Bddk bankac›l›k ve Finansal Piyasalar Cilt: 2, Say›: 1, 2008

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tahmin edilen regresyon sonuçlar›, aﬂ›r› yüksek ya da düﬂük getiri oranlar›n›n yatay

kesit de¤iﬂkenli¤i azaltmad›¤›, dolay›s›yla do¤rusal modellerin uygulanmas›n›n olas›

sürü etkisinin ortaya ç›karamayabilece¤ini göstermiﬂtir. Bu nedenle bir di¤er yaklaﬂ›-

m›n uygulanmas›yla ‹MKB’de gerek yükseliﬂ yönünde, gerekse düﬂüﬂ yönünde piya-

sa yönünde sürü davran›ﬂ›n›n var oldu¤u, ancak getiri oranlar› ile yatay kesit de¤iﬂ-

kenlik aras›ndaki iliﬂkinin do¤rusal olmad›¤› sonucuna var›lm›ﬂt›r. ‹MKB’de piyasa yö-

nünde sürü davran›ﬂ›n›n geçerli oldu¤una dair elde edilen bu bulgular inceleme kap-

sam›na al›nan Hizmetler, Mali, S›nai ve Yat›r›m Ortakl›l›klar› sektörleri için de geçer-

lidir.

Çal›ﬂma kapsam›ndaki ikinci analiz ise Hwang ve Salmon (2004)’un metodolojisi-

nin uygulanmas› ile yap›lm›ﬂt›r. Sürü davran›ﬂ›n›n belirlenmesi için getiri oranlar›n›n

yatay kesit de¤iﬂkenli¤i yerine varl›k fiyatlar›nda de¤iﬂikli¤e neden olan “temel” ne-

denlerden kaynaklanan birlikte hareket etkisinin d›ﬂlanmas› için beta katsay›lar›n›n

yatay kesit de¤iﬂkenli¤i incelenmiﬂ ve zaman boyunca sürü davran›ﬂ›n›n de¤iﬂimi ana-

liz edilmiﬂtir. Elde edilen bulgular Ocak 2000-ﬁubat 2008 dönemi içinde ‹MKB’de sü-

rü davran›ﬂ›n›n genel bir e¤ilim oldu¤unu, Kas›m 2000 ve ﬁubat 2001 krizlerinin ya-

ﬂand›¤› dönemde sürü ölçüsünün teori ile uyumlu olarak düﬂük seviyelerde oldu¤u

ve dolay›s›yla sürü davran›ﬂ›n›n kuvvetli oldu¤unu, ancak Aral›k 2003-Nisan 2004 ve

May›s-Ekim 2006 dönemlerinde piyasa yönünde sürü davran›ﬂ›n›n var oldu¤unun

%95 güven düzeyinde söylenemeyece¤i yönündedir. Sektörel inceleme sonucunda

ise tüm sektörlerde piyasa yönünde sürü davran›ﬂ›n›n güçlü oldu¤unun söylenebile-

ce¤i sonucuna var›lm›ﬂt›r.

Sermaye piyasalar›ndan beklenen faydalar›n elde edilebilmesi için piyasalar›n etkin

ve yat›r›mc›lar›n rasyonel olmas›, fiyatlar›n geçerli bilgiye dayal› olarak yat›r›mc›lar›n de-

¤erlendirmeleri do¤rultusunda oluﬂarak kaynak da¤›l›m› etkinli¤i vas›tas›yla genel eko-

nomik refaha katk›da bulunmas› gerekmektedir. Oysa sürü davran›ﬂ› ﬂeklinde ortaya

ç›kabilecek etkinsizliklerin varl›¤›, ne tür bir nedenden dolay› ortaya ç›kt›¤›na ba¤l› ola-

rak bir yandan bilgisel d›ﬂsall›¤a neden olurken di¤er yandan da ücret d›ﬂsall›¤›na ne-

den olabilmektedir. Sürü davran›ﬂ›n›n irrasyonel nedenlerden ortaya ç›kmas› da piya-

sa fiyatlar›n›n olmas› gerekenden farkl› gerçekleﬂmesine neden olmakta ve etkinsizli-

¤e yol açmaktad›r. ‹MKB’de sürü davran›ﬂ›n›n varl›¤›na dair bulgulara ulaﬂ›lmas›,

‹MKB’de iﬂlem yapan yat›r›mc›lar›n da kiﬂisel bilgi ve de¤erlendirmelerine dayal› olarak

yat›r›m karar› vermek yerine di¤er yat›r›mc›lar›n yat›r›m kararlar›n› taklit ettikleri, dola-

y›s›yla d›ﬂsall›k ve etkinsizliklere neden olarak piyasan›n olmas› gerekti¤i gibi fiyatlama

ve kaynak da¤›l›m› fonksiyonlar›n› yetine getiremedi¤ini göstermektedir.

53

Sermaye Piyasas›nda Sürü Davran›ﬂ›:

‹MKB’de Piyasa Yönünde Sürü Davran›ﬂ›n›n Analizi

Elde edilen bulgular, gerek geliﬂmiﬂ, gerekse geliﬂmekte olan piyasalarda elde edi-

len bulgularla birlikte de¤erlendirildi¤inde de literatür ile uyumlu sonuçlara ulaﬂ›ld›¤›

söylenebilir. Özellikle Wang ve Canela (2006)’n›n 21 farkl› ülke sermaye piyasas›nda

yapt›¤› çal›ﬂmada ulaﬂ›lan sonuçlar, geliﬂmekte olan piyasalarda sürü davran›ﬂ›n›n ge-

liﬂmiﬂ ülkelere göre daha güçlü oldu¤unu göstermektedir. Bir baﬂka çal›ﬂmada

Hwang ve Salmon (2001a), ABD, ‹ngiltere ve Güney Kore sermaye piyasalar›nda da

sürü davran›ﬂ›n›n geçerli bir olgu oldu¤una dair bulgulara ulaﬂm›ﬂt›r. Tan

et.al.(2008)’›n yapt›klar› çal›ﬂmada Çin Halk Cumhuriyeti sermaye piyasalar›nda da

sürü davran›ﬂ›n varl›¤›na dair sonuçlara ulaﬂ›lmas›, ‹MKB’de elde edilen bulgular›n bir-

çok sermaye piyasas›nda görülen bir olgunun iﬂareti oldu¤u sonucunu desteklemek-

tedir.

54

Erdinç Altay

Sermaye Piyasas›nda Sürü Davran›ﬂ›:

‹MKB’de Piyasa Yönünde Sürü Davran›ﬂ›n›n Analizi

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