Studing the relationship between unsystematic risk fluctuations and noise trading

Document Type: Original Article

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Abstract

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.

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