigated first, followed by the effects of herding on bank performance and loan quality. We further examine whether the worldwide liquidity increase that accompanied credit growth in the 2000s and the regulator's policy responses have an impact on banks' collective lending decisions. We show that herding has a considerable negative impact on bank profitability from 2002Q4 to 2012Q2, and there is insufficient evidence to support a link between loan herding and credit risk. We document that a significant portion of the variance in herding behavior is explained by the increase in global liquidity and corresponding macroprudential policy applications during the 2000s. In the third chapter, we investigate industry herding by mutual funds in Turkey and its effects on industry valuations. Using monthly portfolio holdings of 37 stock-weighted mutual funds traded in BIST, we employ herding measures of Lakonishok et al. (1992, hereafter LSV) and Sias (2004). We find significant industry herding with the LSV measure and no overall industry herding with the Sias measure. We also document that industry herding is not one of the factors that destabilizes industry return.

Subject Keywords

loan herding, mutual fund herding, macroprudential policies, industry values, global liquidity

URI

https://hdl.handle.net/11511/102017

Collections

Graduate School of Social Sciences, Thesis

Suggestions

OpenMETU
Core

The performance evaluation and persistence of a type mutual funds in Turkey Yalçın, Özge; Küçükkaya, Halit Engin; Department of Business Administration (2012) Literature reveals studies on mutual fund performance analysis and persistency, with various results. Some studies support hort term performance persistence, while the rest claiming no such persistency among the portfolios. This thesis is an attempt to analyze the performances of Turkish open-end mutual funds for the period of 2003-2010 and search for persistency by extending the time period to June 2011. For performance evaluation, single factor CAPM and ama-French’s Three Factor Model are applied. Persist...
EXAMINATION OF BOND RISK PREMIA FROM THE BANKING PERSPECTIVE Orhan, Selim; Danışoğlu, Seza; Department of Financial Mathematics (2022-5-10) Banks are considered as the marginal and sophisticated investors of financial markets. This is evident in the Haddad and Sraer (2020) study that examines the US government bond excess returns. This study extends the Haddad/Sraer analysis to the Turkish government bond market. According to the forecasting results, exposure ratio provides explanatory power over bond excess returns, especially for longer maturities. On the other hand, output gap and industrial growth present strong in-sample forecasting power ...
Financial CDS, stock market and interest rates: Which drives which? Hammoudeh, Shawkat; Sarı, Ramazan (2011-12-01) The objective is to examine the short- and long-run dynamics of US financial CDS index spreads at the sector level and explore their relationships with the stock market and the short- and long-run government securities, paying particular attention to the subperiod that begins with the 2007 Great Recession. We use daily time series for the three US five-year CDS index spreads for banking, financial services and insurance sectors, the S&P 500 index, the short- and long-term Treasury securities rates. Employin...
Optimal monetary policy and the timing of asset trade in open economies Senay, Ozge; Sutherland, Alan (2007-05-01) This paper analyses the timing of asset trade and its implications for monetary policy and welfare in open economies. Optimal policy is shown to differ significantly depending on whether asset trade takes place before or after policy decisions are made.
Financial crises and the nature of correlation between commodity and stock markets ÖZTEK, MEHMET FATİH; Öcal, Nadir (2017-03-01) This paper models time-varying correlations between commodity and stock markets to uncover the dynamic nature of correlations during the financialization of commodity markets and in the aftermath of the recent financial crisis. Particularly, we search for upward trends in correlations and investigate the impacts of global and market volatility, and the news from the markets on the time-varying structure of correlations. The focus is on two commodity sub-indices; agricultural commodity and precious metal. Ne...

Citation Formats

O. Tekel, “Two Essays on Herding,” Ph.D. - Doctoral Program, Middle East Technical University, 2023.