تحلیل عوامل رفتاری و روانی بر ناهنجاری‌های بازار سهام و تصمیم‌های سرمایه‌گذاران
محورهای موضوعی : اقتصاد مالی
مهرداد نعمتی
1
*
,
سامان رحمانی نوروزآباد
2
1 - عضو هیئت علمی گروه مدیریت دانشگاه ایلام
2 - دانشگاه آزاد اسلامی
کلید واژه: تصمیم‌های سرمایه‌گذاران, عوامل رفتاری و روانی, ناهنجاری‌های بازار سهام.,
چکیده مقاله :
مالی رفتاری به مطالعه متغیرهای روانشناختی که می‌تواند بر تصمیم‌گیری مالی تأثیر بگذارد کمک می‌کند. بنابراین، قبل از هر تصمیم سرمایه‌گذاری برای به حداکثر رساندن ثروت، بهتر است که ویژگی‌های بازارهای اوراق بهادار را با استفاده از ترکیبی از روانشناسی و مالی درک کرد. هدف پژوهش حاضر شناسایی تاثیر عوامل رفتاری و روانی بر ناهنجاری‌های بازار سهام و تصمیم‌های سرمایه‌گذاران در بورس اوراق بهادار تهران می‌باشد. در این پژوهش میدانی، به منظور جمع‌آوری داده‌ها از پرسشنامه‌ی استاندارد استفاده شده است. جامعه‌ی آماری این پژوهش سرمایه‌گذاران حقیقی در بورس اوراق بهادار تهران می‌باشد و از این جامعه‌ی آماری، 302 نفر از سرمایه‌گذاران به طور تصادفی ساده در دسترس و با استفاده از فرمول کوکران انتخاب و مورد بررسی قرار گرفتند. به منظور بررسی روابط بین متغیرهای پژوهش از تکنیک مدل‌یابی معادلات ساختاری و نرم‌افزار LISREL استفاده گردیده است. نتایج شاخص‌های خوبی برازش مانند RMSEA، GFI و AGFI نشان دهنده‌ی برازش خوب مدل و قابل استفاده بودن نتایج می‌باشد. نتایج بدست آمده حاکی از آن است که تاثیر اعتماد به نفس بیش از حد، تعصب گله‌ای، اثر تمایل، سواد مالی و تمایل به ریسک بر ناهنجاری‌های بنیادی و ناهنجاری‌های تکنیکال مثبت و معنادار است. همچنین ناهنجاری‌های بنیادی و ناهنجاری‌های تکنیکال تاثیر مثبت و معناداری بر تصمیم‌های سرمایه‌گذاران دارد. بر اساس تجزیه و تحلیل داده‌ها، مشخص شد سوگیری‌های رفتاری و ناهنجاری‌های بازار ارتباط نزدیکی با یکدیگر دارند. یافته‌های نقش واسطه‌ای ناهنجاری‌های بازار را در ارتباط با تصمیم‌گیری سرمایه‌گذاران تأیید کرد.
Behavioral finance helps in studying psychological variables that can influence financial decision-making. Therefore, before making any investment decision to maximize wealth, it is better to understand the characteristics of securities markets using a combination of psychology and finance. The present study aims to identify the impact of behavioral and psychological factors on stock market anomalies and investor decisions in the Tehran Stock Exchange. In this field study, a standard questionnaire was used to collect data. The statistical population of this research consists of individual investors in the Tehran Stock Exchange, and from this population, 302 investors were randomly selected and examined using Cochran’s formula. To examine the relationships between the research variables, the structural equation modeling technique and LISREL software were used. The results of good fit indices such as RMSEA, GFI, and AGFI indicate a good fit of the model and the usability of the results. The findings suggest that the impact of overconfidence, herd bias, disposition effect, financial literacy, and risk tolerance on fundamental and technical anomalies is positive and significant. Additionally, fundamental and technical anomalies have a positive and significant impact on investor decisions. Based on data analysis, it was found that behavioral biases and market anomalies are closely related. The findings confirmed the mediating role of market anomalies in relation to investor decision-making. The results showed that investors act irrationally in their decisions, which is likely to cause anomalies in the market.
بحرالعلوم، محمدمهدي؛ مبرهن، الياس؛ فاضلي، سيدسهيل ( 1399 ). شناسايي عوامل رفتاري مؤثر بر شكست سرمايه‌گذاران فعال بازار سرمايه ايران با استفاده از نقشه‌هاي شناختي. فصلنامه بورس اوراق بهادار، 13(50)، 81-108.
رستمی نوروزآباد، مجتبی؛ آریان اصل، هانیه؛ عباسی موصلو، خلیل. (1402). واکنش‌پذیری تصمیم‌های سرمایه‌گذاران از توصیه‌های تحلیلگران بنیادی: شواهدی از سرمایه‌گذاران بورس اوراق بهادار در استان فارس. تحقیقات مالی، 25(2)، 228-254.
نایب محسنی، شیدا؛ خلیفه سلطانی، سید احمد؛ حجازی، رضوان. (1400). تدوین مدل رفتاری تصمیم‌گیری سرمایه‌گذاران فردی در بازار سرمایه ایران. تحقیقات مالی، 23(4)، 625-652.
هاشمی، سیدعباس؛ رهروی دستجردی، علیرضا؛ حیدریان دولت آبادی، محمد (1402). تأثیر الگوهای تصمیم‌گیری احساسی سرمایه‌گذاران بر عملکرد شرکت. تحقیقات مالی، 25(2)، 205-227.
Abideen, Z., Ahmed, Z., Qiu, H., and Zhao, Y. (2023). Do Behavioral Biases Affect Investors’ Investment Decision Making? Evidence from the Pakistani Equity Market. Equity Market. Risks, 11, 1-32.
Adil, M., Singh, Y., & Ansari, M. S. (2021). How financial literacy moderate the association between behaviour biases and investment decision? Asian. Journal of Accounting, 7(1), 17–30.
Ahmad, M. (2021). The role of recognition-based heuristics in investment management activities: Are expert investors immune?–A systematic literature review. Qualitative Research in Financial, 16(3), 401–422.
Ahmad, M., & Shah, S. Z. A. (2020). Overconfidence heuristic-driven bias in investment decision-making and performance: Mediating effects of risk perception and moderating effects of financial literacy. Journal of Economic and Administrative, 38 (1), 60–90.
Ahmad, Z., Haslindar, I., and Jasman, T. (2017). Institutional investor behavioral biases: Syntheses of theory and evidence. Management Research Review, 40, 578–603.
Ahmed, M. S., and John, A. D. (2021). Revisiting disposition effect and momentum: A quantile regression perspective. Review of Quantitative Finance and Accounting, 56, 1087–28.
Al-Tamimi, H., and Kalli, A. B. (2009). Financial literacy and investment decisions of UAE investors. The Journal of Risk Finance, 10, 500–16.
Antony, A., & Joseph, A. I. (2017). Influence of behavioural factors affecting investment decision—An AHP analysis. Metamorphosis, 16(2), 107–114.
Ates, S., Cos¸kun, A., & S¸ahin, M. A. (2016). Impact of financial literacy on the behavioral biases of individual stock investors: Evidence from Borsa Istanbul. Business and Economics Research Journal, 7(3), 1.
Bakar, S., & Yi, A. N. C. (2016). The impact of psychological factors on investors’ decision making in Malaysian stock market: A case of Klang Valley and Pahang. Procedia Economics and Finance, 35, 319–328.
Baker, H. K., Kumar, S., Goyal, N., & Gaur, V. (2019). How financial literacy and demographic variables relate to behavioral biases. Managerial, 45(1), 124–146. Ball, S., Eckel, C. C., & Heracleous, M. (2010). Risk aversion and physical prowess:
Bako, D. E., and Sechel, I. C. (2013). Technical and fundamental anomalies. Paradoxes of modern stock exchange markets. The Annals of the University of Oradea, 6, 37–39.
Bashir, U., Khan, S., Jones, A., & Hussain, M. (2021). Do banking system transparency and market structure affect financial stability of Chinese banks? Economic Change and Restructuring, 54, 1–41.
Ben Mabrouk, H. (2018). Cross-herding behavior between the stock market and the crude oil market during financial distress. Managerial Finance, 44(2), 439–58.
Bhandari, G., & Deaves, R. (2006). The demographics of overconfidence. The Journal of Behavioral Finance, 7(1), 5–11.
Bouteska, A., Harasheh, M., Abedin, M. Z. (2023). Revisiting overconfidence in investment decision-making: Further evidence from the U.S. market. Research in International Business and Finance, 66, 1-14.
Brealey, R., Stewart, M., and Franklin, A. (2012). Principles of Corporate Finance. New York: Tata McGraw-Hill Education.
Brown, S.J. (2020). The efficient market hypothesis, the financial analysts journal, and the professional status of investment management, Financ. Anal. J, 76 (2), 5-14.
Clarke, J., Ornthanalai, C., & Tang, Y. (2014). Institutional herding and asset price: The role of information. Rotman School of Management Working Paper (1707868).
De Bondt, W., Rosa, M. M., and Eleuterio, V. (2013). Behavioral decision-making in finance: An overview and assessment of selected research. Spanish Journal of Finance and Accounting, 42, 99–118.
Doyle, J., Udechukwu, O., Alasdair, M., Ian, D., and Mario, B. (2021). The anchoring heuristic and overconfidence bias among frontline employees in supply chain organizations. Production Planning and Control, 32, 1–18.
Elizabeth, J., Werner Ria, M., and Bertha, S. S. (2020). Investor behavioral bias based on demographic characteristics. Paper presented at 17th International Symposium on Management, Vũng Tàu, Vietnam, February 19–21; Amsterdam: Atlantis Press, pp. 6–12.
Essa, M.S., Giouvris, E. (2023). What is the effect of VIX and (un) expected illiquidity on sectoral herding in US REITs during (Non) Crises? Evidence from a Markov Switching Model (2014–2022), J. Behav. Finance, 1–23.
Fateye,T., Peiser, R., & Ajayi, C. (2024). Behavioral factors influencing investment decision-making in the Nigerian real estate stock market. Scientific African, 1-9.
Feng, L., & Seasholes, M. S. (2004). Correlated trading and location. The. Journal of Finance, 59(5), 2117–2144.
Fernandes, D., Lynch, J. G., Jr., & Netemeyer, R. G. (2014). Financial literacy, financial education, and downstream financial behaviors. Management Science, 60(8), 1861–1883.
Filiz, I., Thomasm, N., Markus, S, and Kilian, B. (2018). Portfolio diversification: The influence of herding, status-quo bias, and the gambler’s fallacy. Financial Markets and Portfolio Management, 32, 167–205.
Fogel, S. O. C., & Berry, T. (2010). The disposition effect and individual investor decisions: The roles of regret and counterfactual alternatives. In Handbook of behavioral finance: Edward Elgar Publishing.
Foorthuis, R. (2021). On the nature and types of anomalies: A Review. arXiv arXiv:2007.15634.
Gavriilidis, K., Kallinterakis, V. (2021). Herding in imperial Russia: evidence from the St. Petersburg Stock Exchange (1865–1914). J. Behav. Finance, 24 (4), 387–397.
Gavrilakis, N., & Floros, C. (2021). The impact of heuristic and herding biases on portfolio construction and performance: The case of Greece. Review of Behavioral, 14 (3), 436–462.
Giles, E, L., Shannon, R, Elaine M., Falko, F. S., and Jean, A. (2014). The effectiveness of financial incentives for health behavior change: Systematic review and meta-analysis. PLoS ONE 9: e90347.
Grohmann, A., & Menkhoff, L. (2015). School, parents, and financial literacy shape future financial behavior. DIW Economic Bulletin, 5(30/31), 407–412.
Hussain, M., Shah, S. A., Latif, K., Bashir, U., & Yasir, M. (2013). Hindsight bias and investment decisions making empirical evidence form an emerging financial market. International Journal of Research Studies in Management, 2(2), 77–88.
Islam, KH., Ahmad Bhat, S., Mushtaq Lone, U., Darzi, M. A., Ahmad Malik, I. (2024). Financial risk propensity and investment decisions: An empirical analysis using behavioural biases. Journal Pre-proof, doi: https://doi.org/10.1016/j.iimb.2024.06.004.
Joo, B. A., and Durri, K. (2017). Influence of overconfidence, optimism and pessimism on the rationality of the individual Investors: An empirical analysis. Pacific Business Review International, 9, 7–13.
Kansal, P., Singh, S. (2018). Determinants of overconfidence bias in Indian stock market. Qual. Res. Financ. Mark, 10 (4), 381–394.
Kasoga, P. S. (2021). Heuristic biases and investment decisions: Multiple mediation mechanisms of risk tolerance and financial literacy a survey at the Tanzania stock market. Journal of Money and, 1(2), 102–116.
Khan, S., Mahmood, F., & Younas, S. (2024). Impact of fınancıal knowledge and investor’s personalıty traıts on investment intentıon: Role of attıtude and fınancıal self effıcacy. FWU Journal of Social Sciences, Spring, 18(1), 120–134.
Khawar, S., & Sarwar, A. (2021). Financial literacy and financial behavior with the mediating effect of family financial socialization in the financial institutions of Lahore. Pakistan. Future Business Journal, 7(1), 1–11.
Kumar, P., Islam, A., Pillai, R., & Sharif, T. (2023). Analysing the behavioural, psychological, and demographic determinants of financial decision making of household investors. Heliyon, 9, 1-16.
Kumar, S., and Nisha, G. (2015). Behavioral biases in investment decision making—A systematic literature review. Qualitative Research in Financial Markets, 7, 88–108.
Latif, M., Shanza, A., Mariam, F., and Samia, F. (2021). Market efficiency, market anomalies, causes, evidences, and some behavioral aspects of market anomalies. Research Journal of Finance and Accounting, 2, 1–13.
Lee, J. S., Pi-Hsia, Y., and Kam, C. CH. (2013). Market states and disposition effect: Evidence from Taiwan mutual fund investors. Applied Economics, 45, 1331–42.
Lewis, T. (2017). Fit Statistics Commonly Reported for CFA and SEM. Cornell Statistics Departmen.
Luong, P.L., Ha, T.D. (2011). Behavioural Factors Influencing Individual Investors’ Decision-Making and Performance: A Survey at the Ho Chi Minh Stock Exchange, Published M. Sc. Thesis, Umeå School of Business.
Mahmood, F., Arshad, R., Khan, SH., Afzal, A., & Bashir, M. (2024). Impact of behavioral biases on investment decisions and the moderation effect of financial literacy; an evidence of Pakistan. Acta Psychologica, 247, 1-9.
Malik, K. U., Muhammad, SH. M., Muhammad, I., and Hussain, M. (2022). The role of heuristic factors in investment performance: Exploring the market anomalies in a volatile environment. Apuntes del Cenes, 41, 61–82.
Maxfield, S., Shapiro, M., Gupta, V., & Hass, S. (2010). Gender and risk: women, risk taking and risk aversion. Gender in Management. An International Journal., 25(7), 586–604.
Metawa, N., Hassan, M. K., Metawa, S., & Safa, M. F. (2019). Impact of behavioral factors on investors’ financial decisions: Case of the Egyptian stock market. International Journal of Islamic and Middle Eastern Finance and, 12(1), 30–55.
Mirza, N., Syed Kumail A. R., Irum, S., Bushra, N., and Larisa. Y. (2022). The resilience of Islamic equity funds during COVID-19: Evidence from risk adjusted performance, investment styles and volatility timing. International Review of Economics & Finance, 77: 276–95.
Mitroi, A., and Ion, S. (2014). Biases, anomalies, psychology of a loss and individual investment decision making. Economic Computation and Economic Cybernetics Studies and Research, 48, 1–17.
Ozen, E., & Ersoy, G. (2019). The impact of financial literacy on cognitive biases of individual investors. In Contemporary issues in behavioral finance. Emerald Publishing Limited.
Pradikasari, E., & Isbanah, Y. (2018). Pengaruh financial literacy, illusion of control, overconfidence, risk tolerance, dan risk perception terhadap keputusan investasi pada mahasiswa di Kota Surabaya. Jurnal Ilmu Manajemen (JIM), 6(4), 424–434.
Prosad, J. M., Kapoor, S., & Sengupta, J. (2015). Behavioral biases of Indian investors: A survey of Delhi-NCR region. Qualitative Research in Financial, 7(3), 230–263.
Qiao, L., Adegbite, E., Nguyen, T.H. (2022). Chief financial officer overconfidence and stock price crash risk. Int. Rev. Financ. Anal. 84, 102364 https://doi.org/10.1016/J.IRFA.2022.102364.
Rasool, N., & Ullah, S. (2020). Financial literacy and behavioural biases of individual investors: Empirical evidence of Pakistan stock exchange. Journal of Economics, Finance and Administrative, 25(50), 261–278.
Sattar, M.A., Toseef, M., & Sattar, M.F. (2020). Behavioral finance biases in investment decision making, Int. J. Account. Finance Risk Manage, 5 (2), 69–75.
Sezer, D., & Demir, S. (2015). Yatırımcıların finansal okuryazarlık ve bilis¸sel yetenek düzeylerinin psikolojik yanılsamalar ile ilis¸kisi. Muhasebe ve Finansman, Dergisi, (66), 69–88.
Shah, M. U. D., Attaullah, SH., and Safi, U. KH. (2017). Herding behavior in the Pakistan Stock Exchange: Some new insights. Research in International Business and Finance, 42, 865–73.
Shah, S. Z. A., Ahmad, M., & Mahmood, F. (2018). Heuristic biases in investment decision-making and perceived market efficiency: A survey at the Pakistan stock exchange. Qualitative Research in Financial, 10(1), 85–110.
Shefrin, H. (2002). Beyond greed and fear: Understanding behavioral finance and the psychology of investing. Oxford University Press on Demand.
Shen, J., Najand, M., & Chen, C. (2023). the influence of emotions on cross-section returns: tests for cognitive appraisal theory, J. Behav. Finance, 1–16.
Silva, T. C., Braz, T., Amancio, D. R., & Tabak, B. M. (2022). Financial literacy and the perceived value of stress testing: An experiment using students in Brazil. Emerging Markets Finance and Trade, 58(4), 965–996.
Singh, S. (2016). The role of behavioral finance in modern age investment. Pacific Business Review International, 8, 234–40.
Son, J., & Park, J. (2019). Effects of financial education on sound personal finance in Korea: Conceptualization of mediation effects of financial literacy across income classes. International Journal of Consumer Studies, 43(1), 77–86.
Statman, M., Thorley, S., & Vorkink, K. (2006). Investor overconfidence and trading volume. The Review of Financial Studies, 19(4), 1531–1565.
Summers, B., and Darren, D. (2012). Decision-dependent emotions and behavioral anomalies. Organizational Behavior and Human Decision Processes, 118, 226–38.
Taffler, R. J., Crawford, S., and Arman, E. (2017). Emotional economic man: Calculation and anxiety in fund management. Accounting, Organizations and Society, 61, 53–67.