THE CHARACTERISTICS OF STOCKS ON HERDING BEHAVIOR IN TEHRAN STOCK EXCHANGE CORPORATIONS

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KHODAPARAST SHIRAZI JALIL; SAYRANI MOHAMAD; ABOLFATHI SOMAYEH

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Journal: The Financial Accounting and Auditing Researches Year:2011 | Volume:3 | Issue:11 Page(s): 87-107

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Title

THE CHARACTERISTICS OF STOCKS ON HERDING BEHAVIOR IN TEHRAN STOCK EXCHANGE CORPORATIONS

Author(s)

KHODAPARAST SHIRAZI JALIL | SAYRANI MOHAMAD | ABOLFATHI SOMAYEH | Issue Writer Certificate

Keywords

BEHAVIORAL FINANCEQ2

HERDING BEHAVIORQ2

LSV MODELQ3

Abstract

Policymakers often express concern that BEHAVIORAL FINANCE such as herding by financial market participants destabilizes markets and increases the fragility of the financial system. This paper provides an empirical research on HERDING BEHAVIOR of investors whit employing technique of Lakonishok, Shleifer, and Vishny, 1992, (LSV) herding measure by using a data-set consisting of all their daily transactions of 59 corporations in Tehran stock exchange corporations and during 24 months (from Dec.2007 until Dec.2009), and explores the factors that can explain such behavior. In this study demonstrates that herding is affected by four features specific to the stocks, such as their size, systematic risk, idiosyncratic risk, and P/E. Size, systematic risk and idiosyncratic risk tend to positively affect herding but this effect is significantly higher for size. This context also reveals that P/E influences herding negatively. In general most of the results are consistent with the theory that herding is information based, and also when market conditions are favorable.

Cites

INVESTIGATION OF THE EFFECT OF HERDING BEHAVIOR IN THE FORMATION OF RATIONAL BUBBLES (THE CASE STUDY OF TEHRAN STOCK EXCHANGE DURING 1387-1376)

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APA: Copy

KHODAPARAST SHIRAZI, JALIL, SAYRANI, MOHAMAD, & ABOLFATHI, SOMAYEH. (2011). THE CHARACTERISTICS OF STOCKS ON HERDING BEHAVIOR IN TEHRAN STOCK EXCHANGE CORPORATIONS. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, 3(11), 87-107. SID. https://sid.ir/paper/198293/en

Vancouver: Copy

KHODAPARAST SHIRAZI JALIL, SAYRANI MOHAMAD, ABOLFATHI SOMAYEH. THE CHARACTERISTICS OF STOCKS ON HERDING BEHAVIOR IN TEHRAN STOCK EXCHANGE CORPORATIONS. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES[Internet]. 2011;3(11):87-107. Available from: https://sid.ir/paper/198293/en

IEEE: Copy

JALIL KHODAPARAST SHIRAZI, MOHAMAD SAYRANI, and SOMAYEH ABOLFATHI, “THE CHARACTERISTICS OF STOCKS ON HERDING BEHAVIOR IN TEHRAN STOCK EXCHANGE CORPORATIONS,” THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, vol. 3, no. 11, pp. 87–107, 2011, [Online]. Available: https://sid.ir/paper/198293/en

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