文章基本信息

标题：EFFECTS OF CURRENCY FLUCTUATION AND HERDING BEHAVIOR ON EMERGENCE OF BULL AND BEAR MARKETS IN TEHRAN STOCK EXCHANVE
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作者：Samira Abbasi Shehni
期刊名称：Revista Gênero & Direito
印刷版ISSN：2179-7137
出版年度：2020
卷号：9
期号：2
页码：431-449
DOI：10.22478/ufpb.2179-7137.2020v9n2.50801
出版社：Revista Gênero & Direito
摘要：This study analyzed the effects of currency fluctuations and herding behavior of investors on the emergence of bull and bear markets in 36 industries listed in the Tehran Stock Exchange.The Christie-Huang model (1995) and the Kalman filter were employed to evaluate herding behavior and currency shock, respectively, in order to detect the days on which these fluctuations acted as anomalous pulses.In addition, the logistic regression was utilized to analyze and predict bull and bear markets because the dependent variable was dichotomous.According to the results, herding behavior had no effects on the market trend and emergence of bull and bear markets; however, currency fluctuations showed very slight effects.
关键词：currency fluctuation; herding behavior; bull market; bear market