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

Document Type : Research Paper

Authors

1 Ph.D. Candidate in Management, Shahid Beheshti University, Tehran, Iran

2 Associate Prof., in Financial Management, Shahid Beheshti University, Tehran, Iran

3 Prof. in Business Management, Shahid Beheshti University, Tehran, Iran

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.

Keywords

Main Subjects


Avery, C. & Zemsky, P. (1998). Multidimensional uncertainty and herd behavior in financial markets, American Economic Review, 88(4), 724- 748.
Balcilar, M. & Demirer, R. (2015). Effect of global shocks and volatility on herd behavior in an emerging market: Evidence from Borsa Istanbul, Emerging Markets Finance and Trade, 51(1), 140- 159.
Banerjee, A. V. (1992). A simple model of herd behavior, The Quarterly Journal of Economics, 107(3), 797- 817.
Bikhchandani, S., Hirshleifer, D. & Welch, I. (1992). A theory of fads, fashion, custom, and cultural change as informational cascades, Journal of political Economy, 100(3): 992- 1026.
Cipriani, M. & Guarino, A. (2012). Estimating a structural model of herd behavior in financial markets, FRB of New York Staff Report.
Cipriani, M. & Guarino, A. (2014). Estimating a structural model of herd behavior in financial markets, The American Economic Review, 104(1), 224- 251.
Copeland, T. E. & Galai, D. (1983). Information effects on the bidā€ask spread, The Journal of Finance, 38(5), 1457- 1469.
Easley, D. & O'hara, M. (1992). Time and the process of security price adjustment, The Journal of Finance, 47(2), 577- 605.
Easley, D., Kiefer, N. M. & O'hara, M. (1997). The information content of the trading process, Journal of Empirical Finance, 4(2), 159- 186.
Ellis, K., Michaely, R. & O'hara, M. (2000). The accuracy of trade classification rules: Evidence from Nasdaq, Journal of Financial and Quantitative Analysis, 35(04): 529- 551.
Glosten, L. R. & Milgrom, P. R. (1985). Bid, ask and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics, 14(1): 71- 100.
Hajian Nezhad, Amir (2009), Evaluation and Test the herd behavior in the selective industries on Tehran Stock Exchange. TSE Quarterly published magazine. 105-132. (in Persian)
Javaira, Z. & Hassan, A. (2015). An examination of herding behavior in Pakistani stock market, International Journal of Emerging Markets, 10(3): 474- 490.
Lee, C. & Ready, M. J. (1991). Inferring trade direction from intraday data, The Journal of Finance, 46(2), 733- 746.
Luchtenberg, K. F. & Joseph Seiler, M. (2013). The effect of exogenous information signal strength on herding, Review of Behavioral Finance, 5(2), 153- 174.
Mihut, I. S., Trenca, I. & Pece, A. M. (2015). Herd behaviour of institutional and individual investors in the context of economic governance: Evidence from Romanian stock market, Review of Economic Studies and Research Virgil Madgearu, (1), 177- 190.
O'hara, M. (1995). Market microstructure theory, Vol. 108, Blackwell, Cambridge, MA.
Raei Reza, Fallahpour Hossein (2004), Behavioral Finance a different approach in financial field. Financial Research Magazine, No.18. 77-106. (in Persian)
Schmidt, A. B. (2011). Financial markets and trading: An introduction to market microstructure and trading strategies, Vol. 637, John Wiley & Sons.