investor type trading behavior and trade performance in tehran stock exchange

نویسندگان

احمد بدری

استادیار دانشکدۀ مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران بهاره عزآبادی

کارشناس‎ارشد مدیریت مالی، دانشگاه شهید بهشتی، تهران، ایران

چکیده

in this study, trading patterns and constituents of trading performances of individual and institutional investors have been investigated in a weekly manner, using an auto regressive model and a grinblatt & titman portfolio performance measure spanning 2008-2012. the results show that while individual investors have a herding behavior, institutional investors take contrarian trading strategies. evidence suggests that adopting the contrarian trading strategy by institutional investors resulted in better trading performance during most trading intervals, and the total net cash gains of this group has been achieved through a scheduled market timing. however, a poor stock selection has influenced part of the cash gain. on the other hand, adhering to the herding behavior by individual investors has resulted to a poor trading performance. also, unsatisfactory market timing has undone the cash gains of a clever stock selection.

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