INVESTIGATION ON PRICE BUBBLE EXISTENCE BASE ON ARIMA ESTIMATION AND USING OF RUN, SKEWNESS, KURTOSIS AND DURATION DEPENDENCE TECHNIQUES

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FALLAH SHAMS F.; ZOMORODIAN G.; DOSETAREGAN R.

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2013 | Volume:4 | Issue:15 Page(s): 35-49

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Title

INVESTIGATION ON PRICE BUBBLE EXISTENCE BASE ON ARIMA ESTIMATION AND USING OF RUN, SKEWNESS, KURTOSIS AND DURATION DEPENDENCE TECHNIQUES

Author(s)

FALLAH SHAMS F. | ZOMORODIAN G. | DOSETAREGAN R. | Issue Writer Certificate

Keywords

TEHRAN STOCK EXCHANGE INDEXQ2

PRICE BUBBLEQ2

SKEWNESSQ2

DURATION DEPENDENCEQ2

Abstract

After 1970, stock market of Tehran have had many variations. Price variation is naturally in the stock markets but sometimes it is not natural form and becomes bubbles and suddenly fall and enters irreparable impacts. Stock market is an official market where the stocks exchange under the special regulations and naturally there are several factors which interfere in the forming of information, the view of investors and in the stock index of firms. Some of these factors are domestic and the others are results of the condition of outside variable of domestic economic bound. In this paper, we have assessed bubble existence in the stock market of Tehran by using Run, SKEWNESS, Kurtosis and DURATION DEPENDENCE tests by using monthly and daily data from 1/2003 to 12/2010. We have found that there is bubble in the daily data by Run, Kurtosis and DURATION DEPENDENCE tests but SKEWNESS test rejects bubble existence.

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APA: Copy

FALLAH SHAMS, F., ZOMORODIAN, G., & DOSETAREGAN, R.. (2013). INVESTIGATION ON PRICE BUBBLE EXISTENCE BASE ON ARIMA ESTIMATION AND USING OF RUN, SKEWNESS, KURTOSIS AND DURATION DEPENDENCE TECHNIQUES. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 4(15), 35-49. SID. https://sid.ir/paper/197662/en

Vancouver: Copy

FALLAH SHAMS F., ZOMORODIAN G., DOSETAREGAN R.. INVESTIGATION ON PRICE BUBBLE EXISTENCE BASE ON ARIMA ESTIMATION AND USING OF RUN, SKEWNESS, KURTOSIS AND DURATION DEPENDENCE TECHNIQUES. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2013;4(15):35-49. Available from: https://sid.ir/paper/197662/en

IEEE: Copy

F. FALLAH SHAMS, G. ZOMORODIAN, and R. DOSETAREGAN, “INVESTIGATION ON PRICE BUBBLE EXISTENCE BASE ON ARIMA ESTIMATION AND USING OF RUN, SKEWNESS, KURTOSIS AND DURATION DEPENDENCE TECHNIQUES,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 4, no. 15, pp. 35–49, 2013, [Online]. Available: https://sid.ir/paper/197662/en

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