The Characteristics of Stocks on Herding Behavior in Tehran Stock Exchange Corporations

Subject Areas :

Jalil Khodaparast Shirazi ¹ , Mohammad Sayrani ² , Somayeh Abolfathi ³

1 - استادیار دانشگاه آزاد اسلامی واحد شیراز
2 - دکتری حسابداری دانشگاه تهران
3 - دانشجوی ارشد حسابداری دانشگاه ازاد اسلامی واحد مرودشت

Received: 2015-05-10 Accepted : 2015-05-10 Published : 2011-11-22

Keywords: Behavioral Finance, Herding Behavior, LSV Model,

Abstract :

Policymakers often express concern that behavioral finance such as herding by financial market participants destabilizes markets and increases the fragility of the financial system. This paper provides an empirical research on herding behavior of investors whit employing technique of Lakonishok, Shleifer, and Vishny, 1992, (LSV) herding measure by using a data-set consisting of all their daily transactions of 59 corporations in Tehran stock exchange corporations and during 24 months ( Dec.2007 until Dec.2009), and explores the factors that can explain such behavior. In this study demonstrates that herding is affected by four features specific to the stocks, such as their size, systematic risk, idiosyncratic risk, and P/E. Size, systematic risk and idiosyncratic risk tend to positively affect herding but this effect is significantly higher for size. This context also reveals that P/E influences herding negatively. In general most of the results are consistent with the theory that herding is information based, and also when market conditions are favorable.

References:

 

جهانخانی، علی، عبده تبریزی، حسین، (1372)، " نظریه بازار کارآی سرمایه"، نشریه تحقیقات مالی، دوره1: صص23-7.

خلیلی عراقی، منصور، عبدلی، قهرمان ، (1381)، "عدم اطمینان، اطلاعات و یادگیری اجتماعی در بازار"، مجله تحقیقات اقتصادی، شماره60: صص117-79.

خیری، نصیبه، (1۳۸6)، "رفتارهای گله‌ای در بازار بورس ایران"، پایان نامه کارشناسی ارشد، دانشگاه صنعتی شریف.‎

رضایی، محمد،‎ (۱۳۸۷)،" آزمون و تحلیل وجود رفتار گله ای در بین سرمایه‌گذاران نهادی در بازار سهام ایران"، پایان نامه کارشناسی ارشد، دانشگاه صنعتی شریف.

شهریاری، سارا، اسلامی‌بیدگلی، غلامرضا ، (1386)، "بررسی و آزمون رفتار توده­وار سرمایه‌گذاران با استفاده از انحرافات بازده سهام از بازده کل بازار در بورس اوراق بهادار تهران طی سال‌های 1380 تا 1384"، فصلنامه بررسی‌های حسابداری و حسابرسی، سال چهاردهم، شماره 49: صص 25.

عبدلی، قهرمان ، (1382)، " انتقال اطلاعات، یادگیری اجتماعی و دوگانگی در تصمیم گیری"، مجله تحقیقات اقتصادی، ویژه نامه، پاییز و زمستان82: صص31-1.

نیکبخت، محمدرضا، مرادی، مهدی، (1384)، " ارزیابی واکنش بیش از اندازه سهامداران عادی در بورس اوراق بهادار تهران"، فصلنامه بررسی‌های حسابداری و حسابرسی، سال دوازدهم، شماره20: صص122-97.

 

Bikhchandani, S., Hirshleifer, D., and Welch, I., )1992(,“A Theory of Fads, Fashion, Custom, and Cultural Change as Information Cascades”, Journal of Political Economy, 100:992 – 1026.

Banerjee, Abhijit (1992), “A Simple Model of  Herd Behavior”. The Quarterly Journal of Economics, August , 57(3):pp.797-817.

Choi, N., and R. Sias, (2009), “Institutional Industry Herding”, Journal of Financial Economics94: pp.469-491.

Falkenstein, Eric G., “Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings”. Journal of Finance, Vol. 51 No. 1, March 1996: pp.111-135.

Froot, K., Scharfstein, D.and Stein, JC.,)1992(,“Herd on The Street: Informational Inefficiencies in a Market With Short-Term Speculation”, Journal of Finance 47: pp.1461-1484.

Grinblatt, M., S Titman, and R Wermers, )1995(,“ Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior”, American Economic Review, 85: pp.1088 -1105.

Hirshleifer, D., Subrahmanyam, A., and Titman, S., (1994),  “Security Analysis and Trading Patterns When some Investors Receive Information before Others”. Journal of Finance, 46: pp.1665-1698.

Kim, KA., and JR Nofsinger, (2005), “Institutional Herding, Business Groups and Economic Regimes”: Evidence Japan, Journal of Business, 78: pp.213 - 242.

Lakonishok, J., A Shleifer, and RW Vishny, (1992), “The Impact of Institutional Trading on Stock-Prices”, Journal of Financial Economics, 32: pp.23 - 43.

Nofsinger, JR., and RW Sias, (1999), “Herding and Feedback Trading by Institutional and Individual Investors”, Journal of Finance, 54: pp.2263 -2295.

Puckett, A., and Yan X.S., (2008), “Short-Term Institutional Herding and its Impact on Stock Prices”, Working  Paper, University of  Missouri and University of Tennessee.

Scharfstein, D., and Stein, J., (1990), “Herd Behavior and Investment”, American Economic Review,80: 465 - 479.

Shleifer, A., and Vishny, R., (1990), "The Limits of Arbitrage, Journal of Finance", 52: pp.35-55.

Sharma, V., Easterwood ,J., and Kumar ,R., (2005), “Institutional Herding and the Internet Bubble”, Working Paper ,University of Michigan-Dearborn.

Sias, RW., (2004), “Institutional Herding”, Review Of Financial  Studies, 17: pp.165 - 206.

TRUEMAN, B., (1994), “Analyst  Forecasts and Herding Behavior”, Review of Financial Studies, 7(1): pp.97-124.

Venezia, I., Nashikkar, A.and Shapira, Z.,[February26,2009], [online], “Herding in Trading by Amateur and Professional Investors”, http://ssrn.com/abstract=1358623, [May 2009]

Walter, A., and FM Weber, (2006), “Herding in The German Mutual Fund Industry”, European Financial Management 12:pp.375 -406.

Wermers, R., (1999), “Mutual Fund Herding and The Impact on Stock Prices”, Journal of Finance ,54: pp.581 - 622.

Wylie, S., (2005), “Fund Manager Herding: A Test of the Accuracy of Empirical Results Using U.K. Data”, Journal of Business,78: pp.381-403.