The Characteristics of Stocks on Herding Behavior in Tehran Stock Exchange Corporations

Subject Areas :

Jalil Khodaparast Shirazi ¹ (استادیار دانشگاه آزاد اسلامی واحد شیراز)
Mohammad Sayrani ² (دکتری حسابداری دانشگاه تهران)
Somayeh Abolfathi ³ (دانشجوی ارشد حسابداری دانشگاه ازاد اسلامی واحد مرودشت)

Received: 2015-05-10 Accepted : 2015-05-10 Published : 2011-11-22

Keywords: Behavioral Finance, Herding Behavior, LSV Model,

Abstract :

Policymakers often express concern that behavioral finance such as herding by financial market participants destabilizes markets and increases the fragility of the financial system. This paper provides an empirical research on herding behavior of investors whit employing technique of Lakonishok, Shleifer, and Vishny, 1992, (LSV) herding measure by using a data-set consisting of all their daily transactions of 59 corporations in Tehran stock exchange corporations and during 24 months ( Dec.2007 until Dec.2009), and explores the factors that can explain such behavior. In this study demonstrates that herding is affected by four features specific to the stocks, such as their size, systematic risk, idiosyncratic risk, and P/E. Size, systematic risk and idiosyncratic risk tend to positively affect herding but this effect is significantly higher for size. This context also reveals that P/E influences herding negatively. In general most of the results are consistent with the theory that herding is information based, and also when market conditions are favorable.

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