TEHRAN STOCK EXCHANGE BUBBLES AND NOISE TRADERS BEHAVIOR

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ABBASIAN EZATOLLAH; FARZANEGAN ELHAM

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: Journal of Economic Research Year:2011 | Volume:46 | Issue:96 Page(s): 133-151

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Information Journal Paper

Title

TEHRAN STOCK EXCHANGE BUBBLES AND NOISE TRADERS BEHAVIOR

Author(s)

ABBASIAN EZATOLLAH | FARZANEGAN ELHAM | Issue Writer Certificate

Keywords

NOISE TRADERSQ2

ARDL APPROACHQ3

RATIONAL BUBBLESQ2

RATIONAL ARBITRAGEURQ2

PV MODELQ2

Abstract

Economic stabilization is one of the main government objectives in the economy. One of the most destructive and devastating factors that could damage financial markets, are price bubble formations. Thus, bubble creation in stock markets can be considered as a result of investor behaviors, because the market prices mainly reflect investor expectations from firm’s future perspectives. The aim of this paper is to study RATIONAL BUBBLES with the consideration of one of the limitations of arbitrage, Noise Trader Risk, by focusing on rational expectations in the Tehran Stock Exchange. To achieve this aim, by using Panel Data and ARDL APPROACHes, from 2000M3 to 2008M10 appropriate models are estimated. Results indicate that during the underlying period, even with dominance of RATIONAL ARBITRAGEUR; NOISE TRADERS have a significant impact in the formation of bubbles. The results emphasize the importance of inflation and price-dividend ratio when assessing investment risk.

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APA: Copy

ABBASIAN, EZATOLLAH, & FARZANEGAN, ELHAM. (2011). TEHRAN STOCK EXCHANGE BUBBLES AND NOISE TRADERS BEHAVIOR. TAHGHIGHAT-E-EGHTESADI, 46(96), 133-151. SID. https://sid.ir/paper/11604/en

Vancouver: Copy

ABBASIAN EZATOLLAH, FARZANEGAN ELHAM. TEHRAN STOCK EXCHANGE BUBBLES AND NOISE TRADERS BEHAVIOR. TAHGHIGHAT-E-EGHTESADI[Internet]. 2011;46(96):133-151. Available from: https://sid.ir/paper/11604/en

IEEE: Copy

EZATOLLAH ABBASIAN, and ELHAM FARZANEGAN, “TEHRAN STOCK EXCHANGE BUBBLES AND NOISE TRADERS BEHAVIOR,” TAHGHIGHAT-E-EGHTESADI, vol. 46, no. 96, pp. 133–151, 2011, [Online]. Available: https://sid.ir/paper/11604/en

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