Impacts of Economic Variables on Herding Behavior in Tehran Stock Exchange Industries

Farzad Jafari (), Reza Tehrani () and Ezatollah Abbasian ()
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Farzad Jafari : University of Tehran
Reza Tehrani : University of Tehran
Ezatollah Abbasian: University of Tehran

Journal of Money and Economy, 2019, vol. 14, issue 3, 317-333

Abstract: The stock market is influenced by other parallel markets and macroeconomic variables; such variables have impacts on the behavior of financial market players. Accordingly, this study first examines the existence of herding behavior among investors in the Tehran Stock Exchange (TSE). It then investigates the effects of exogenous economic variables on this industry-level behavior in the Tehran Stock Exchange (TSE) throughout 2008-2018. For this purpose, 12 different industries were studied, and the results of nonlinear regression analysis showed the existence of herding behavior in all selected industries in the bearish market. However, this is not true for the bullish market. The findings also indicate that the effects of exogenous variables are not the same in different industries.

Keywords: Herding Behavior; Cross-Sectional Standard Deviation; Financial Market; Macroeconomics (search for similar items in EconPapers)
JEL-codes: C40 E31 I32 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:mbr:jmonec:v:14:y:2019:i:3:p:317-333

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