Investigation of Relationship Between Noise Trading and Share Returns In Iran Stock market

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

Abbasi Museloo Khalil; SARANJ ALIREZA; TEHRANI REZA; NADIRI MOHAMMAD

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE Year:2019 | Volume:9 | Issue:1 (25) Page(s): 77-99

Download Full-Text

Persian Verion

View:

324

Download:

Cites:

Information Journal Paper

Title

Investigation of Relationship Between Noise Trading and Share Returns In Iran Stock market

Author(s)

Abbasi Museloo Khalil | SARANJ ALIREZA | TEHRANI REZA | NADIRI MOHAMMAD | Issue Writer Certificate

Keywords

Trading Strategy;Traders BehaviorQ1

Systematic Noise EffectQ1

Noisy StrategyQ1

Abstract

The return volatility in financial markets depends heavily on the nature, behavior and desires of the trader. The aim of this study is to determine the appropriate trading strategy in Iran stock market based on the behavior of noise traders. In order to achieve this research aims, related data to total index and 96 selected companies has been used. The results of daily fluctuation analysis of the total index by using the Chow-analysis multiple variance test (CD) during the five-year period from 2011 to 2016 showed that the common culture of traders on Iranian stock market is noise trading. Statistically significant Behavioral Error (BE) of Iranian stock market traders point out that this market faces the noise trader risk (NTR). So the results of the survey of the effect of noise trader risk (NTR) lagging value on the stocks retune of the selected companies by using a two-variable regression model indicate that: firstly, noise traders have a significant effect on stock returns in this market, and secondly, the Systematic Noise Effect (SNE) overcomes cash noise effect (CNE), That means that noise traders by adopting a Noisy Strategy and expanding their risk exposure on market can earn more than information traders with reverse strategy. The results of this research can help investors to adopt a suitable trading strategy and competent authorities to apply mechanisms to reduce noisy transactions.

Cites

No record.

References

No record.

Cite

APA: Copy

Abbasi Museloo, Khalil, SARANJ, ALIREZA, TEHRANI, REZA, & NADIRI, MOHAMMAD. (2019). Investigation of Relationship Between Noise Trading and Share Returns In Iran Stock market. JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE, 9(1 (25) ), 77-99. SID. https://sid.ir/paper/385076/en

Vancouver: Copy

Abbasi Museloo Khalil, SARANJ ALIREZA, TEHRANI REZA, NADIRI MOHAMMAD. Investigation of Relationship Between Noise Trading and Share Returns In Iran Stock market. JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE[Internet]. 2019;9(1 (25) ):77-99. Available from: https://sid.ir/paper/385076/en

IEEE: Copy

Khalil Abbasi Museloo, ALIREZA SARANJ, REZA TEHRANI, and MOHAMMAD NADIRI, “Investigation of Relationship Between Noise Trading and Share Returns In Iran Stock market,” JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE, vol. 9, no. 1 (25) , pp. 77–99, 2019, [Online]. Available: https://sid.ir/paper/385076/en

Related Journal Papers