عنوان مقاله [English]
نویسندگان [English]چکیده [English]
Herding behavior or acting as others act, is a behavioral bias among investors and is a key factor in capital markets. Since people want to be accepted and respected in the society, match their behavior with group. However, following the group to be accepted is a good idea, but can have some harmful side effects and this is being irrational. Besides, there is a common sense that the probability that a large group of people make mistake is very little, so a large group of people can be followed. Unfortunately, in practice, a large group of people also make mistakes and following them is continued.
Herding behavior among investors in Tehran Stock Exchange is surveyed in this research by Hwang and Salmon (2006) model. In this model, herding is defined as the behavior of investors who simply follow the performance of specific factors such as the market portfolio itself, and hence buy or sell individual assets at the same time disregarding the long-run risk-return relationship. This research, consider total market return as a specific factor and use beta herding as a tool of herding diagnosis. Beta herding is calculated by rolling windows regression with 24 month windows.
Herding is measured from 2003 to 2007 and existence of herding is confirmed. We also tested stability and cointegration of beta herding, total market return, trading volume, trading value and inflation rate as a special macroeconomic variable. As a result, Angel-granger test for cointegration is confirmed and significant long-term relation and convergence among them is approved.