Investigating the effect of investor mass behavior on stock price fluctuations, industry index and stock market index

اقتصاد پولی مالی

Article 8, Volume 31, Issue 27, January 2024, Pages 225-250   

Document Type: Original Article

DOI: 10.22067/mfe.2024.77371.1210

Authors

Habib Ansari Samani^{* 1}; dariush Fareed²; golnazosadat alavi nasab³; farzaneh jandaghi⁴

¹Associate Professor of Economics Yazd University

²yazd university

³yazd uninersity

⁴Ma of Finance, Yazd University

Abstract

In the past two years, the Tehran Stock Exchange has experienced severe fluctuations and a significant decline due to various factors. One of the important factors is the herding behavior of investors, Investors in the Tehran Stock Exchange exhibit emotional and sometimes irrational behaviors towards buying and selling orders as well as market growth and recession, which can lead to herding behavior. Therefore, the aim of this study is to investigate the effect of herding behavior of investors on stock price fluctuations and industry indices. The target population of the study is all active and accepted companies in the Tehran Stock Exchange whose shares have been traded from 2015 to 2021, and a sample of 156 companies has been selected from among 18 industries using systematic elimination method. In order to collect the required financial data and information, reported data from financial statements and audited financial statements of listed companies for a period of 7 years have been used and analyzed. Various statistical tests such as Limmer and Haseman F-test, Breusch-Pagan test, and panel data test have been used for inferential analysis of variables, and the results have been estimated using time series regression models and panel data, indicating that the herding behavior of investors has a significant impact on stock price fluctuations and industry indices. Additionally, these emotional behaviors and decision-making of investors can lead to increased volatility of returns and market instability.

Keywords

Herding Behavior; Stock Price; Industry Index; Market Index

References