HERDING BEHAVIOR AMONG INSTITUTIONAL INVESTORS IN TEHRAN STOCK EXCHANGE

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KESHAVARZ HADDAD GHOLAMREZA; REZAEI MOHAMMAD

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Journal: Iranian Journal of Economic Research Year:2011 | Volume:15 | Issue:45 Page(s): 103-137

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Information Journal Paper

Title

HERDING BEHAVIOR AMONG INSTITUTIONAL INVESTORS IN TEHRAN STOCK EXCHANGE

Author(s)

KESHAVARZ HADDAD GHOLAMREZA | REZAEI MOHAMMAD | Issue Writer Certificate

Keywords

HERDING BEHAVIORQ3

INSTITUTIONAL INVESTORSQ3

STOCK MARKETQ3

MOMENTUM STRATEGYQ2

Abstract

In this paper following Lakonishok (1992) and Sias (2004), we examine the presence of HERDING BEHAVIOR among active INSTITUTIONAL INVESTORS, test the presence of MOMENTUM STRATEGY (as a determiner of HERDING BEHAVIOR) and the correlation between HERDING BEHAVIOR and weekly, monthly and quarterly stock return, using time series data of (2006 – 2008) in the Tehran Stock Exchange. Our findings confirm the presence of HERDING BEHAVIOR among the INSTITUTIONAL INVESTORS and show that its intensity is higher than the developed countries, but they reject the presence of MOMENTUM STRATEGY and its role as a determiner of HERDING BEHAVIOR. Furthermore, the results show that the HERDING BEHAVIOR of INSTITUTIONAL INVESTORS does not affect the market return and has no correlation with the past and future returns.

Cites

INVESTIGATION OF HERDING BEHAVIOR IN TEHRAN STOCK EXCHANGE

References

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APA: Copy

KESHAVARZ HADDAD, GHOLAMREZA, & REZAEI, MOHAMMAD. (2011). HERDING BEHAVIOR AMONG INSTITUTIONAL INVESTORS IN TEHRAN STOCK EXCHANGE. IRANIAN ECONOMIC RESEARCH, 15(45), 103-137. SID. https://sid.ir/paper/2763/en

Vancouver: Copy

KESHAVARZ HADDAD GHOLAMREZA, REZAEI MOHAMMAD. HERDING BEHAVIOR AMONG INSTITUTIONAL INVESTORS IN TEHRAN STOCK EXCHANGE. IRANIAN ECONOMIC RESEARCH[Internet]. 2011;15(45):103-137. Available from: https://sid.ir/paper/2763/en

IEEE: Copy

GHOLAMREZA KESHAVARZ HADDAD, and MOHAMMAD REZAEI, “HERDING BEHAVIOR AMONG INSTITUTIONAL INVESTORS IN TEHRAN STOCK EXCHANGE,” IRANIAN ECONOMIC RESEARCH, vol. 15, no. 45, pp. 103–137, 2011, [Online]. Available: https://sid.ir/paper/2763/en

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