Providing an Index to Measure the Sentiment Investor in the Iranian Capital Market

Document Type : Research Paper

Authors

1 MSc Student, Financial Department, Faculty of Finance, khatam University, Tehran

2 Associate Professor, Department of Finance, Faculty of Islamic Studies and Management, Imam Sadegh University, Tehran, Iran

3 Student, Department of Finance, Faculty of Islamic Studies and Management, Imam Sadegh University, Tehran, Iran,

10.22051/jfm.2024.44173.2838

Abstract

Market sentiment or investor sentiment is investors' general perception towards a particular security or the entire financial market. Investors' emotions are considered one of the critical factors affecting the stock price, but the behavioral tendencies of humans have made the measurement of emotions face challenges; Therefore, the main problem of this research is to extract a quantitative index to measure sentiment tendency in Tehran Stock Exchange. This research is considered to be descriptive-correlational from the point of view of practical purpose and from the point of view of data collection. In this research, using the principal component analysis (PCA) method, an index was extracted to measure the emotional tendency of Tehran Stock Exchange investors based on monthly data during the period of 2019-2018. The emotional variables used in the final index are the number of stock transactions, the net cash flow of mutual funds, the ratio of small investors' transactions, the discount of investment companies' shares, the price-to-earnings ratio, the psychological line index, the relative strength index, and the volume of stock transactions.

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Main Subjects

References

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History

  • Receive Date: 24 June 2023
  • Revise Date: 04 September 2023
  • Accept Date: 17 October 2023

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