The role of emotional management in price fluctuations of Tehran Securities and Exchnage Organization

Subject Areas : business management

Sayyed Shahabuddin  Dehghan Banaraki ¹ (Department of Management, Science and Research branch, Islamic Azad University, Tehran, Iran.)
Zeinolabedin  Amini sabegh ² (Department of Management, College of Human Science, Saveh Branch, Islamic Azad University, Saveh, Iran.)
Ehsan  Sadeh ³ (Department of Management, College of Human Science, Saveh Branch, Islamic Azad University, Saveh, Iran)

Received: 2019-09-22 Accepted : 2019-09-28 Published : 2020-03-20

Keywords: Emotional Behaviors, Stock Price Fluctuations, Tehran Securities and Exchnage Organization,

Abstract :

The purpose of this paper is to investigate the role of emotional behaviors in stock price fluctuations of the Stock Exchange and Securities Organization. To this end, the adjusted three-factor model of Fama and French has been used based on the indicators of investor sentiment. Based on the information published by the companies listed on the Tehran Stock Exchange, this study was conducted between 2013 and 2018 with a sample of 122 companies. The research hypotheses were tested using a generalized linear regression (EGLS) model. The test results of the hypotheses indicate an increase in the explanatory value of the stock price pattern by adding emotional indicators. Indicators of investor sentiment used in this study include instantaneous decision, long-term return effect on stock price fluctuations and value consumption from the perspective of price-to-earnings ratio, size effect, and loss avoidance effect. The first and second indicators of investor sentiment had a significant effect on stock prices. Regarding the third indicator, a significant relationship was observed in the model, while the loss-making effect had a positive effect on stock prices.