noise trading

Classic finance believes that stock price changes are related to systematic changes in the company's intrinsic values. However, recent research shows that behavioral factors play a very important role in determining stock prices and returns of investors, one of these behavioral patterns is noise trading. The purpose of this study is to investigate the effect of unsystematic risk fluctuations on noise transactions.    For this study, we use the random variance of the capital asset pricing model-disrupted unit as a measure of unsystematic risk fluctuations and for measuring noise trading We used a comparison of  company market value with industry companies the average market value. The research sample included 92 companies listed in the Tehran Stock Exchange during the period of 2011-2016.       The result of the test the hypothesis of the research showed that the relationship between unsystematic risk fluctuations and noise trading using is positive and significant and thus unsystematic risk fluctuations can be used as a criterion for detecting noise trading.

Financial markets are currently experiencing sharp volatility. Studying how the returns and volatility in one market affect other markets has always been one issue that helps investors and policymakers to make optimal decisions. Given the importance of volatility spillovers in the Iranian financial market, this study aimed to investigate the mechanisms behind the volatility spillovers in the foreign exchange, gold, and stock markets to the oil market in Iran. This descriptive study was conducted using the daily and monthly data from the oil, foreign exchange, gold, and capital markets from 2010 to 2019 and to analyze the data, ARCH and GARCH models have been used. The results of this study showed that the abnormal volatility of the foreign exchange and gold in the previous day positively affects the abnormal volatility of the oil market today, this indicates that money flows in the currency market, spilling over the fluctuations into the oil market. hey also found that the abnormal volatility of the capital market in the previous day negative affects the abnormal volatility of the oil market today, indicating that if money flows in the capital market, which indicates the flow of money in the capital market from yesterday, increasing the transfer of emotions to the current capital market but does not spillover into the oil market and volatility is not transferred into the oil market. Overall, the findings of this study confirmed the positive impact of the foreign exchange and gold markets on the abnormal volatility in the oil market in the short term (daily) and long term (monthly), but did not confirm the positive impact of the capital market on the abnormal volatility in the oil market.