An application of unit rate estimation on shareholders’ overreaction: Evidence from Tehran Stock Exchange
This paper characterizes the stockholders overreaction thorough return and price mean reverting behavior in specified ten major industry groups in Tehran Stock Exchange (TSE). For investigation of mean reversion presence, we use corporate firms from ten specified industry groups traded on the Tehran...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Growing Science
2014-05-01
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| Series: | Management Science Letters |
| Subjects: | |
| Online Access: | http://www.growingscience.com/msl/Vol4/msl_2014_94.pdf |
| _version_ | 1818056329721282560 |
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| author | Mohammad Khodaei Valahzaghard Amin Shakourloo |
| author_facet | Mohammad Khodaei Valahzaghard Amin Shakourloo |
| author_sort | Mohammad Khodaei Valahzaghard |
| collection | DOAJ |
| description | This paper characterizes the stockholders overreaction thorough return and price mean reverting behavior in specified ten major industry groups in Tehran Stock Exchange (TSE). For investigation of mean reversion presence, we use corporate firms from ten specified industry groups traded on the Tehran Stock Exchange and using a random walk with drift model with data over the period 2009-2013 period and recursive estimation in stability diagnostics test. The primary objective of this paper is to investigate mean reversion phenomenon in ten major industries including maximum number of real and nonstrategic investors with two different methods on quarterly return and monthly price time series. The results indicate that mean reversion occurred in the returns of these industry group. In addition, we use two major Unit Root Tests as complementary and final analysis. Out results also indicate that mean reversion takes place, significantly in eight industry groups and price time series in two industry groups follow a random walk process. |
| first_indexed | 2024-12-10T12:27:07Z |
| format | Article |
| id | doaj.art-c3e66eefb3304161acdffba31501c0b0 |
| institution | Directory Open Access Journal |
| issn | 1923-2934 1923-9343 |
| language | English |
| last_indexed | 2024-12-10T12:27:07Z |
| publishDate | 2014-05-01 |
| publisher | Growing Science |
| record_format | Article |
| series | Management Science Letters |
| spelling | doaj.art-c3e66eefb3304161acdffba31501c0b02022-12-22T01:48:56ZengGrowing ScienceManagement Science Letters1923-29341923-93432014-05-014594195010.5267/j.msl.2014.3.019An application of unit rate estimation on shareholders’ overreaction: Evidence from Tehran Stock ExchangeMohammad Khodaei Valahzaghard Amin Shakourloo This paper characterizes the stockholders overreaction thorough return and price mean reverting behavior in specified ten major industry groups in Tehran Stock Exchange (TSE). For investigation of mean reversion presence, we use corporate firms from ten specified industry groups traded on the Tehran Stock Exchange and using a random walk with drift model with data over the period 2009-2013 period and recursive estimation in stability diagnostics test. The primary objective of this paper is to investigate mean reversion phenomenon in ten major industries including maximum number of real and nonstrategic investors with two different methods on quarterly return and monthly price time series. The results indicate that mean reversion occurred in the returns of these industry group. In addition, we use two major Unit Root Tests as complementary and final analysis. Out results also indicate that mean reversion takes place, significantly in eight industry groups and price time series in two industry groups follow a random walk process.http://www.growingscience.com/msl/Vol4/msl_2014_94.pdfOverreactionMean reversionIndustry groupTime seriesUnit root |
| spellingShingle | Mohammad Khodaei Valahzaghard Amin Shakourloo An application of unit rate estimation on shareholders’ overreaction: Evidence from Tehran Stock Exchange Management Science Letters Overreaction Mean reversion Industry group Time series Unit root |
| title | An application of unit rate estimation on shareholders’ overreaction: Evidence from Tehran Stock Exchange |
| title_full | An application of unit rate estimation on shareholders’ overreaction: Evidence from Tehran Stock Exchange |
| title_fullStr | An application of unit rate estimation on shareholders’ overreaction: Evidence from Tehran Stock Exchange |
| title_full_unstemmed | An application of unit rate estimation on shareholders’ overreaction: Evidence from Tehran Stock Exchange |
| title_short | An application of unit rate estimation on shareholders’ overreaction: Evidence from Tehran Stock Exchange |
| title_sort | application of unit rate estimation on shareholders overreaction evidence from tehran stock exchange |
| topic | Overreaction Mean reversion Industry group Time series Unit root |
| url | http://www.growingscience.com/msl/Vol4/msl_2014_94.pdf |
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