Abstract:
Inability to identify asset price bubbles and their types (single and multiple) causes adverse effects on economy. New economic instruments make, not only the analysis of mild explosive behavior but also the determination of origination and termination of bubbles possible, of bubbles possible. The present study aims to detect price bubbles of Tehran stock exchange and OTC, and determine date of origination, burst, and complete deletion of bubbles in the period of 2010.03 to 2016.03. To this end, the study uses total index, industry index, index of 50 firms and total OTC index. The results show that the stock market and OTC have experienced 2 and 5 bubble periods, respectively. The results also show that stock and OTC markets were bubbling in 59% and 57% of sample period, respectively. Therefore, these markets have had bubbles in more than half of the study period indicating the great instability in the stock prices.
Machine summary:
"Evaluation of Multiple Bubbles in the Stock Market of Tehran Madjid Hatefi Madjumerd1, Gholamreza Zamanian2 and Mohammad Nabi Shahiki Tash3 Received: 2016/7/10 Accepted: 2017/8/30 Abstract: Inability to identify asset price bubbles and their types (single and multiple) causes adverse effects on economy.
The present study aims to detect price bubbles of Tehran stock exchange and OTC, and determine date of origination, burst, and complete deletion of bubbles in the period of 2010.
In the present study, generalized Standard Dickey Fuller, rolling window Dickey Fuller, supremum9 ADF, and generalized supremum ADF tests are applied to study the presence of speculation bubbles and their occurrence and collapse date in the total index, industry index, index of 50 firms, and total index of OTC.
Abbasian and Farzanegan (2011) investigated the presence of rational bubbles taking into account one of the arbitrage limitations, noise trader risk11, and assumption of rational expectations at Tehran Stock Exchange.
The proposed model represents an important observation on random features of pt – dt, based on which an economic test can be designed to study the effect of rational bubble on asset price.
The results of this study indicate that there are two bubbles in the OTC market and one bubble in the stock exchange in this period, which can be derived from the second factor.
Behavioral Analysis of the Formation of Price Bubble Formation in the Capital Market (Case Study of Tehran Stock Exchange from 1999 to 2008)."