Intentional or Unintentional Testing of Market Factor Beta Herding in Tehran Stock Exchange

Herding behavior in capital market is a condition that investors intentionally or unintentionally do similar actions in buying and selling. Unlike intentional herding that investors consciously ignore their private information and imitate from others، in unintentional herding the origin of investors’ uniform actions is shared access to market information. Although intentional herding is destructive phenomena and is origin of anomalies such as bubbles، crashes،… in market، unintentional herding is a sign of informational efficiency in market. In this research we via state space model and by beta herding approach، investigate the investor herding to market factor and separate such herding from common movements that induced by movements in fundamental variables. This research has conducted for 1380-1389 period (120 month). In this research we find that investors in Tehran Stock Exchange (TSE)، continuously and intentionally herd to market factor.