Document Type : Research Paper
Authors
1
Associate professor, Department of Theoretical Economics, Faculty of Economics and Administrative Science, University of Mazandaran, Babolsar, Iran
2
Ph.D. Candidate, Department of Theoretical Economics, Faculty of Economics and Administrative Science, University of Mazandaran, Babolsar, Iran
Abstract
This study examines the impact of the trading behavior of different investor groups on stock market returns in the Tehran Stock Exchange. Given the heterogeneity of investors in terms of knowledge, experience, access to information, and trading objectives, they are expected to exhibit different buying and selling patterns, which may, in turn, have different effects on market returns. In this study, the trading behavior of institutional traders, online traders, and investment funds is examined based on the value and volume of transactions, separately for buy and sell positions. To analyze the dynamic relationships between the trading behavior of these groups and market returns, the Vector Autoregression (VAR) model is employed using daily data covering the period from March 2015 to December 2023.
The results of the impulse response analysis indicate that, on the buying side, online traders exert the greatest impact on market returns, whereas investment funds have the smallest effect. On the selling side, institutional traders are the most influential group, while investment funds continue to play the least influential role. The results of the forecast error variance decomposition further confirm the existence of a significant bidirectional relationship between the trading behavior of investor groups and stock market index returns. Overall, the findings suggest that the emotional trading behavior of online traders intensifies short-term market volatility, institutional traders play a more prominent role during market downturns and periods of selling pressure, and investment funds, despite their limited short-term impact, exhibit more stable trading behavior over the long run.
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