Analysis of Behavioral Reactions in Tehran Stock Exchange

Subject Areas : Journal of Investment Knowledge

Hamidreza Vakilifard ¹ (Member of Board,Department of Management, Science and Research Branch, Islamic Azad University)
Ali Saeedi ² (Member of Board,Department of Management, North- Tehran Branch, Islamic Azad University)
Akbar Eftekhari Aliabadi ³ (Department of Management, Science and Research Branch, Islamic Azad University)

Received: 2013-05-10 Accepted : 2013-09-11 Published : 2013-09-11

Keywords: Behavioral Finance, Investor Behavior, Over&amp, Under reaction, Wavelet,

Abstract :

Through Behavioral finance, researchers faced with many exceptions in financial markets and concluded that psychological phenomena play an important role to determine financial markets behavior. In this research, different types of investors’ behavior have been recognized in different time scales. A general model for Tehran Stock Exchange has been designed by using the time series data, from 2006 to 2010. Wavelet analysis has been used as a statistical and analytical tool to explain trait and multi resolution. Research results show that investors have different reaction after good or bad news,their reaction in long term scale is more distinct than short term. Return of investment derived by price is different in various periods after good or bad news; it has the same trade as the direction of EPS adjustment in short term. But this trend isn’t recognized in long term.