An Investigation of the Relationship between Investor Sentiment and Price Stocks in Tehran Stock Exchange (TSE)

Document Type : Research Paper

Authors

Abstract

 
Journal of Accounting Advances (J.A.A)
Vol. 8, No. 1, 2016, Ser. 70/3
 
 
Extended Abstract
 
An Investigation of the Relationship between Investor Sentiment and Price Stocks in Tehran Stock Exchange (TSE)
 




Dr.   Mohammad Hossein Setayesh *


Kazem Shamsaddini**




                          
Introduction
       Behavioral finance commonly defined as the application of psychology to finance models and interprets phenomena ranging from individual investor conduct to market-level outcomes. Investors can greatly benefit from the application of behavioral finance to their unique situations. The traditional view on stock return proposes that stock price changes due to systematic changes in the fundamental value of the firm. But recent papers report that investor sentiment plays an important role in determining prices especially for the small cap stocks. This paper attempts to investigate the effect of investor sentiment on the price of stocks. In other words, the aim of this study is to investigate the relationship between the investor’s sentiment and price stocks in companies listed in Tehran Stock Exchange Market (TSEM).
 
Research Hypotheses
       In order to achieve the objective of this research, the present study has one primary hypothesis and six secondary hypotheses.
 Main hypothesis:  “there is a significant relationship between the investor sentimentand price stocks”.
Secondary hypotheses:
H1: There is a significant relationship between the effect of loss averse and price stocks.
H2: There is a significant relationship between the effect of long term reversals and price stocks.
H3: There is a significant relationship between the effect of momentum and price stocks.
H4: There is a significant relationship between the effect of size and price stocks.
H5: There is a significant relationship between the value premium (price/earnings) and price stocks.
H6: There is a significant relationship between the value premium (price/cash flow) and price stocks.
 
Method
       The present research is conducted following a quasi-experimental research design. Statistical population of this research includes the firms accepted in Tehran Stock Exchange. The study period is between the years 1385 to 1392 and 111 companies were investigated. In order to analyze the hypotheses, linear regression and t-test have been used. The collected data was calculated using the Excel software and was analyzed by EVIEWS8 and SPSS19.
 
Result
       The results of this research show that at confidence level of 95%, there is a significant positive relationship between the effect of momentum, value premium (price/earnings), and price stocks. Also there is a significant negative relationship between effect of loss averse and price stocks. But there is no  significant relationship between the effect of long term reversals, the effect of size, value premium (price/cash flow) and price stocks. In addition, the results of research concerning control variables show that there is a negative relationship between ROS and price stocks, but there is a positive relationship between ROA and price stocks.
Discussion and Conclusion
    Results from research hypotheses approve relationship between investor’s behavior and price stocks. In other words, current study shows that investor sentiment has an effect on price stocks. Obtained results emphasize that three variables including effect of momentum, value premium (price/earnings), and value premium (price/earnings) are significant in calculated price stocks. But three variables include the effects of long term reversals; value premium (price/cash flow) and effect of size are not significant.
 
Keywords: Investor Sentiment, price stocks, Behavioral finance, Tehran Stock Exchange Market (TSE).


 



* Associate Prof. of Accounting Department, Shiraz University


** Faculty Member of Accounting Department, Shahid Bahonar University of Kerman,  kshams@uk.ac.ir

Keywords

References

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  • Receive Date: 03 October 2016
  • Accept Date: 03 October 2016

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