Investigating Time Varying Herd Behavior: A Markov Switching Approach

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Mirlohi Seyed Mojtaba; TEHRANI REZA; HOSSEINI BEHESHTIAN SEYED MOHAMMAD

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Journal Paper

Paper Information

Journal: JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH) Year:2019 | Volume:11 | Issue:42 Page(s): 125-142

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Title

Investigating Time Varying Herd Behavior: A Markov Switching Approach

Author(s)

Mirlohi Seyed Mojtaba | TEHRANI REZA | HOSSEINI BEHESHTIAN SEYED MOHAMMAD | Issue Writer Certificate

Keywords

Herd BehaviorQ1

Tehran Stock ExchangeQ2

Markov SwitchingQ1

Abstract

The main objective of this paper is to investigate the Herd Behavior in Tehran Stock Exchange. To this end, the daily data for all stocks in the market in the period between December 2008 and December 2017 has been used. For assessing herding, the nonlinear version of Chang, Cheng and Khorana (2000) model has been estimated using Markov Switching method. For comparison, we first estimated Chang, et. al. (2000) linear model and then estimated the nonlinear version (Time Varying). The results of linear model show no herding in the market, but results of time varying model indicates that in some periods, market has experienced Herd Behavior. Results also show that nonlinear model has much better fit on data and consequently accurate results.

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APA: Copy

Mirlohi, Seyed Mojtaba, TEHRANI, REZA, & HOSSEINI BEHESHTIAN, SEYED MOHAMMAD. (2019). Investigating Time Varying Herd Behavior: A Markov Switching Approach. JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH), 11(42 ), 125-142. SID. https://sid.ir/paper/372224/en

Vancouver: Copy

Mirlohi Seyed Mojtaba, TEHRANI REZA, HOSSEINI BEHESHTIAN SEYED MOHAMMAD. Investigating Time Varying Herd Behavior: A Markov Switching Approach. JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH)[Internet]. 2019;11(42 ):125-142. Available from: https://sid.ir/paper/372224/en

IEEE: Copy

Seyed Mojtaba Mirlohi, REZA TEHRANI, and SEYED MOHAMMAD HOSSEINI BEHESHTIAN, “Investigating Time Varying Herd Behavior: A Markov Switching Approach,” JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH), vol. 11, no. 42 , pp. 125–142, 2019, [Online]. Available: https://sid.ir/paper/372224/en

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