Department of Economics
PhD Theses:



An Analysis of Behavioral Aspects of Economic Agents in Turkey


(Supervisor: Aysu İnsel)


The analysis of behavioral aspects of investors within the market micro structure has attracted much attention in recent years. The studies mainly focus on the stock demand curve and on the abnormalities created in the market mechanism. It is clear that rational agent models lack power to explain the abnormalities and artificial price creation activities in the financial markets. Moreover, game theoretic models those try to explain these situations include informational content on market participants and work under very strict assumptions. As far as our knowledge, there is no model with few simple assumptions that is capable to explain trade based artificial price creation mechanism in stock markets.

In this study, a simple but powerful theoretical model based on the concept of law of small numbers is established. The theoretical model is also proven mathematically and tested empirically on stock market data. In addition, a previous empirical model that was build to capture trade based artificial price creation activities in Turkish stock market is corrected to perform better. Moreover, this model is taken a step further to determine trade based manipulation activities on sessional basis. Lastly, legal issues related to trade based artificial price creation activities are researched.

This study has three main findings. First of all, investors have illusions on sample selection and they tend to derive conclusions from non-representative small samples. This fact plays the main role in artificial price creation process. Secondly, it is probable to capture trade based artificial price creation activities via basic inputs such as price, trading volume and benchmark indices. But, it is more appropriate to use non-parametric methods like Artificial Neural Networks and Support Vector Machines. Thirdly, legal system avoids dealing with capital market crimes. But, it can be made better by means of knowledge transfers from experienced researchers and academicians.