فعالیت های پژوهشی
Developing a Model for Investors’ Behavior by Wavelet Analysis in Tehran Stock Exchange
Some Criticisms to Efficient Market theory and its rational assumptions such as Econometrics analysis on pricing time series, DPS and incomes caused new models to be expanded in financial markets. These models relate psychology to finance. Through this field, researchers faced with many exceptions in financial markets and concluded that psychological phenomena play an important role to determine financial markets behavior. In this research, different types of investors’ behavior have been recognized in different time scales. A general model for Tehran Stock Exchange has been designed by using the time series data, from 2006 to 2010. Wavelet analysis has been used as a statistical and analytical tool to explain trait and multi resolution. Research results show that investors have different reaction after good or bad news, their reaction in long term scale is more distinct than short term. But it isn’t observed any difference among investor’s behavior in different industries.
Keywords: Investor Behavior; over reaction; Wavelet; ERC