FORECASTING STOCK PRICE MANIPULATION IN CAPITAL MARKET

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FALLAH SHAMS MIRFEIZ; KORDLOIE HAMIDREZA; DEHGHANI AMIR

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Paper Information

Journal: INVESTMENT KNOWLEDGE Year:2012 | Volume:1 | Issue:1 Page(s): 99-124

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Title

FORECASTING STOCK PRICE MANIPULATION IN CAPITAL MARKET

Author(s)

FALLAH SHAMS MIRFEIZ | KORDLOIE HAMIDREZA | DEHGHANI AMIR | Issue Writer Certificate

Keywords

BUBBLE PRICEQ2

LIQUIDITYQ2

SIZE OF COMPANYQ2

FLOATING STOCKQ1

INFORMATION CLARITYQ2

Abstract

The goal of the present article is extending and developing Multiple Disciminant Analysis (MDA) method which is able to distinguish buble price in Tehran stock exchange. The principal goal of the present study is to offer model for approximating buble price and also the factors efficient to make the model work at Tehran stock exchange. In order to do so by applying separation method a sample consisting of 397 companies accepted at Tehran stock exchange were selected and information related to their price and volume of trades during years 2001 until 2009 were collected and then through performing runs test, skewness test and duration correlative test the selected companies were divided into 2 sets of with BUBBLE PRICE and non bubbled companies. In the next stage by investigating cumulative return process and volume of trades in bubbledted companies, the date of starting BUBBLE PRICE was specified and in this way the multiple discriminant analysis, and by using information related to SIZE OF COMPANY, clarity of information, ratio of P/E and LIQUIDITY of stock one year prior BUBBLE PRICE; a model for forecasting BUBBLE PRICE of stocks of companies present in Tehran stock exchange were designed. At the end the power of forecasting model was studied by using data of test set. Whereas the power of forecasting MDA model was 90.2%; the model has high power to anticipate BUBBLE PRICE.

Cites

References

A STUDY ON FACTORS INFLUENCING THE PRICE MANIPULATION IN TEHRAN'S STOCK MARKET

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APA: Copy

FALLAH SHAMS, MIRFEIZ, KORDLOIE, HAMIDREZA, & DEHGHANI, AMIR. (2012). FORECASTING STOCK PRICE MANIPULATION IN CAPITAL MARKET. INVESTMENT KNOWLEDGE, 1(1), 99-124. SID. https://sid.ir/paper/188047/en

Vancouver: Copy

FALLAH SHAMS MIRFEIZ, KORDLOIE HAMIDREZA, DEHGHANI AMIR. FORECASTING STOCK PRICE MANIPULATION IN CAPITAL MARKET. INVESTMENT KNOWLEDGE[Internet]. 2012;1(1):99-124. Available from: https://sid.ir/paper/188047/en

IEEE: Copy

MIRFEIZ FALLAH SHAMS, HAMIDREZA KORDLOIE, and AMIR DEHGHANI, “FORECASTING STOCK PRICE MANIPULATION IN CAPITAL MARKET,” INVESTMENT KNOWLEDGE, vol. 1, no. 1, pp. 99–124, 2012, [Online]. Available: https://sid.ir/paper/188047/en

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