تأثير توجه همزمان سرمايه گذاران خرد بر هم حركتي بازده سهام: نقش تعديلي سهامداران نهادي

The attention of retail investors, constrained by cognitive an‎d informational limitations, plays a pivotal role in market fluctuations, as their decisions are driven by available information an‎d psychological factors. This leads to an increase in stock return co-movement an‎d the formation of pricing anomalies. Stock return co-movement, a defining characteristic of financial markets, signifies the simultaneous movement of a firmʹs returns with those of other firms within the same industry an‎d the overall market, directly influencing asset pricing an‎d portfolio management. Furthermore, institutional shareholders, with their privileged access to information an‎d capacity to influence corporate management, play a significant role in market dynamics. An increase in the share of these investors can contribute to mitigating the sentimental behavior of retail investors an‎d reducing excessive stock return co-movement. By investigating these three factors, this research seeks to enhance the understan‎ding of the impact of retail investor attention on stock return co-movement an‎d the role of institutional shareholders in moderating this impact, thereby contributing to the improvement of investment policies an‎d risk management in financial markets. In line with the research objective, two hypotheses were developed. The first hypothesis examines the effect of simultaneous retail investor attention on stock return co-movement. The second hypothesis addresses the moderating role of institutional shareholders in the relationship between simultaneous retail investor attention an‎d stock return co-movement. The study sample comprises 137 companies listed on the Tehran Stock Exchange, selec‎ted through a screening method for the period from 1393 to 1402 (2014-2023 Gregorian calendar). Data were collected using Rahavard Novin software an‎d the Codal website. The findings of the research indicate that simultaneous retail investor attention has a positive an‎d significant effect on stock return co-movement. However, institutional shareholders do not play a moderating role in the effect of simultaneous retail investor attention on stock return co-movement.

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