Investor Sentiment Model based on Asymmetric Conditions of Strategies in Psychological Games of Stock Price

Document Type : Research Paper

Authors

1 Department of Accounting, Sanandaj Branch, Islamic Azad University, Sanandaj, Iran

2 Department of Accounting, Kangavar Branch, Islamic Azad University, Kangavar, Iran

3 Assistant Professor of Accounting, Department of Accounting, Sanandaj Branch, Islamic Azad University, Sanandaj, Iran

4 Department of Psychology, Kangavar Branch, Islamic Azad University, Kangavar, Iran

10.22051/jfm.2024.42711.2777

Abstract

The present study is to develop a model based on Barberis investor's sentiment model and in the framework of DGPS dynamic psychological games. This model is related to herding behaviors biases and influenced by general and macroeconomic factors that emerge in the form of stock price return shocks and in the stock market index. These shocks, in the framework of explanatory model, evaluate changes in stock trading volume in weekly intervals and monetary inflation simultaneously in two unexpected and expected inflations in Tehran Stock Exchange from the beginning of 2015 to the beginning of 2020. The findings based on this rotational and dynamic model showed that in the periods when the stock market exclusively passes the period of optimism and pessimism, a significant relationship between the sales volume of ordinary investors and the total volume of transactions has a unilateral convergence. However, in the periods when the stock market and the foreign exchange market will be aligned with each other, the period of optimism and pessimism will be unique, this relationship has a two-way convergence. In addition, the results of this study showed that psychological games of investors with expected inflation variable can provide a suitable fit for the ability distribution of asymmetric strategies model of Banerjee's asymmetric behaviors.

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References

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History

  • Receive Date: 24 January 2023
  • Revise Date: 11 May 2023
  • Accept Date: 21 April 2024

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