Evaluate the Ability of Social Networks to Predict the Direction and Stock Prices in Tehran Stock Exchange

Subject Areas : Journal of Investment Knowledge

Reza Raie ¹ , Seyed Farhang Hoseini ² , Maedeh Kiani Harchegani ³

1 - Finance Professor,Tehran University
2 - PhD Student, Department of Financial Management, Tehran University
3 - MSc, Department of Financial Management, Science and Research branch,Islamic Azad University

Received: 2016-03-07 Accepted : 2016-05-10 Published : 2016-09-22

Keywords: Social network, Price Forecast, Price Direction Forecast, Neural Network,

Abstract :

Examining the ability and efficiency of social network on price and direction of stock price is important, because of social network boom. In this research, we observe the herding behavior based on buy and sell offer in one of the Iranian social network (sahamyab.com) using neural network. The duration of research between July 2013to June 2014(1year) and based on TSE is divided to period of bull and bear market. The sample is selected on two hypotheses, ten symbols from active stocks listed by TSE and another ten symbol from most viewed and active on social network. This research done on two parts: direction forecast and price forecast. Historical price and buy/sell offer in social network with 3 to 10 lags used. Feed forward neural network (FFNN) with 3 to 10 data lags and 1 hidden layer and up to twenty neuron used to find optimal network and used to forecast. In price forecast, there is no significant difference, But in directional of stock price forecast, we found that it's significant for most viewed share in bull market and for active share in bear market.                                                                                                                  

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