APPRAISING THE HERDING BEHAVIOR ON INSTITUTIONAL INVESTORS WITH CHRISTIE AND HUANG MODEL IN TEHRAN STOCK EXCHANGE

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POURZAMANI ZAHRA

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Journal: INVESTMENT KNOWLEDGE Year:2012 | Volume:1 | Issue:3 Page(s): 147-160

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Title

APPRAISING THE HERDING BEHAVIOR ON INSTITUTIONAL INVESTORS WITH CHRISTIE AND HUANG MODEL IN TEHRAN STOCK EXCHANGE

Author(s)

POURZAMANI ZAHRA | Issue Writer Certificate

Keywords

MARKET RETURNQ2

HERDING BEHAVIORQ2

EQUITY RETURNS DISPERSIONQ2

INSTITUTIONAL INVESTORSQ2

Abstract

In many cases it is observed that share prices in the share market swings are severe, without clear and reliable information concerning them is released in the market. The decision follows the HERDING BEHAVIOR of other investors' decisions are based. This decision caused a rush of investors to buy or sell the share and price volatility that the outcome of the instability and fragility of the market.Paper examines the presence of HERDING BEHAVIOR of investors in Tehran Stock Exchange (TSE). We examine the HERDING BEHAVIOR in TSE with Christie and Huang model. We analyze the behavior of return dispersions during periods of unusually large upward and downward changes in the market index with daily and weekly data on INSTITUTIONAL INVESTORS.Our findings indicate that herding formations do not exist in upward markets, but we find evidence of herding in down markets with daily data. The results suggest that any evidence of HERDING BEHAVIOR does not exist with weekly data that is consistent with the observation by Christie and Huang (1995) that “herd behavior is a very short-lived phenomenon”.

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APA: Copy

POURZAMANI, ZAHRA. (2012). APPRAISING THE HERDING BEHAVIOR ON INSTITUTIONAL INVESTORS WITH CHRISTIE AND HUANG MODEL IN TEHRAN STOCK EXCHANGE. INVESTMENT KNOWLEDGE, 1(3), 147-160. SID. https://sid.ir/paper/188026/en

Vancouver: Copy

POURZAMANI ZAHRA. APPRAISING THE HERDING BEHAVIOR ON INSTITUTIONAL INVESTORS WITH CHRISTIE AND HUANG MODEL IN TEHRAN STOCK EXCHANGE. INVESTMENT KNOWLEDGE[Internet]. 2012;1(3):147-160. Available from: https://sid.ir/paper/188026/en

IEEE: Copy

ZAHRA POURZAMANI, “APPRAISING THE HERDING BEHAVIOR ON INSTITUTIONAL INVESTORS WITH CHRISTIE AND HUANG MODEL IN TEHRAN STOCK EXCHANGE,” INVESTMENT KNOWLEDGE, vol. 1, no. 3, pp. 147–160, 2012, [Online]. Available: https://sid.ir/paper/188026/en

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