Investigating and Ranking the impact of Psychological Factors Investors’ on the Stock Price crash risk

Document Type : Original Article

Authors

1 Assistant Professor, Department of Accounting, Payame Noor University, Tehran, Iran,

2 Assistant Professor, Department of Accounting, Payame Noor University, Tehran, Iran.

3 Associate Professor, Department of Accounting , Payame Noor University, Tehran, Iran

4 Master of Accounting, Payame Noor University, Tehran, Iran

Abstract

This study aims to examine the impact of investors’ psychological factors on the stock price crash risk . To test hypotheses and analyze the data, structural equation modeling (SEM), multiple linear regression, and data mining techniques used in a comparative manner with AMOS, EVIEWS, and Clementine software were employed. The statistical population comprises all listed Iranian companies, with a sample of 122 firms selected through systematic elimination, covering Tehran Stock Exchange-listed companies from the beginning of 1393 to the end of 1402. Based on SEM results, psychological factors namely, investor sentiment and daily transaction volume exert a statistically significant positive effect on stock price collapse risk, with the effect being more pronounced for the negative skewness coefficient of stock returns. Multiple linear regression analysis indicates that psychological indices and daily trading volume of each stock significantly influence the negative skewness of returns. Additionally, psychological indices of individual stocks positively affect the lower-to-higher volatility. Data mining results reveal that investor sentiment indicators, psychological indices, and daily trading volume significantly impact the negative skewness of stock returns. Furthermore, psychological indicators, relative strength index, and the measure of daily trading volume significantly influence the lower-to-higher volatility. The comparison among the three statistical techniques demonstrates a consensus in hypothesis testing and analysis, confirming the robustness of the findings.

Keywords

Main Subjects

References

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Budget and Finance Strategic Research
Volume 6, Issue 4 - Serial Number 24
Winter Quarterly
February 2026
Pages 119-158

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History

  • Receive Date: 07 May 2025
  • Revise Date: 16 September 2025
  • Accept Date: 09 December 2025

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