Ali Akbar Eftekhari; Hamidreza Vakilifard
Volume 4, Issue 15 , January 2015, , Pages 1-24
Abstract
Criticisms to efficient market theory and its rational assumptions as well as econometric analyses on pricing time series, DPS and incomes led to the development of models that related psychology to financial markets. Subsequently, researchers found many exceptions in financial markets and concluded ...
Read More
Criticisms to efficient market theory and its rational assumptions as well as econometric analyses on pricing time series, DPS and incomes led to the development of models that related psychology to financial markets. Subsequently, researchers found many exceptions in financial markets and concluded that psychological phenomena play an important role in determining behavior in financial markets. In this research, different types of investors’ behavior have been analyzed in different time scales. The authors have designed a general model for capital market of Iran using the time series data of Tehran Stock Exchange companies reported from 2006 to 2010. Wavelet analysis was used as a statistical and analytical instrument to explain trait and multi resolution . Research results show that investors have different reactions after good or bad news. Their reaction in long term scale is more significant than that in short term scale. However, no significant difference was found among investors behavior in different industries.