Impact of Investors' Sentiments on Volatility of Stock Exchange Index in Tehran Stock Exchange

الموضوعات :

roozbeh balounejad nouri ¹ ( Assistant Professor, Department of Economics, Economic Affairs Research Institute, Tehran, Iran )
Fatemeh bagjavany ² ( MA Degree in economics, university of Mazandaran )
Masoumeh Amiri Hosseini ³ ( MA Degree in economics, university of Bu-Ali Sina )

تاريخ الإرسال : 17 السبت , ذو الحجة, 1443 تاريخ التأكيد : 29 الأحد , جمادى الثانية, 1444 تاريخ الإصدار : 17 الجمعة , جمادى الأولى, 1445

الکلمات المفتاحية: Tehran Stock Exchange, Feeling and sentiments, EMSI Index, GARCH, volatility,

ملخص المقالة :

The stock market is one of the main components of the economy, and various factors cause fluctuations in it, one of which is the effect of investors' behavior. Therefore, present study seeks to answer the question of whether the feelings and sentiments of investors might intensify the fluctuations in the Tehran Stock Exchange or not. To answer this question, at first, in order to quantify sentiments, as non-abstract variables, the Equity Market Sentiment Index (EMSI) was used that investors are classified in 5 categories of completely risk-averse, risk-averse, neutral-risk, risk-taking and completely risk-taking. Using GARCHi-in-Mean, results indicate that the sentiments of investors will result in greater fluctuations in the Tehran Stock Exchange. Hence, if fluctuation is considered an indicator of market risk, the excitement associated with an abnormal rise in volumes will increase that risk.

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