نوع مقاله : مقاله علمی پژوهشی
نویسندگان
1 گروه مدیریت و حسابداری، واحد کرج، دانشگاه آزاد اسلامی، کرج، ایران
2 گروه مالی، دانشکده مدیریت و حسابداری، دانشگاه آزاد اسلامی، واحد کرج، البرز، ایران
3 دانش آموخته کارشناسی ارشد مدیریت مالی، دانشگاه آزاد اسلامی، واحد کرج، البرز، ایران
چکیده
کلیدواژه‌ها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
Objective: The main objective of this study is to analyze feedback behaviors in exchange-traded funds (ETFs) on the Tehran Stock Exchange, with emphasis on the impact of price deviations such as premiums and price Discount. This study examines how investors react to deviations in the price of fund units from the net asset value (NAV) and the impact of these deviations on the formation of positive and negative feedback behaviors. This study attempts to demonstrate how price deviations may affect investors’ trading decisions and cause the market to experience price fluctuations. In this regard, this study analyzes how investors react to different price conditions and return fluctuations, and examines their relationship with feedback behavior.
Method: This study is of an applied type and aims to solve practical problems in the capital market that can be effective in the decision-making of investors and financial analysts. In terms of methodology, this research is descriptive-correlational and examines the relationships between the variables. The statistical population of this study includes all stock funds traded on the Tehran Stock Exchange during the period 2014-2024. After selecting 13 funds with superior performance during this period, the daily data were collected. The required information was extracted from the Iranian FIP site, which is a reliable source of Iranian capital market data. The models used in this study are based on the framework of Sentana and Wadhwani’s (1992) model, in which two types of traders, rational speculators and feedback traders, are considered. This model examines the effects of price deviations on investor behavior. In addition, the Liung-Box test (1978) was used to analyze lags in fund returns. In addition, the Chau, Deesomsak, & Lau (2011) model, which is an empirical version of the Santana and Vadwani model, was used to analyze the effect of price premiums and discounts on the feedback trading behavior in ETFs.
Findings: The results show that price deviations have a significant effect on ETF trading behavior. In the case of price Premium, where the price of funds is higher than the NAV, positive feedback behavior is observed. This situation increases investors’ willingness to buy and prices. In other words, when the price of the fund exceeds the NAV, investors are more inclined to buy, and as a result, prices increase. This situation creates arbitrage opportunities and enhances the positive market fluctuations. In contrast, in the case of price Discount, where the price of the fund is lower than the NAV, negative feedback transactions are observed. In this case, investors are more inclined to sell funds and their confidence in the intrinsic value of the funds decreases. This reaction leads to a decrease in prices and an increase in negative fluctuations. Overall, the results indicate a significant effect of price Discount and Premium prices on the intensity of feedback behaviors in the market. In addition, the GARCH model shows that the volatility of fund returns significantly depends on price deviations and market conditions.
Conclusion: This study shows that feedback trading in ETFs is affected by Premium and Discount. Price Premium increases investors' willingness to buy and price Discount increases their willingness to sell. These results indicate the significant role of price deviation from intrinsic value in the formation of investors' feedback behaviors. These findings suggest that investment fund managers adopt strategies to control price deviations and reduce severe market fluctuations. Additionally, the use of risk management mechanisms and increased information transparency can help improve fund performance and strengthen investor confidence.
کلیدواژه‌ها [English]
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