Abstarct: Since investor’s behavior plays a significant role in capital markets, studying the behavior of investors in Tehran Stock Exchange regarding their tendency to imitate other’s actions or creation of “herding behavior” is of utmost importance. This study investigates and measures the herding behavior of institutional and individual investors in Tehran stock Exchange. This study tries to investigate the existence of herding behavior and its effect on price and efficiency of securities, using the data of trades which took place during the year of 1392 solar Hijri Islamic calendar comprising 238 trading days. For this purpose, we used Lakonishok, Shleifer, & Vishny (LSV) which uses the data on investor’s portfolios and its volatility. Then using Panel data regression Kremer (2011), we investigate the factors affecting herding behavior. Using high frequency intraday data, this thesis investigates the herding behavior of institutional and individual investors in the Tehran stock exchange. The study finds evidence of herding by both investors but a stronger herding tendency among institutional than among individual investors. Institutional investors herd more on firms with small capitalizations and lower turnovers and they follow positive feedback strategies. The portfolios that institutional investors herd buy outperform those they sell by an average of 1.0094% during the 20 days after intense trading episodes. By contrast, individual investors herd more on firms with small sizes and higher turnovers, and they crowd to buy (sell) stocks with negative (positive) past returns. The portfolios that individual investors herd buy underperform those they sell by an average of −0.8305% during the following 20 days. Moreover, these return differences of both investors are more pronounced under a market with higher pressure and among small stocks. These findings suggest that the herding of institutional investors speeds up the price-adjustment process and is more likely to be driven by correlated private information, while individual herding is most likely to be driven by behavior and emotions.