Analysis and Modeling of the Substantial Fall of Tehran Stock Exchange in January 2014 Using the Log-Periodic Power Law (LPPL) Model

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BARKISH AHMAD GHOLI; EBRAHIMI SALARI TAGHI; SALEHNIA NARGES

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Journal: Journal of Economic Research Year:2019 | Volume:54 | Issue:1 Page(s): 97-124

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Title

Analysis and Modeling of the Substantial Fall of Tehran Stock Exchange in January 2014 Using the Log-Periodic Power Law (LPPL) Model

Author(s)

BARKISH AHMAD GHOLI | EBRAHIMI SALARI TAGHI | SALEHNIA NARGES | Issue Writer Certificate

Keywords

BubbleQ2

Log Periodic Power LawQ1

Tehran Stock ExchangeQ1

Abstract

The substantial fall of the Iranian stock market in January2014 has been one of the most important economic events occurred in Iran during recent years. In this study, we applied the Log-Periodic Power-Law (LPPL) model to detect the development of Bubble in Tehran Stock Exchange Index before the dramatic decline of 2014. Over the last decade, the LPPL model has been used to describe the endogenous price dynamics during an endogenous Bubble regime and to predict the most probable time for the end of the Bubble or the regime switching. Application of this model not only confirms the presence of a Bubble in the stock market of Tehran, but also dose predict crash or change of regime has accrued in the early days of January 2014 with high accuracy.

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APA: Copy

BARKISH, AHMAD GHOLI, EBRAHIMI SALARI, TAGHI, & SALEHNIA, NARGES. (2019). Analysis and Modeling of the Substantial Fall of Tehran Stock Exchange in January 2014 Using the Log-Periodic Power Law (LPPL) Model. TAHGHIGHAT-E-EGHTESADI, 54(1 ), 97-124. SID. https://sid.ir/paper/12179/en

Vancouver: Copy

BARKISH AHMAD GHOLI, EBRAHIMI SALARI TAGHI, SALEHNIA NARGES. Analysis and Modeling of the Substantial Fall of Tehran Stock Exchange in January 2014 Using the Log-Periodic Power Law (LPPL) Model. TAHGHIGHAT-E-EGHTESADI[Internet]. 2019;54(1 ):97-124. Available from: https://sid.ir/paper/12179/en

IEEE: Copy

AHMAD GHOLI BARKISH, TAGHI EBRAHIMI SALARI, and NARGES SALEHNIA, “Analysis and Modeling of the Substantial Fall of Tehran Stock Exchange in January 2014 Using the Log-Periodic Power Law (LPPL) Model,” TAHGHIGHAT-E-EGHTESADI, vol. 54, no. 1 , pp. 97–124, 2019, [Online]. Available: https://sid.ir/paper/12179/en

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