Past-oriented behavioral bias: A study on S&P & TEPIX index-es

Document Type : َApplied-Research Paper


1 Faculty of Economics, University of Tehran, Tehran, Iran

2 Faculty of management, University of Tehran, Tehran, Iran

3 Faculty of social sciences and economics, Alzahra University, Tehran, Iran



Behavioral finance had been becoming a fast-growing field of study in the past few years and because of the importance of investors' behavior in market performance, it's extremely noteworthy. By studying biases from their orientation perspective, we can divide them into two major groups, past-oriented, and current-oriented biases. In this research, a model had been developed for the past-oriented behavioral bias, which is closely related to the random walk theory. The research sample included the daily price information of 9 different industry indices in the Tehran Exchange Price Index (TEPIX), the index of 50 Top Companies in the Tehran Stock Exchange, and the S&P index in the New York Stock Exchange from 03/25/2011 to 03/19/2019. The results of the ARIMA model based on Markov switching models were measured for the degree of rigidity of these indexes by random walk theory, and then the effect of past-oriented behavioral bias was calculated in each of these 12 indexes by developing a new model. The results indicate that the cement index had the highest past-oriented behavioral bias (57%), followed by the top 50 companies index (46%), chemicals (41%), and oil product index (12%). However, the S&P index had no past-oriented behavioral bias.


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Volume 7, Issue 1
January 2022
Pages 229-243
  • Receive Date: 09 May 2021
  • Revise Date: 22 September 2021
  • Accept Date: 25 September 2021
  • First Publish Date: 28 September 2021