The Investigation of the Role of Momentum and Investor's Sentiments on the Herding Behavior in Tehran Stock Exchange

In two recent decades, the investigation of herding behavior takes into consideration of many researchers. But a little research has done about the factors influence this phenomenon. The purpose of this paper is to investigate the role of momentum, investor's sentiments and firm size on the herding behavior in Tehran Stock Exchange. In this study, daily returns of market and firms for the period of 2001 to 2014 are used. In order to testing the research hypothesis multiple regression analysis and time series data are used. Furthermore, Granger causality tests for studying the Causal relationship between investor sentiments and herding behavior is used.
The research results indicate that investor's sentiments significantly effect on herding behavior. Granger causality tests support this result. But there are not any evidences about the influence of momentum and firm size on the herding behavior.