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

محورهای موضوعی : Financial and Economic Modelling

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)

تاریخ دریافت : 1401/04/25 تاریخ پذیرش : 1401/11/02 تاریخ انتشار : 1402/09/10

کلید واژه: Tehran Stock Exchange, Feeling and sentiments, EMSI Index, GARCH, volatility,

چکیده مقاله :

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.

چکیده انگلیسی:

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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