Stockholder overreaction and mean reversion: Evidence from Tehran Stock Exchange

In this paper, we address the stockholder overreaction and mean reversion in specified major industry groups in Tehran Stock Exchange (TSE). This paper investigates this issue with panel data analysis and with particular attention to the Box-Jenkins Approach for stationary diagnosis with appropriate order and modeling stock prices with regard to specific industries. The study processes modeling of panels where stationary and mean reversion takes place in complementary analysis. The sampling intervals are explored monthly within the past few years. The results reveal that mean reversion presence in three industry group stock prices and industry stock prices would not behave in certain pattern.