با همکاری مشترک دانشگاه پیام نور و انجمن اقتصاد دفاع ایران و انجمن اقتصاد انرژی ایران

Document Type : applicative

Author

Associate Professor of the Department of Economics, Naragh Branch, Islamic Azad University, Naragh, Iran

10.30473/jier.2024.70421.1439

Abstract

A B S T R A C T
The existence of uncertain conditions affects the confidence level of investors, which leads to a change in approach from rational to behavioral, judgments based on subjective perceptions, non-scientific information,  rumors, and prevailing market conditions, and it causes blindly following by some market activists, which is called herd behavior.  In the present study, the presence or absence of herding behavior of investors of industrial companies in the Tehran Stock Exchange is investigated. This research based on the data of the Tehran Stock Exchange from July 2018 to July 2021 and by considering various factors such as institutional investment, fundamental factors, and factors with lag as past trends through a regression equation, the presence or absence of herding behavior of investors evaluates. The results showed that there was herding behavior during the study period. However, by adding a) fundamental factors of variables such as P/E ratio, share turnover, capital of market, and market liquidity b) calculation of external factors such as political instability, global financial crisis, and oil price fluctuations, and c) Lagged effects, the intensity of herding behavior with a low change is observed. However, the key and final finding indicates the existence of herding behavior from July 2018 to July 2021, which is exactly consistent with what was formed in the Tehran stock market during this period.  In other words, investors blindly follow the actions of a group of people in the market irrationally and without paying attention to personal information or following scientific principles about a specific investment or decision. The feelings transmitted among people due to emotional behavior of entering the stock market affect their decision or it can be deliberative, conscious, and controlled in which social norms affect their decisions.
 

Keywords

Main Subjects

References
Al-kalbani, N., & Campbell, K. (2017). Tests of the weak form efficiency in the Omani Stock Market. Acuitas– The Journal of Management Research, July, 9(3).1–78.
Almujamed, H. I. (2018). Predictable returns in an emerging stock market: Evidence from Qatar. Cogent Business and Management, 5(1), 1–26.
Alsabban, S., & Alarfaj, O. (2020). An empirical analysis of behavioral finance in the Saudi stock market: Evidence of overconfidence behavior. International Journal of Economics  and Financial Issues, 10(1), 73.
Asiri, B. K., & Abdalla, M. A. (2015). Economic Growth and Stock Market Development in Bharain. Journal of Applied Finance & Banking, 5(2), 67–80.
Asongu, S. A. (2011). Political Crises and Risk of Financial Contagion in Developing Countries: Evidence from Africa. Journal of Economics and International Finance, 3(7), 462- 467. https://doi.org/10.2139/ssrn.2493091.
Balcilar, M., Demirer, R., & Hammoudeh, S. (2017). Investor herds and regime-switching: Evidence from Gulf Arab stock markets. Journal of International Financial Markets, Institutions and Money, 23(2), 295-321.
Bekiros, S., Jlassi, M., Lucey, B., Naoui, K., & Uddin, G. S. (2017). Herding behavior, market sentiment and volatility: Will the bubble resume? North American Journal of Economics and Finance, 42, 107–131. https://doi.org/10.1016/j.najef.2017.07.005.
Cakan, E., Demirer, R., Gupta, R., & Marfatia, H. A. (2018). Oil speculation and herding behavior in emerging stock markets. Journal of Economics and Finance, 43(1), 44–56.
 
 
 
 
 
Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking & Finance, 24, 1651–1679.
Elliott, D. J. (2015). Market Liquidity : A Primer. Economic Studies at Brookings, June, 1–13.https://www.brookings.edu/wp-content/uploads/2016/07/Market-Liquidity.pdf.
Fernández, B., Garcia-Merino, T., Mayoral, R., Santos, V., & Vallelado, E. (2011). Herding, information uncertainty and investors’ cognitive profile. Qualitative Research in Financial Markets, 3(1), 7–33. https://doi.org/10.1108/17554171111124595.
Filip, A., Pochea, M., & Pece, A. (2015). The Herding Behavior of Investors in the CEE Stocks Markets. Procedia Economics and Finance, 32(15), 307–315. https://doi.org/10.1016/s2212- 5671(15)01397-0.
Fulfer, J. D., & Maille, P. J. (2018). Power and Prospect Theory. ResearchGate, January, 1– 14.
Ghaeli, M. R. (2017). Price-to-earnings ratio: A state-of-art review. Accounting, 3(2), 131–136. https://doi.org/10.5267/j.ac.2016.7.002.
Indars, E. R., Savin, A., & Lublóy, Á. (2019). Herding behaviour in an emerging market: Evidence from the Moscow Exchange. Emerging Markets Review, 38, 468-487.
Kahneman, D., & Tversky, A. (1979). Prospect Theory: An Analysis of Decision under Risk. 47(March), 263–291.
Kameda, T., Inukai, K., Wisdom, T., & Toyokawa, W. (2015). The Concept of Herd Behavior:Its Psychological and Neural Underpinnings. Contract Governance, 2009, 61–71.
Khan, B. Y. M. (2014). The Economic Consequences of the Arab Spring.
Komba, G. V. (2016). Essays on investor behavior and corporate governance in sub-Saharan African frontier markets. Idm.
Kumar, A., & Singh, D. (2013). Testing Weak Form Stock Market Efficiency on Muscat
Securities Market: Oman. Skyline Business Journal, 9(1), 9–13.
Laih, Y.-W., & Liau, Y.-S. (2018). Herding Behavior during the Subprime Mortgage Crisis: Evidence from Six Asia-Pacific Stock Markets. International Journal of Economics and Finance, 5(7), 71–84.
Li, W., Rhee, G., & Wang, S. S. (2017). Differences in herding: Individual vs. institutional investors. Pacific Basin Finance Journal, 45(71572191), 174–185
Lindhe, E. (2012). Herd Behavior in Stock Markets.
Department of Economics NEKN05 Master Thesis. August, 1–52.
Mongin, P. (1999). The Handbook of economic methodology. Choice Reviews Online, 36(08),36-4259-36–4259. https://doi.org/10.5860/choice.36-4259.
Oprea, A. (2016). How will they fare on “ Judgment Day”? Reputational Herding in Professional Communities.
Papamikrou, F. (2017). Prospect theory. http://nemertes.lis.upatras.gr/jspui/handle/10889/10668.
Prabhakaran. (2017). Forecasting Stock Price Volatility - An Empirical Study on Muscat Securities Market. International Journal of Applied Sciences and Management, 2(2), 256–268.
Rahman, A., Chowdhury, S., & Sadique, S. (2015). Herding where retail investors dominate trading: The case of Saudi Arabia. The Quarterly Review of Economics and Finance, 57.
Rahman, M. A., Chowdhury, S. S. H., & Shibley Sadique, M. (2015). Herding where retail investors dominate trading: The case of Saudi Arabia. Quarterly Review of Economics and Finance, 57(January), 46–60.
Reuters. (2018). Qatar stock market overtakes Saudi Arabia as best performing Gulf market. The Peninsula Qatar. https://thepeninsulaqatar.com/article/01/08/2018/Qatar-stock-market-overtakes-Saudi-Arabia-as-best-performing-Gulf-market.
Sharif, T., Purohit, H., & Pillai, R. (2015). Analysis of Factors Affecting Share Prices: The Case of Bahrain Stock Exchange. International Journal of Economics and Finance, 7 (3).
Shittu, I., Ahmad, A. C., & Ishak, Z. (2016). Price to Book Value , Price to Sales Multiples and Stock Price; Evidence from Nigerian Listed Firms. Journal of Advanced Research in Business and Management Studies, 3(1), 85–93.
Vo, X. V., & Phan, D. B. A. (2019). Herding and equity market liquidity in emerging market. Evidence from Vietnam. Journal of Behavioral and Experimental Finance, 24, 100189.https://doi.org/10.1016/j.jbef.2019.02.002.
Wolitzky, A. (2015). Critiques of Expected Utility. 1–24.
Wong, T. S. (2019). Characteristics of stocks and individual investor herd behavior: A causal-comparative study. Dissertation Abstracts International Section A: Humanities and Social Sciences, 80(2-A(E)).
Youssef, M., & Mokni, K. (2018). On the effect of herding behavior on dependence structure between stock markets: Evidence from GCC countries. Journal of Behavioral and Experimental Finance, 20, 52-63.
Zheng, D., Li, H., & Zhu, X. (2015). Herding behavior in institutional investors: Evidence from.