Hypothesis testing of Heterogeneous agents using STAR model with multivariate transition function: A case study of Tehran Stock market

In this study, in order to investigate the hypothesis of Heterogeneous agents in the Tehran Stock market and for examine empirically the importance of fundamental analysts and technical analysts in Tehran Stock market and the effects of macroeconomic variables on the share of the decision-makers in the stock market, we have used Tehran Stock Exchange data and Iran's macroeconomic time series data to estimate the STAR model with multivariate transition function over the seasonally period 1376 to 1393. The results of the model indicate that the share of market fundamentalist analysts when high risk and high volatility in stock price indices in the market there is more than technical analysts. Economic growth also took a larger share of the market analysts use technical analysis agents Therefore market prices diverge from their fundamental value. Also during that industrial production in the economy increases fundamentalist analysts are dominant in the stock market and Prices gradually converge towards the base price