EFFECTS OF CURRENCY FLUCTUATION AND HERDING BEHAVIOR ON EMERGENCE OF BULL AND BEAR MARKETS IN TEHRAN STOCK EXCHANVE
DOI:
https://doi.org/10.22478/ufpb.2179-7137.2020v9n2.50801Palavras-chave:
currency fluctuation, herding behavior, bull market, bear marketResumo
This study analyzed the effects of currency fluctuations and herding behavior of investors on the emergence of bull and bear markets in 36 industries listed in the Tehran Stock Exchange. The Christie-Huang model (1995) and the Kalman filter were employed to evaluate herding behavior and currency shock, respectively, in order to detect the days on which these fluctuations acted as anomalous pulses. In addition, the logistic regression was utilized to analyze and predict bull and bear markets because the dependent variable was dichotomous. According to the results, herding behavior had no effects on the market trend and emergence of bull and bear markets; however, currency fluctuations showed very slight effects.
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Referências
Blasco, N. Corredor, P. Fereruela. (2012)." Does herding affect volatility? implications for the Spanish stock market", Quantitative Finance Journal, 12 (2), 311– 327.
Chien.Chiang Lee,) 2005(. Energy consumption & GDP in developing countries: A cointegrated panel analysis, Energy Economics, Elsevier, 27(3), 415-427, May.
Henry, Nyberg. (2013). "Predicting bear and bull stock markets with dynamic binary time series models", Banking & Finance Journal, 3351-3363.
Izadinia, N. and Hajian, A. (2009). “Analyzing and testing the herding behavior in the industries listed in the Tehran Stock Exchange”. Stock Exchange Quarterly, 2(7): 105-132.
Yousefi, R. (2009). “Investigating and testing the herding behavior of investors in Stock Exchange”. Journal of Development and Evolution Management, 2(5): 57-64.
Zareh, H. and Rezaei, Z. (2006). “Effects of currency, coin, and housing market on the Tehran Stock Exchange trend: vector error correction model”. Journal of Human Science Research (University of Isfahan), 21(2): 99-112
Chien.Chiang Lee,) 2005(. Energy consumption & GDP in developing countries: A cointegrated panel analysis, Energy Economics, Elsevier, 27(3), 415-427, May.
Henry, Nyberg. (2013). "Predicting bear and bull stock markets with dynamic binary time series models", Banking & Finance Journal, 3351-3363.
Izadinia, N. and Hajian, A. (2009). “Analyzing and testing the herding behavior in the industries listed in the Tehran Stock Exchange”. Stock Exchange Quarterly, 2(7): 105-132.
Yousefi, R. (2009). “Investigating and testing the herding behavior of investors in Stock Exchange”. Journal of Development and Evolution Management, 2(5): 57-64.
Zareh, H. and Rezaei, Z. (2006). “Effects of currency, coin, and housing market on the Tehran Stock Exchange trend: vector error correction model”. Journal of Human Science Research (University of Isfahan), 21(2): 99-112
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Publicado
2020-02-24
Como Citar
ABBASI SHEHNI, S. . EFFECTS OF CURRENCY FLUCTUATION AND HERDING BEHAVIOR ON EMERGENCE OF BULL AND BEAR MARKETS IN TEHRAN STOCK EXCHANVE. Gênero & Direito, [S. l.], v. 9, n. 2, 2020. DOI: 10.22478/ufpb.2179-7137.2020v9n2.50801. Disponível em: https://periodicos.ufpb.br/index.php/ged/article/view/50801. Acesso em: 19 abr. 2024.
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