INVESTORS' OVERREACTION IN IRAN STOCK MARKET TO GLOBAL FINANCIAL CRISIS NEWS

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HEYBATI FARSHAD; ZANDIE VAHID

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2011 | Volume:4 | Issue:9 Page(s): 75-100

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Title

INVESTORS' OVERREACTION IN IRAN STOCK MARKET TO GLOBAL FINANCIAL CRISIS NEWS

Author(s)

HEYBATI FARSHAD | ZANDIE VAHID | Issue Writer Certificate

Keywords

BEHAVIORAL FINANCEQ2

UNCERTAIN INFORMATION HYPOTHESIS (UIH)Q4

OVERREACTION HYPOTHESIS (OH)Q4

GLOBAL FINANCIAL CRISISQ4

Abstract

Over the past three decades, the Efficient Market Hypothesis (EMH) has been the foundation for financial asset pricing, and the leading hypothesis in the finance literature to explain and predict the behavior of investors. There are, however, two extensions to the EMH in the BEHAVIORAL FINANCE literature that investigate investor reaction when security prices do not adjust instantaneously, the Overreaction Hypothesis (OH) of DeBondt and Thaler (1985) and the Uncertain Information Hypothesis (UIH) of Brown, Harlow and Tinic (1988, 1993).In the other side, we know that Iran international trade volume is not expanded and direct taking impression of Iran security market to global financial recessions and expansions is in doubt. Therefore, observed investors' sentiment in Iran stock market to recent GLOBAL FINANCIAL CRISIS news has resulted in doubt on efficiency of this market, regardless of long or short term return for sensitive industries to this crisis. Thus, we felt need to recognize investors' sentiment to achieve BEHAVIORAL FINANCE patterns that would be consistent to Iran stock exchange and can be utilized to behavioral modeling of securities.We determined to evaluate and express behavior of investors in Iran stock market for the period 27 April 2008 to 25 April 2010, based on two hypotheses OH and UIH. Our findings show that shareholders' return is consistent with aforesaid two hypotheses and thereupon increase in market uncertainty in some securities, as well as investors' overreaction in some industries while issuance news of arrival and/or recovery GLOBAL FINANCIAL CRISIS.

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APA: Copy

HEYBATI, FARSHAD, & ZANDIE, VAHID. (2011). INVESTORS' OVERREACTION IN IRAN STOCK MARKET TO GLOBAL FINANCIAL CRISIS NEWS. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 4(9), 75-100. SID. https://sid.ir/paper/200370/en

Vancouver: Copy

HEYBATI FARSHAD, ZANDIE VAHID. INVESTORS' OVERREACTION IN IRAN STOCK MARKET TO GLOBAL FINANCIAL CRISIS NEWS. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2011;4(9):75-100. Available from: https://sid.ir/paper/200370/en

IEEE: Copy

FARSHAD HEYBATI, and VAHID ZANDIE, “INVESTORS' OVERREACTION IN IRAN STOCK MARKET TO GLOBAL FINANCIAL CRISIS NEWS,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 4, no. 9, pp. 75–100, 2011, [Online]. Available: https://sid.ir/paper/200370/en

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