Modeling the Co-Movement of Stocks Between Returns with Negative and Positive Shocks of Sentiment Arising from the Imbalance of Orders Using a Tree-Stage Clustering Approach

الموضوعات :

Kamal Ghanaei ¹ , Mehrdad Ghanbari ² , Babak Jamshidinavid ³ , Afshin Baghfalaki ⁴

1 - Department of Accounting, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran
2 - Department of Accounting, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran.
3 - Department of Accounting, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran
4 - Department of Economics, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran

تاريخ الإرسال : 08 الأحد , جمادى الثانية, 1444 تاريخ التأكيد : 07 الأربعاء , صفر, 1445 تاريخ الإصدار : 23 الخميس , ربيع الأول, 1446

الکلمات المفتاحية: Emotional Shocks , Return Co-Movement, Three-Stage Clustering,

ملخص المقالة :

This study explores the impact of emotions on financial markets. Recent research highlights the role of psychological factors in financial crises. Investors, not always rational, base asset risk decisions on emotions and beliefs. Optimism, pessimism, and self-confidence influence decision making processes over time. Irrational investors can cause market prices to deviate from fundamental values. This emotional price anomaly can be seen as a persistent sentiment risk factor significantly affecting stock returns. The research investigates the effect of emotional shocks (positive and negative) on order flow imbalances and their impact on price movements. A three-stage clustering approach is used. The sample includes 172 companies listed on the Tehran Stock Exchange from 2021, with daily data extracted from Rahvard Navin software. Information on independent and dependent variables is analysed using a three-step clustering method to identify different time scales. Finally, regression analysis in MATLAB software is used to examine the relationship between variables within specified time intervals. The results reveal a positive relationship between positive shocks caused by order imbalances and company returns. This relationship is reversed for negative shocks. Three-stage clustering separates companies based on co-movement, revealing distinct behaviour and relationships between variables within each cluster. These findings demonstrate the effectiveness of the three-step clustering method for analysing company data.

المصادر:

[1] Agha Babaei Mohammad, Madani Saeed, Investigating investors' sentiments and the simultaneity of stock returns in Tehran Stock Exchange, Financial Management Perspective Journal, 2019; 11(42): 100-129. 1911-3846.1997.tb00537.x
[2] Balounejad Nouri, R., Bagjavany, F., Amiri Hosseini, M., Impact of Investors' Sentiments on Volatility of Stock Exchange Index in Tehran Stock Exchange. Advances in Mathematical Finance and Applications, 2023; 9(1): 291-303. Doi:10.22034/amfa.2023.1963410.1773
[3] Chelley-Steeley, P, Lambertides, N, Savva, CS. Sentiment, order imbalance, and co-movement: An examination of shocks to retail and institutional trading activity. Eur. Finance Manag. 2019; 25 (2): 116- 159. Doi:10.1111/eufm.12146
[4] Dagindan, Al-Hiyar; Ali Akbar Najafi and Alireza Taskhiri, Investigating the impact of investor sentiments on investment decisions in companies listed on the Tehran Stock Exchange, Third Inter-national Conference on Accounting and Management, Tehran, Mehr Eshraq Conference Institute, 2020; 12(45). Doi:10.22051/JFM.2016.2483
[5] Gudarzi Farahani, Y., Aghari Ghara, E., & Haghtalab, M. The Co-Movement Between Bitcoin, Gold, USD and Oil: DCC-GARCH and Smooth Transition Regression (STR) Model. Advances in Mathematical Finance and Applications, 2024; 7(3): 900. Doi: 10.22034/amfa.2023.1963410.1773
[6] Khozein, A., Davoudi, A., Naderian, A., & Didehkhani, H. A Model of Investor Sentiment Based on Grounded Theory Approach. Advances in Mathematical Finance and Applications, 2023; 8(4). Doi:10.22034/amfa.2022.1948257.1668.
[7] Liang, W-I, Sensitivity to investor sentiment and stock performance of open market share. l. Advances in Mathematical Finance and Applications. 2015; 58(3):117-158,190-199. Doi: 10.1016/j.qref.2015. 01.003.
[8] Ling, D.C., Naranjo, A. and Scheick, B., Investor sentiment and asset pricing in public and Miwa k, Investor sentiment, stock mispricing, and long-term growth expectations , Research in Interna-tional Business and Finance, 2012; 4(12). Doi: 10.22103/jak.2013.523
[9] Niya Mohammad, Ahmad Poyanfar and Maliha Maliki, Modelling the co-movement of shares in Tehran Stock Exchange using the three-stage clustering approach, Financial Management Perspec-tive, 2014; 10(7): 517-530. Doi:10.1016/S0927-538X (02)00040-9.
[10] Patricia C., S., Neophytos L.,Christos S. Savva, Sentiment, order imbalance, and co-movement: An examination of shocks to retail and institutional trading activity, Europeans
Financial Management private markets,2016; 37(2):1–22. Doi: 10.1016/j.pacfin.2016.02. 003.
[11] Shaari Anaghiz Saber, Yahya Hassah Yeganeh, Mehdi Sadidi and Benyamin Narhai, Emotional decision making of investors, corporate governance and investment efficiency,
Financial Accounting Quarterly, 2018; 1(1):139–153. Doi: 10.1016/S0165-1765(00)00403-1.
[12] Zanjirdar,M., Madahi, M., Khaleghi Kasbi, K. , Comparative analysis of sticky SGA costs and cost of goods sold: Evidence from Tehran Stock Exchange, Management Science Letters,2014;4(3): 521-526