نوع مقاله : علمی - پژوهشی
نویسندگان
1 استادیار، گروه مدیریت مالی و بیمه، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران.
2 کارشناسی ارشد حسابداری، گروه حسابداری، دانشگاه فردوسی مشهد، مشهد، ایران
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
Purpose: In financial markets and behavioral finance studies, herding behavior is a critical phenomenon that significantly affects market dynamics. This behavior occurs when investors make decisions not based on their independent analysis or information but by imitating the actions of others. Understanding herding behavior can provide valuable insights into the formation of bubbles in stock markets and contribute to improving capital market efficiency. Herding often leads to price distortions, creating a gap between market prices and their intrinsic values, ultimately affecting market stability. This study explores the relationship between monetary policies, exchange rate changes, and herding behavior among shareholders in the Tehran Stock Exchange (TSE).
Method: To measure herding behavior, the study uses the model developed by Chang et al. (2000), which identifies herding when the deviation of stock returns from the market return decreases, signaling that investors are following market trends rather than making independent decisions. Monetary policy variables are assessed using seasonal changes in liquidity volume, while exchange rate changes are evaluated based on monthly exchange rate fluctuations. This research relies on time-series data spanning from 2011 to 2021, covering 133 companies listed on the TSE. Multivariate regression analysis was employed to test the hypotheses, offering a comprehensive examination of the factors driving herding behavior over a significant period.
Findings: The findings indicate that exchange rate fluctuations are a key driver of herding behavior in the Tehran Stock Exchange. As exchange rates fluctuate, investors are more likely to mimic the behavior of others rather than rely on their independent assessments. Additionally, changes in liquidity volume also appear to influence herding behavior; however, these results are not statistically significant. This suggests that while liquidity changes may play a role, they are insufficient on their own to trigger significant herding behavior. The study underscores the importance of maintaining exchange rate stability to mitigate irrational collective behaviors and preserve market discipline.
Conclusion: Herding behavior increases the divergence between market prices and the intrinsic values of stocks, leading to higher risks of price crashes and reduced capital market efficiency. This behavior can create conditions for bubbles and subsequent market collapses. Research shows that herding is more prevalent during stable market conditions—whether rising or falling—than in times of volatility and uncertainty. This suggests that investors are more inclined to follow collective trends during predictable market phases, while volatile conditions encourage more individualistic decision-making. To prevent the adverse effects of herding, policymakers should intervene early during stable market conditions, before the onset of financial crises or the formation of bubbles. Proactive measures, such as regulatory frameworks to enhance market transparency and ensure the dissemination of accurate information, are essential. Based on the results of this study, it is recommended that stock market regulators leverage the impact of exchange rate fluctuations to guide investor behavior, steer the market toward intrinsic values, and prevent bubble formation or excessive market collapses. Additionally, policymakers, including the central bank and legislators, must account for the limitations of rational models when designing monetary policies. They should also consider behavioral, psychological, and cognitive factors influencing market participants to ensure policies are more effective in managing market dynamics.
کلیدواژهها [English]