EXTENDED ABSTRACT
INTRODUCTION
 Herd behavior has spread in many environments, including sociology, psychology, economics and finance. Basically, herd behavior is one of the key issues in the field of behavioral finance. In financial markets, herd behavior is a process in which investors may ignore their logical analysis and instead take behavior like a group. This type of behavior can have different reasons, such as job concerns, the same style of investment and other factors. Herding Behavior, as a visible social and behavioral phenomenon in financial markets, has a significant impact on market performance. In addition, large-scale herding behavior can lead to an unexpected boom or fall in financial markets. These sudden and unpredictable changes can have irreparable effects on the whole economy. In other words, herd behavior may cause major fluctuations in financial markets, which leads to instability as well as market stability. Hence, due to the lack of a comprehensive study of herd behavior in the growth and fall of recent years in the Tehran Stock Exchange, the authors have examined this behavior in the Tehran Stock Exchange.
 
METHODOLOGY
The present study is descriptive-survey in terms of purpose, application and method and nature. Also, the duration of the research is 6 years from 2016 to 2022. To select sample companies using the systematic elimination sampling method, 130 companies have been selected as sample volumes. Also, the daily data of these companies has been used. In order to measure the herd behavior of the Tehran Stock Exchange, the authors have used the absolute cross-sectional deviation (CSAD) .
 
FINDINGS
In order to find evidence of herd behavior in Tehran Stock Exchange, regression ols are used. Considering that the square coefficient of market returns in Table 1 is negative. It can be seen that over the course of the period under review, investors follow market performance and ignore individual stock characteristics. Hence, there is significant evidence of herd behavior at the market level over the entire daily interval.
 
Table 1.The results of regression
 Source: Research results




Independent variables


coefficients


T -Statistics


Prob


Conclusion

 



C


0.0158


32.048


0.000


Significant in the model

 



ABS_Rm


0.472


15.296


0.000


Significant in the model

 



SQ_Rm


-20.322


-15.135


0.000


Significant in the model

 



AR(1)


0.849


55.742


0.000


Significant in the model

 



 




F-statistic









761.025


 




R-squared









0.712

 


 



Prob


0.000

 



 




    Durbin-Watson stat









2.48


 




Adjusted R-squared









0.711

 


 



 
After knowing the existence of a herd of behavior in the Tehran Stock Exchange, the authors affected the effect of this behavior during the rise and decline of the market. According to the negative factors of and  in Table 2 , it can be concluded that herd behavior has existed both during the decline of the market and during the boom of the market during the period under review. Also, given that the absolute value of the coefficient is higher than  , it can be concluded that the amount of herd behavior during the decline of the market has increased since the boom of the market.     
 
Table 2.The results of regression
 Source: Research results




Independent variables


coefficients


T -Statistics


Prob


Conclusion

 



C


0.016


32.425


0.000


Significant in the model

 



 


0.344


16.365


0.000


Significant in the model

 



 


-0.455


-16.012


0.000


Significant in the model

 



 


-15.051


-22.386


0.000


Significant in the model

 



 


-17.582


-15.987


0.000


Significant in the model

 



AR(1)


0.849


58.378


0.000


Significant in the model

 



 




F-statistic









527.262


R-squared


0.698

 


 



Prob


0.000

 



 




    Durbin-Watson stat









2.453


Adjusted R-squared


0.697

 


 



 
CONCLUSION
Herd behavior is one of the most important issues in the field of financial behavior that can distract the price of assets from their fundamental value. Sometimes the imitation of institutional investors leads to market price efficiency. According to the findings of this research, in particular, the more severe herd behavior of investors during the decline of the market, it is suggested that policymakers try to provide solutions with increased investor tolerance during the decline of the market. It is also suggested that by comparing the capital market of Iran with other capital markets of other countries, the deeper identification of the causes of the underlying herd behavior being addressed.