Asymmetric association of investor sentiments with stock returns in companies listed on the Tehran Stock Exchange

Abstract

This research examines the asymmetric relationship between investor sentiments and stock returns in companies listed on the Tehran Stock Exchange. It is an applied research with correlational nature and content. Its statistical population is all the companies admitted to the Tehran Stock Exchange. The number of samples is 119 companies during the years 2014 to 2020 and its sampling method is systematic elimination. The data for the research were collected through Rahavard Novin software and were analyzed using the data pooled regression model and Granger causality test through E'views10 software. The results showed that investor sentiments have an asymmetric and significant effect on stock returns in companies listed on the Tehran Stock Exchange. This means that investor sentiments have an asymmetric effect on stock returns, and the behavioral finance hypothesis is confirmed.

Keywords: Investor Sentiments, Stock Returns, Fundamental Value Of Stocks, Tehran Stock Exchange