عنوان مقاله [English]
There is no place for traders to emerge sentiment in classical finance, but the behavioral financial paradigm shows that in some cases, stock price changes have no fundamentals, and the emotional tendency of the investor plays an important role in determining prices. Investor sentiment is defined as the tendency of market participants for speculation and this tendency can be related to the psychological state of the minds of investors. Given the fact that distressed traders are influenced by the emotions and emotions of the market, an emotional tendency indicator is used to explain the behavior of these types of traders. The emotional tendency indicators are extracted in two ways: direct (survey method) and indirect (through the analysis of statistics and market data).
This study, based on past research and stock market conditions in Iran, analyzed the principal component analysis method (PCA) with different sentiment variables and indicators for extracting a composite sentiment index for noise traders in Iranian stock market, which ultimately Regarding the special value of the first component and the factor load (coefficients) of the variables, three variables were used in the final index. These three variables are: "Monthly volume of retail transactions by volume of total stock trades", "Monthly volume of online transactions by volume of total stock trades", and "Monthly volumes of stock trades by wholesalers and wholesalers by volume of total market transactions".