Title of article
Impact of Herding on Buy & Hold, Momentum & Contrarian Strategy in Tehran Stock Exchange
Author/Authors
Firoozabadi, Soroosh Financial Engineering Group - Industrial and Systems Engineering Faculty - Tarbiat Modares University, Tehran, Iran , Rastegar Sorkheh, MohammadAli Financial Engineering Group - Industrial and Systems Engineering Faculty - Tarbiat Modares University, Tehran, Iran
Pages
12
From page
1
To page
12
Abstract
This paper aims to study the effect of herding on buy and hold, momentum and contrarian strategy. In this research, the cross-sectional absolute deviation is used to identify herding behavior in twenty industries in Tehran stock market. It is observed that the down and boom periods had more industries with herding. Moreover, the weak herding is more common than the strong herding in this market. In addition, the results showed that in all studied strategies, strong herding had a negative effect on industries return in every period except in the bust periods. On the other side, industries with the weak herding had more return than industries without herding in all periods except the bust period.
Keywords
Contrarian strategy , Momentum strategy , Buy and hold strategy , Herding
Journal title
Astroparticle Physics
Serial Year
2019
Record number
2484913
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