TESTING NON-SMOOTH CHANGES IN TEHRAN STOCK EXCHANGE USING CATASTROPHE THEORY

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MOHAMMADI SHAPOUR; TABASI HAMED

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Paper Information

Journal: Journal of Economic Research Year:2012 | Volume:47 | Issue:2 (99) Page(s): 119-136

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Information Journal Paper

Title

TESTING NON-SMOOTH CHANGES IN TEHRAN STOCK EXCHANGE USING CATASTROPHE THEORY

Author(s)

MOHAMMADI SHAPOUR | TABASI HAMED | Issue Writer Certificate

Keywords

STOCK MARKET CRASHESQ2

CATASTROPHE THEORYQ3

STOCHASTIC CUSP CATASTROPHE MODELQ3

BIMODAL DISTRIBUTIONSQ2

Abstract

In this paper using CATASTROPHE THEORY, we investigate non-smooth changes in Tehran stock exchange. STOCK MARKET CRASHES bring not only panic among investors, but also in deeper market lead to recession and decrease in consumer's confidence. As CATASTROPHE THEORY is strong tool in explaining nonlinear phenomena, by applying STOCHASTIC CUSP CATASTROPHE MODEL we examine sudden change in Tehran stock exchange index. Our results demonstrate that cusp model is better than alternative model. In fact, by applying annually liquidity growth and volume as control variable, cusp catastrophe model describes sudden decline in Tehran stock exchange index much more preferable than nonlinear logistic model in 2004 and 2008. Our result is robust after de-trending the index.

Cites

PREDICTING TEHRAN'S STOCK MARKET INDEX USING ADAPTIVE NETWORK-BASED FUZZY INFERENCE SYSTEM (ANFIS)

References

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APA: Copy

MOHAMMADI, SHAPOUR, & TABASI, HAMED. (2012). TESTING NON-SMOOTH CHANGES IN TEHRAN STOCK EXCHANGE USING CATASTROPHE THEORY. TAHGHIGHAT-E-EGHTESADI, 47(2 (99)), 119-136. SID. https://sid.ir/paper/11859/en

Vancouver: Copy

MOHAMMADI SHAPOUR, TABASI HAMED. TESTING NON-SMOOTH CHANGES IN TEHRAN STOCK EXCHANGE USING CATASTROPHE THEORY. TAHGHIGHAT-E-EGHTESADI[Internet]. 2012;47(2 (99)):119-136. Available from: https://sid.ir/paper/11859/en

IEEE: Copy

SHAPOUR MOHAMMADI, and HAMED TABASI, “TESTING NON-SMOOTH CHANGES IN TEHRAN STOCK EXCHANGE USING CATASTROPHE THEORY,” TAHGHIGHAT-E-EGHTESADI, vol. 47, no. 2 (99), pp. 119–136, 2012, [Online]. Available: https://sid.ir/paper/11859/en

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