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Behavioral trading strategies and investor sentiment: Empirical research in Tehran stock exchange (TSE)

Indonesian Capital Market Review

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Title Behavioral trading strategies and investor sentiment: Empirical research in Tehran stock exchange (TSE)
 
Creator kiarash mehrani; Department of Financial Management, Tehran Science and Research Branch, Islamic Azad University,Tehran,Iran
Fereydoon Rahnamay Roodposhti; Department of Financial Management, Tehran Science and Research Branch, Islamic Azad University,Tehran,Iran
Hashem Nekomaram; Department of Financial Management, Tehran Science and Research Branch, Islamic Azad University,Tehran,Iran
Ali Saeedi; Department of Management, North-Tehran Branch, Islamic Azad University, Tehran,Iran
 
Subject Contrarian and momentum strategy; Arms index; optimism and pessimism sentiment
 
Description In this study, we analyze contrarian and momentum strategies in periods associated with optimism or pessimism, and we compare them to the normal market sentiment condition. We evaluate the sentiment using the Arms adjusted index. Then, using the vector autoregressive test, we analyze the relationships among sentiment, stock returns, excess returns, and volatility. The results show that the formation of a short-term portfolio in one- and three-month periods of optimism and pessimism do not create additional returns and results in losses. In addition, the outcomes indicate that combining normal market sentiment with behavioral finance strategies increases performances, with more significant results seen using contrarian strategies compared to momentum strategies.
 
Publisher Management Research Center, Department of Management, Faculty of Economics and Business, U
 
Contributor —
 
Date 2016-07-30
 
Type Peer-reviewed Article
 
Format application/pdf
 
Identifier http://journal.ui.ac.id/index.php/icmr/article/view/5708
 
Source Indonesian Capital Market Review; Vol 8, No 2 (2016): July 2016; 94-109
 
Language en