احساس سرمایه‌گذاران از بازده بازار و تاثیر آن در شکل‌ گیری رفتار جمعی با رویکردی مبتنی بر تبعیت جمعی از بتا

هدف: این پژوهش تاثیر احساس سرمایه‌گذاران از بازده بازار در شکل‌گیری و بروز رفتار جمعی را با رویکردی مبتنی بر تبعیت از بتا در بورس اوراق بهادار تهران مورد مطالعه قرار می‌دهد. به عبارتی این پژوهش به بررسی این موضوع می‌پردازد که سرمایه‌گذاران در بورس اوراق بهادار تهران بر اساس اصول بنیادی تصمیم‌گیری می‌کنند، یا اینکه با نادیده گرفتن اصول علمی و تاثیرپذیری از عملکرد بازار اقدام به خرید و فروش و در صورت تاثیرپذیری از بازده بازار، اندازه ضریب بتا تا چه حد بر شدت این تاثیرپذیری می‌تواند نقش داشته باشد. روش: این پژوهش با استفاده از مدل هوانگ و سالمون (2009) در یک دوره 120 ماهه (از اول فروردین 1388 تا آخر اسفند 1397) به بررسی تاثیر احساس سرمایه‌گذاران در شکل‌گیری رفتار جمعی پرداخته است. یافته‌ها: نتایج حاصل نشان‌دهنده این است احساس سرمایه‌گذاران از بازده بازار بر تصمیمات سرمایه‌گذاری سرمایه‌گذاران در بورس اوراق بهادار تهران اثرگذار بوده به گونه‌ای که باعث شکل گیری رفتار جمعی از سوی آنها می‌شود. علاوه بر این، نتایج بدست آمده نشان می‌دهد سهام با ضریب بتای بزرگ و کوچک به یک میزان از بازده بازار تاثیر نمی‌پذیرند. نتیجه‌گیری: یافته‌های تحقیق نشان می‌دهد در بورس اوراق بهادار تهران سرمایه‌گذاران بدون توجه به متغیرهای بنیادی و بیشتر بر اساس شرایط حاکم بر بازار تصمیم گیری می‌کنند که نتیجه این گونه تصمیمات می‌تواند عدم کارایی بازار را به دنبال داشته باشد.

investors’ sentiment of market return and its effect on herd behavior formation with beta herding approach

objective: one of the main issues discussed in the behavioral financial paradigm is the herd behavior of investors. herd behavior indicates a situation in which investors, regardless of personal information and analysis, follow other investors. this study investigate the effect of investor sentiment on herd behavior formation with beta herding approach in tehran stock exchange. in other worlds, the purpose of this article is to examine whether investors decision making in tehran stock exchange based on fundamental variables or market performance. although this phenomenon may be considered logical from an individual point of view, but from a macro perspective, it can have destructive effects such as bubbles, price crashes, sharp price fluctuations, and as a result, distorted equilibrium relations and market inefficiencies. huang and salmon (2001) scientifically studied this phenomenon by presenting a model called beta herding. they believe that the simultaneous attention of investors to market returns causes the return of individual stocks to biased towards market returns, and as a result, the stock beta coefficient is close to the market beta coefficient. this study uses a beta herding method to investigate the effect of market sentiment on the probability of herd behavior in the tehran stock exchange. in other words, this study examines whether investors in the tehran stock exchange make decisions based on fundamental variables, or trade by ignoring these variables and being affected by market performance. this study also examines whether the stock beta coefficient affects the impact of market performance on investor decisions?method: the theoretical basis of this article is the information cascades theory. according to this theory, when investors observe a flow of information, review information and personal analysis according to the existing flow of information. since paying attention to market returns instead of fundamental variables disturbs the equilibrium relations in the market, so applying a capmbased approach can be used to identify and analyze herd behavior. this approach that founded by huang and salmon (2009) herding behavior is analyzed by basing the capm equilibrium relationship and examining market influence on this relationship. based on the herd beta approach, the crosssectional variance of betas can be considered as a measure of the impact of market returns on investors’ decisions. this means that the more investors pay attention to the market factor in their decisions, the smaller the crosssectional deviation of betas will be. therefore, the smaller crosssectional deviation of betas can indicate the presence of herd behavior of investors. since the herd behavior of investors in following the market returns, causes the stock beta to be biased, so the following relationship can be established between  and . (huang and salmon, 2009):which  is the equilibrium beta and   is the biased beta. the above relationship can be rewritten as follows:the significance of   statistic as the slope of the line in the above relationship indicates the effect of market returns on investors’ decisions and the formation of herd behavior. in order to investigate the effect of beta coefficient on the severity of the effect of stock returns from market returns, the following equation has been used:in above equation, the dependent variable is difference between low beta portfolio return (  with high beta portfolio return (  and herd behavior criterion  is the independent variable. also h is used as a lag, which in this study is assumed to be equal to 1. negative and significant  as the coefficient of  (crosssectional deviation of estimated betas ( ) in above relation means that stocks with high and low beta coefficient react the same to market returns.