شواهد اخیر از رفتار سرمایه‏گذاران در بورس اوراق بهادار تهران: شواهد اولیه و بینش آینده

نوع مقاله : مقاله علمی پژوهشی

نویسندگان

1 پروفسور گروه مالی، دانشگاه لویولای شیکاگو، شیکاگو، ایالات متحدۀ آمریکا

2 دانشجوی دکتری مدیریت مالی، دانشگاه آزاد اسلامی واحد تهران شمال، تهران، ایران

3 دانشجوی دکترای مدیریت مالی

چکیده

در این مطالعه شواهد مقدماتی از تمرکز بر رفتار سرمایه‏گذاران در بورس اوراق بهادار تهران (TSE) در قالب برنامۀ جامع مطالعاتی در سال 1393 فراهم شده است. با استفاده از نوعی روش مبتنی بر نظرسنجی، 561 نفر از سرمایه‏گذاران بورس اوراق بهادار تهران به نمایندگی از سرمایه‏گذاران فردی؛ کارشناسان صندوق‏های مشترک سرمایه‏گذاری؛ کارشناسان مؤسسه‎های تأمین سرمایه؛ کارشناسان و متخصصان مؤسسه‎های سرمایه‏گذاری و کارگزاران بورس اوراق بهادار به‌طور تصادفی برای پاسخ به مجموعه‏ای از سؤالات رفتاری و اقتصادی توصیه‌شده در تحقیقات قبلی در زمینۀ امور مالی رفتاری انتخاب شدند. بارهای عاملی از داده‏های جمع‏آوری‎شده آشکار می‎کند که هر دو گروه از متغیرهای رفتاری و اقتصادی در تصمیمات سرمایه‏گذاران در بورس اوراق بهادار تهران مؤثر‌ند. در آینده دیدگاه نظری و اقتصادسنجی جدیدی به‎اشتراک گذاشته می‏شود که در حال حاضر در دست اصلاح شواهد مقدماتی با استفاده از تجزیه و تحلیل نمونه بر‌اساس نوع سرمایه‏گذاران (سرمایه‏گذاران فردی در مقابل سرمایه‏گذاران نهادی) است که این عمل با استفاده از مدل معادلات ساختاری برای تست آماری متغیرهای ارائه‌شده و تفاوت‏های آن‎ها در سراسر نمونه انجام خواهد شد

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Recent Evidence on Investors’ Behavior in the Tehran Stock Exchange: Preliminary Evidence and Future Insights

نویسندگان [English]

  • Abol Jalilvand 1
  • Mojtaba Rostami Noroozabad 2
  • Saman Rahmani 3
1 Professor of Finance and Ralph Marotta Chair in Free Enterprise, Quinlan School of Business, Loyola University Chicago, Chicago, USA.
2 Islamic Azad University North Tehran Branch
3
چکیده [English]

In this study, provided preliminary evidence on a comprehensive program of study focusing on investors’ behavior in the Tehran Stock Exchange (TSE) in 2014. Using a survey-based methodology, 561 investors from the TSE representing individual investors, mutual fund experts, funding institutions experts, institutional investors, and stock brokers have been randomly selected to respond to a set of behavioral and economic questions recommended by the previous research in the field of behavioral finance. Factor loading from the collected data reveal that both behavioral and economic variables appear to influence investors’ decisions in the TSE. In the further to be shared new theoretical and econometric insights that is currently being amended preliminary evidence including dis-aggregating the sample by investors’ type (individual vs. institutional investors) as well as using structural equation modeling to test the statistical significance of the proposed variables and their differences across samples.

کلیدواژه‌ها [English]

  • Stock exchange
  • Investment
  • Behavioral Factors
  • Rational Factors
Alderman, H. & King, E. M. (1998). Gender differences in parental investment in education. Structural Change and Economic Dynamics, 9 (4): 453-468.
Alipour, M. (2012). Exploring the Impact of Service Marketing to Increase Investment in Financial Market of Iran (With Reference to Tehran Stock Exchange). Procedia - Social and Behavioral Sciences, 62: 1169 – 1173.
Ashkanasy, N. M., Hartel, C. E. J. & Daus, C. S. (2002). Diversity and emotion: the new frontiers in organizational Behavior Research. Journal of management, 28(3): 307-338.
Aspara, J. (2009a). Aesthetics of stock investments. Consumption Markets & Culture, 12(2): 99-131.
Aspara, J. & Tikkanen, H. (2008). Interactions of individuals’ company-related attitudes and their buying of the companies’ stocks and products. Journal of Behavioral Finance, 9 (2): 85-94.
Aspara, J. & Tikkanen, H. )2010). Consumers’ stock preferences beyond expected financial returns the influence of product and brand evaluations. International Journal of Bank Marketing, 28 (3): 193-221.
Aspara, J. & Tikkanen, H. )2011). Corporate marketing in the stock market the impact of company identification on individuals’ investment behavior. European Journal of Marketing, 45(9/10): 1446-1469.
Aspara, J., Nyman, H. & Tikkanen, H. (2009b). The interrelationship of stock ownership and customer relationship volume: case of a Nordic retail bank. Journal of Financial Services Marketing, 14(3): 203-217.
Baker, H.K. & Haslem, A. (1974). Toward the Development of Client-Specified Valuation Models. Journal of Finance, 29(4): 1255-1263.
Bali, T.G., Demirtas, K. O., Levy, H. & Wolf, A. (2009). Bonds versusstocks: Investors’ageandrisktaking. Journal of Monetary Economics, 56(6): 817–830.
Barber, B. & Odean, T. (2001). Boys Will Be Boys: Gender, Overconfidence, and Common Stock Investment. Quarterly Journal of Economics, 116 (1):  261-292.
Barone, E. (1990). The Italian stock market efficiency and calendar anomalies. Journal of Banking and Finance, 14(2-3): 483-510.
Beal, D., Goyen, M. & Phillips, P. (2005). Why do we invest ethically? Journal of Investing, 14(3): 66-77.
Beaver, W.H. (1968). The Information Content of Annual Earnings Announcements. Journal of Accounting Research Supplement, 6: 67-92.
Berachaa, E., Fedenia, M. & Skiba, H. (2014). Culture's impact on institutional investors' trading frequency. International Review of Financial Analysis, 31: 34-47.
Blackwell, A.F., Rode, J. A. & Toye, E. F. (2009). How do we program the home? Gender, attention investment, and the psychology of programming at home. International Journal of Human-Computer Studies, 67(4): 324-341.
Bogan, V.L., Just, D. R. & Dev, C.S. (2013). Team gender diversity and investment decision-making behavior. Review of Behavioral Finance, 5(2): 134-152.
Bolhuis, M. (2005). Reading between the Lines of Investor Biases. Journal of Financial Planning, 18(1): 62-70.
Brady, M.K., Bourdeau, B.L. & Julia H. (2005). The importance of brand cues in intangible service industries: an application to investment services. Journal of Services Marketing, 19(6): 401 – 410.
Brockman, P., Howe, J. S. & Mortal, S. (2008). Stock market liquidity and the decision to repurchase. Journal of Corporate Finance, 14(4): 446-459.
Brundin, E. & Veronika, G. (2013). Entrepreneur’s decision making under different levels of uncertainty: The role of emotions. International Journal of Entrepreneurial Behaviour & Research, 19(6): 568 – 591.
Brusa, J., Liu, P. & Schulman, C. (2003). The ‘‘reverse’’ weekend effect: the U.S. market versus international markets. International Review of Financial Analysis, 12(3): 267–286.
Buchana, N.R., Crosonb, R. T.A. & Solnickc, S. (2008). Trust and gender: An examination of behavior and beliefs in the Investment Game. Journal of Economic Behavior & Organization, 68(3-4): 466-476.
Byrne, K. (2005). How do consumers evaluate risk in financial products? Journal of Financial Services Marketing, 10(1): 21-36.
Carducci, B. J. & Wong, A. S. (1998). Type A and risk taking in everyday money matters. Journal of Business and Psychology, 12(3): 355-359.
Chen, G., Kwok, K. & Oliver, M. (2001). The day- of- week regularity in the stock markets of china. Journal of multinational financial management, 11(2): 139-163.
Chow, E. Hsiao, P. & Solt, M. (2001). Trading returns for the weekend effect using intraday data. Journal of business finance and Accounting, 24(3): 425-445.
Clark-Murphy, M. & Soutar, G.N. (2004). What individual investors value: some Australian evidence. Journal of Economic Psychology, 25(4): 539-555.
Connolly, R. A. (1991). A posterior odds analysis of the weekend effect. Journal of Econometrics, 49(1–2): 51–104.
Dahlquist, M., Pinkowitz, L., Stulz, R. M. & Williamson, R. (2003). Corporate governance and the home bias. Journal of Financial and Quantitative Analysis, 38(1): 87−110.
Dawson, J. W. (2006). Regulation, investment, and growth across Countries. Cato Journal, 26(3): 489- 509.
Demers, E. & Lewelle, K. (2003). The marketing role of IPOs: evidence from internet stocks. Journal of Financial Economics, 68(3): 413-437.
Dufwenberg, M. (2002). Marital investments, time consistency and emotions. Journal of Economic Behavior & Organization, 48(1): 57-69.
Fama, E.F. & French, K. R. (2006). Profitability, investment and average returns. Journal of Financial Economics, 82(3): 491-518.
Fama, E.F. & French, K.R. (2007). Disagreement, tastes, and asset prices. Journal of Financial Economics, 83(3): 667-689.
Farlin, J.D. (2006). Antecedents and Consequences of Heuristic Biases: Evidence from Individual Investors and Small Business Owners. ProQuest Information. ISBN: 9780542938290.
Felton, J., Gibson, B. & Sanbonmatsu, D. M. (2003). Preference for Risk in Investing as a Function of Trait Optimism and Gender. The Journal of Behavioral finance, 4(1): 33-40.
Feng, L. & Seasholes, M. S. (2008). Individual investors and gender similarities in an emerging stock market. Pacific-Basin Finance Journal, 16(1-2): 44 -60.
Filbeck, G., Hatfield, P. & Horvath, P. (2005). Risk Aversion and Personality Type. The Journal of Behavioral Finance, 6(4): 170-180.
Fineman, S. (1993). Organizations as emotional arenas. In S. Fineman. (Ed), Emotion in Organizations, No-31. London: Sage.
Fisher, K.L. & Statman, M. (1997). The mean-variance-optimization puzzle: security portfolios and food portfolios. Financial Analysts Journal, 53(4): 41-50.
Flin, R. & Slaven, G. (1993). Personality and emergency command ability. Disaster Prevention and Management, 5(1): 40-46.
Frankfurter, M.G., McGounc, G. & EAllen, D.E. (2004). The prescriptive turn in behavioral finance. Journal of Socio-Economics, 33(4): 449-468.
French, D.W. (1984). The weekend effect on the distribution of stock prices: Implications for option pricing. Journal of Financial Economics, 13(4): 547-559.
French, K. & Poterba, J. (1991). Investor diversification and international equity markets. American Economic Review, 81(2): 222−226.
French, K. R. (1980). Stock returns and the weekend effect. Journal of Financial Economics, 8(1): 55-69.
Frieder, L. & Subrahmanyam, A. (2005). Brand perceptions and the market for common stock. Journal of Financial and Quantitative Analysis, 40(1): 57-85.
Garmaise, M.J. (2009). Marketing issues in corporate finance, commentaries and rejoinder to ‘marketing and firm value: metrics, methods, findings, and future directions. Journal of Marketing Research, 46(3): 324-336.
Graham, F.J., Stendardi, Jr. E. J., Myers, J.K. & Graham, M. J. (2002). Gender differences in investment strategies: an information processing perspective. International Journal of Bank Marketing, 20(1): 17-28.
Grinblatt, M. & Keloharju, M. (2001). How distance, language, and culture influence stockholdings and trades. Journal of Finance, 56(3): 1053−1073.
Gross, C.A. & Hansen, N.E. (2000). Clarifying the experience of shame: the role of attachment style, gender, and investment in relatedness. Personality and Individual Differences, 28(5): 897-907.
Hassan Al-Tamimi, H. A. (2006). Factors Influencing Individual Investor Behaviour: An Empirical study of the UAE Financial Markets. The Business Review, 5(2): 225-232.
Hatch, M.J. & Schultz, M. (2003). Bringing the corporation into corporate branding. European. Journal of Marketing, 37(7/8): 1041-1064.
Hau, H. (2001). Location matters: An examination of trading profits. Journal of Finance, 56(5): 1959-1983.
Hofsted, G. (1980). Culture's Consequences, California: SAGE.
Hudson, W.N., Roberts, B.W. & Lodi-Smith, J. (2012). Personality trait development and social investment in work. Journal of Research in Personality, 46(3): 334-344.
Jones, A. (1998). (Re) producing Gender Cultures: Theorizing Gender in Investment Banking Recruitment. Ceoforum, 29(4): 451-474.
Jones, T. & Ligon, J. (2009). The day of the week effect in IPO initial returns. The Quarterly Review of Economics and Finance, 49(1): 110-127.
Kajisa, K. & Palanichamy, V.N.  (2010). Schooling Investments over Three Decades in Rural Tamil Nadu, India: Changing Effects of Income, Gender, and Adult Family Members’ Education. World Development, 38(3): 298–314.
Kang, J. K. & Stulz, R. M. (1997). Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan. Journal of Financial Economics, 46(1): 3-28.
Keim, D. (1983). Size – related anomalies and stock return seasonality; further empirical evidence. Journal of financial economics, 12(1):13-32.
Kim, K, A. & Nofsinger, J. R. (2008). Behavioral finance in Asia, Pacific- Basin Finance Journal, 16(1-2): 1-7.
La Porta, R., Lopez-de-Silanes, F., Shleifer, A. & Vishny, R. W. (1998). Law and finance. Journal of Political Economy, 106(6): 1113−1155.
Lal, D. (1999). Unintended Consequences: The impact of factor endowments, culture, and politics on long-run economic performance. Cambridge, MA: MIT Press.
Landes, D. (2000). Culture makes almost difference. In L. E. Harrison & S. P. Huntington (Eds.), Culture Matters. New York, NY: Basic Books.
Lascu, D.N., Babb, H. W. & Phillips, R.W. (1997). Gender and Investment: The Influence of Gender on Investment Preferences and Practices. Managerial Finance, 23(10): 69-83.
Lazear, E. P. (1999). Culture and language. Journal of Political Economy, 107: 95-126.
Leeves, G.D. & Herbert, R. (2014). Gender differences in social capital investment: Theory and evidence. Economic Modelling, 37(c): 377–385.
Lewellen, W. G., Lease, R. C. & Schlarbaum, G. C. (1977). Patterns of Investment Strategy and Behavior among Individual Investors. Journal of Business, 50(3): 296-333.
Lin, A.Y. (2009). Law, culture and investment performance: A cross-country analysis. Global Finance Journal, 19(3): 323-341.
Lovett, M.J. & MacDonald, J.B. (2005). How does financial performance affect marketing? Studying the marketing-finance relationship from a dynamic perspective. Journal of the Academy of Marketing Science, 33(4): 476-485.
Markovitch, G.D. & Steckel, J.H. (2012). Do initial stock price reactions provide a good measurement stick for marketing strategies? The case of new product introductions in the US. European Journal of Marketing, 46(3/4): 406-421.
Mcgoun, E, G. (1992). On Knowledge of Finance. International Review of Financial Analysis, 1(3): 161-177.
Monahan, G. (2005). Managing Inventories in a Two-Eschelon Dual-Channel Supply Chain. European Journal of Operational Research, 162(2): 325-341.
Nanda, V. & Narayanan, M.P. (2000). A. Warther, Vincent Liquidity, investment ability, and mutual fund Structure. Journal of Financial Economics, 57: 417- 443.
Nippani, S. & Greenhut, J.C. (2011). Reversal of the weekend effect in Canada: an empirical analysis. Managerial Finance, 37(9): 840-854.
Nisbett, R. E. & Wilson, T. D. (1977). Telling more than we can know: Verbal reports on mental processes. Psychological Review, 84(3): 231-259.
Nolte, J. (2002). The human Brain. An introduction to its financial anatomy. 5th edition Washington, DC: C. V. Mosby.
Oster, E. (2009). Does increased access increase equality? Gender and child health investments in India. Journal of Development Economics, 89(1): 62–76.
Plaut, E.S. (1992). Whose Sabbath matters? or, when does the weekend effect occur? Economics Letters, 38(3): 341–344.
Pompian, M. & Longo, J. M (2004). A new Paradigm for Practical Application of Behavioral Finance: Creating Investment Programs Based on Personality Type and Gender to Produce Better Investment Outcomes, the Journal of Wealth Management, 7(2): 9- 15.
Pompian, M. M. (2006). Behavioural finance and wealth management: Building optimal portfolios that Account for investor biases. John Wiley & Sons.
Portes, R., Rey, H. & Oh, Y. (2001). Information and capital flows: The determinants of transactions in financial assets. European Economic Review, 45(4-6): 783−796.
Puffer, M.K. (1991). Private information and weekend volatility in the Tokyo and New York stock markets. Journal of Banking & Finance, 15(2): 407–423.
Roberts, B. W., Wood, D. & Smith, J.L. (2005). Evaluating Five Factor Theory and social investment perspectives on personality trait development. Journal of Research in Personality, 39(1): 166-184.
Savage, L. J. (1954). The foundations of statistics. New York: John Wiley and Sons.
Schoenbachler, D.D., Gordon, G.L. & Aurand, T.W. (2004). Building brand loyalty through individual stock ownership. Journal of Product & Brand Management, 13 (7): 488-497.
Shapiro, D. & Tambashe, B. O. (2001). Gender, poverty, family structure, and investments in children’s education in Kinshasa, Congo. Economics of Education Review, 20(4): 359–375.
Shim, G.Y., Lee, S.H. & Kim, Y.M. (2008). How investor behavioral factors influence investment satisfaction, trust in Investment Company, and reinvestment intention. Journal of Business Research, 61(1): 47–55.
Shiv, B., Loewenstein, G. & Bechara, A. (2005). The dark side of emotion in decision-making: When individuals with decreased emotional reactions make more advantageous decisions. Cognitive Brain Research, 23(1): 85- 92.
Shleifer, A. (2000). Inefficient market: an introduction to behavioral Finance. Oxford University Press.
Siow, A. & Zhu, X. (2002). Differential Fecundity and Gender-Biased Parental Investments in Health. Review of Economic Dynamics, 5(4): 999-1024.
Statman, M. (2004). What do investors want? Journal of Portfolio Management, 30: 153-161.
Stulz, R. M., & Williamson, R. (2003). Culture, openness, and finance. Journal of Financial Economics, 70(3): 313-349.
Summers, B. & Duxbury, D. (2012). Decision-dependent emotions and behavioral anomalies. Organizational Behavior and Human Decision Processes, 118(2): 226-238.
Summers, B., Duxbury, D., Hudson, R. & Keasey, K. (2006). As time goes by: An investigation of how asset allocation varies with investor age. Economics Letters, 91 (2) 210-214.
Sundali, J. A., Stone, G. R. & Guerrero, F. L. (2012). The effect of setting goals and emotions on asset allocation decisions. Managerial Finance, 38 (11): 1008 – 1031.
Szmania, J.M. & Doverspike, D. (1990). A test of the differential investment hypothesis applied to the exploration of gender differences in reactions to pay. Journal of Vocational Behavior, 37(2): 239–250.
Tesar, L.L. & Werner, I.M. (1995). Home bias and high turnover. Journal of International Money and Finance, 14(4): 467-492.
Thomas, J.K. (2003). Discussion of Post-Earnings Announcement Drift and Market Participants Information Processing Biases. Review of Accounting Studies, 8(2): 347-353.
Tod, D. & Edwards, C. (2013). Predicting drive for muscularity behavioral engagement from body image attitudes and emotions. Body Image, 10(1): 135-138.
Van Kleef, G.A., De Dreu, C.K.W. & Manstead, A.S.R. (2010). An interpersonal approach to emotion in social decision making: the emotions as social information model. Advances in experimental social psychology, 42: 45-96.
Venezia, I. & Shapira, Z. (2007). On the behavioral differences between professional and amateur investors after the weekend. Journal of Banking & Finance, 31(5): 1417–1426.
Wang, A.J. & Ramsay, B. (1998). A neural network based estimator for electricity spot-pricing with particular reference to weekend and public holidays. Neurocomputing, 23 (1-3) 47-57.
Welpe, I.M., Spörrle, M., Grichnik, D., Treffers, T. & Audretsch, D.B. (2012). Emotions and opportunities: the interplay of opportunity evaluation, fear, joy, and anger as antecedent of entrepreneurial exploitation. Entrepreneurship Theory and Practice, 36(1): 69-96.
Zamberi, S.A. (2011). Gender and investment climate reform assessment in the Pacific region a six-country research study. Equality Diversity and Inclusion: An International Journal, 30(5): 425-430.