Are There Behavioral Biases In Turkish Government Bond Market?

Abstract

Bu tez çalışmasında Türk devlet tahvillerinde davranışsal önyargıların olup olmadığı araştırılmıştır. 1 Ocak 2013 ile 31 Aralık 2013 tarihleri arasında borçlanma araçları piyasasında işlem gören kuponsuz ve sabit kuponlu Türk devlet tahvillerinin verileri kullanılmıştır. Veriler devlet tahvillerine ait ağırlıklı ortalama fiyat, kupon oranı, kupon dönemi ve vadeye kalan gün bilgilerini içermektedir. Parametrik bir verim eğrisi yöntemi olan Svensson yöntemi kullanarak 2013 yılına ait verim eğrileri elde edilmiş ve bu verim eğrileri davranışsalsal finans teorisi çerçevesinde yorumlanmıştır. Tezin uygulama kısmına geçmeden önce davranışsal finans teorisi incelenmiştir.

In this thesis, it is aimed to find whether there are behavioral biases in Turkish government bond market. The Turkish government bond data are used in the period from 1 January to 31 December 2013 to estimate the yield curves by using the extended Nelson-Siegel method, which is the Svensson method. Firstly, the conceptual framework of the behavioral finance and the classical finance is mentioned in the thesis. Behavioral factors affecting investors' financial decisions, anomalies occurred in the financial markets and the theoretical reasons for anomalies and mathematical models are then mentioned respectively. What the quantitative finance is and which behavioral biases exist in the Turkish finance market are aimed to be mentioned as well. After giving conceptual and descriptive theory related to behavioral finance, it is aimed to focus on the bond market and the mathematical modeling. Since the main aim of the thesis is to estimate the yield curves of the Turkish government bond market data in the desired period, firstly basic bond market mathematics and mathematical methods related to yield curve modeling are mentioned particularly. Empirical models and parametric models of yield curve estimations are given both theoretically and practically. The Turkish government bond market's properties and statistics are given to make readers be familiar with the market. Outstanding securities traded in Turkey are given and the Turkish government bond market are examined as well. All conceptual theories related to behavioral finance, mathematical models related to yield curve modeling and the Turkish government bond market sections formed a basis of the application part of the thesis. By the light of this basis, the Svensson method is used to estimate yield curves of the Turkish government bond market in the desired period. It is found that important events occurred in the period of the analysis have impact on the decisions of the investors trading on the Turkish government bonds. The yield curves estimated in the desired period of the analysis show that negative and positive news and events have impacts on the traders' short term and medium term decisions in the Turkish government bond market. This situation can be the indicator of existence of the Turkish government bond market traders' myopic approach while trading in the market.