Herd Behavioral in Tehran Stock Exchange Based on Market Microstructure (case study: Mokhaberat Company)

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kobari mojtaba; FADAEINEJAD MOHAMMADESMAEIL; Asadi Gholamhosein; HAMIDIZADEH MOHAMMADREZA

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Journal: FINANCIAL RESEARCH Year:2016 | Volume:18 | Issue:3 Page(s): 519-540

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Title

Herd Behavioral in Tehran Stock Exchange Based on Market Microstructure (case study: Mokhaberat Company)

Author(s)

kobari mojtaba | FADAEINEJAD MOHAMMADESMAEIL | Asadi Gholamhosein | HAMIDIZADEH MOHAMMADREZA | Issue Writer Certificate

Keywords

Herd behavorialQ2

Market MicrostructureQ2

Tranasaction DataQ1

Abstract

The purpose of this study is offering a new model based on microstructure models in order to explain herd behavioral in the capital market of Iran. Using this approach and daily transaction data in one year period (235 trading days) and based on Cipriani & Guarino model, this study has done. This study uses Mokhaberat Company share data as statistic sample. The process of data has done by Matlab. Analyzing data by SPSS showed the evidence of herd behavioral for all trading days in this company. Also herd behavior in sale transactions is more than buying shares. In addition it is observed that herd behavioral is more than any time at the start minutes of transaction beginning.

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APA: Copy

kobari, mojtaba, FADAEINEJAD, MOHAMMADESMAEIL, Asadi, Gholamhosein, & HAMIDIZADEH, MOHAMMADREZA. (2016). Herd Behavioral in Tehran Stock Exchange Based on Market Microstructure (case study: Mokhaberat Company). FINANCIAL RESEARCH, 18(3 ), 519-540. SID. https://sid.ir/paper/91171/en

Vancouver: Copy

kobari mojtaba, FADAEINEJAD MOHAMMADESMAEIL, Asadi Gholamhosein, HAMIDIZADEH MOHAMMADREZA. Herd Behavioral in Tehran Stock Exchange Based on Market Microstructure (case study: Mokhaberat Company). FINANCIAL RESEARCH[Internet]. 2016;18(3 ):519-540. Available from: https://sid.ir/paper/91171/en

IEEE: Copy

mojtaba kobari, MOHAMMADESMAEIL FADAEINEJAD, Gholamhosein Asadi, and MOHAMMADREZA HAMIDIZADEH, “Herd Behavioral in Tehran Stock Exchange Based on Market Microstructure (case study: Mokhaberat Company),” FINANCIAL RESEARCH, vol. 18, no. 3 , pp. 519–540, 2016, [Online]. Available: https://sid.ir/paper/91171/en

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