This paper examines the presence of herding behavior of investors in Tehran Stock Exchange (TSE). Primary evidence denoted that, investors in TSE tend to suppress their private information and mimic the actions of other investors, rather than use quantitative techniques to assess stock value and make investment choices. We examine the herding behavior in TSE with two models. We analyze the behavior of return dispersions during periods of unusually large upward and downward changes in the market index with daily, weekly and monthly data. Our findings indicate that herd formation does not exist in upward markets, but we find evidence of herding in down markets. However, comparing return dispersions for upside and downside movements of the market, we observe that return dispersions during extreme downside movements of the market are much lower than those for upside movements, indicating that stock returns behave more similarly during down markets. We didn't find any evidence of herding behavior with weekly and monthly data. The dispersion measure increases with the return interval. The weak evidence of herding behavior displayed in weekly and monthly data is consistent with the observation by Christie and Huang (1995) that “herd behavior is a very short-lived phenomenon”.