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

Author

Listed:
  • Jafari , Farzad

    (University of Tehran)

  • Tehrani , Reza

    (University of Tehran)

  • Abbasian, Ezatollah

    (University of Tehran)

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.

Suggested Citation

  • Jafari , Farzad & Tehrani , Reza & Abbasian, Ezatollah, 2019. "Impacts of Economic Variables on Herding Behavior in Tehran Stock Exchange Industries," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 14(3), pages 317-333, July.
    • Handle: RePEc:mbr:jmonec:v:14:y:2019:i:3:p:317-333
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    More about this item

    Keywords

    Herding Behavior; Cross-Sectional Standard Deviation; Financial Market; Macroeconomics;
    All these keywords.

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • I32 - Health, Education, and Welfare - - Welfare, Well-Being, and Poverty - - - Measurement and Analysis of Poverty

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