Volume 6, Issue 22 (3-2016)                   jemr 2016, 6(22): 161-187 | Back to browse issues page


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Shams S, Golbabaei A. The Relationship between Investors Herding and Volatility: Evidence from Tehran Stock Exchange. jemr. 2016; 6 (22) :161-187
URL: http://jemr.khu.ac.ir/article-1-1109-en.html
Abstract:   (2364 Views)

This study examines the effect of Herding in different states (low, high and extreme volatility) in Tehran Stock Exchange during the years 2009-2013 using Chang et al (2000) and Balcilar et al (2013) models. In this survey herding are tested under 3 market regimes in selected industries: Cement, Chemical, Pharmaceutical and Investment.
The results don't show evidence of herding in 4 industries using static model (Chang et al, 2000). So dynamic model (Balcilar et al, 2013) was used  to analyze Herding under 3 regimes in which our results support the presence of  herding under 2 market regimes (high and extreme) . The results also demonstrate evidence of herding behavior under the high volatility regime for all of the selected industries. Herding under the extreme volatility regime is only found in investment and cement industries.

Full-Text [PDF 531 kb]   (972 Downloads)    
Type of Study: Applicable | Subject: پولی و مالی
Received: 2014/09/25 | Accepted: 2015/11/21 | Published: 2016/03/2

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