THE EXPLORATION OF AFFECTIVE FACTORS ON PRICE BULB IN TEHRAN EXCHANGE

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EBRAHIMI SARVOLIA M.H.; FALLAH SHAMS M.; AZARANG SH.

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2014 | Volume:4 | Issue:17 Page(s): 103-116

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Information Journal Paper

Title

THE EXPLORATION OF AFFECTIVE FACTORS ON PRICE BULB IN TEHRAN EXCHANGE

Author(s)

EBRAHIMI SARVOLIA M.H. | FALLAH SHAMS M. | AZARANG SH. | Issue Writer Certificate

Keywords

EXCHANGE TEHRANQ2

PRICE BULBQ2

LIQUIDITY SPEEDQ1

INFORMATION TRANSPARENCYQ1

SHARE FLOATABILITYQ2

COMPANY SIZEQ2

Abstract

The Tehran exchange after reopening in 1368, has been undergone fluctuations during its activities that these fluctuations often were market inherent and indicate what it has happened in the markets. But sometimes the market reacts suddenly. Perhaps the decline of share market in 1383 was one of these reactions. In this research we explore the PRICE BULB in public companies in Tehran exchange. firstly by using of box Jenkins method, we estimate the residual of model and based on model residual, the continuum, skew and unit root has been used that the PRICE BULB have been occurred during 1383 to 1388. Then by testing PRICE BULB, all of companies that have been undergone to high growth and decline of price in exchange are divided to 2 companies. One without bulb and other one with PRICE BULB. In order to prediction of bulb, the independence variables inside of companies like COMPANY SIZE, shareholders demography, p/e ratio, INFORMATION TRANSPARENCY and LIQUIDITY SPEED have been used. In the next step, by using of binary logit and probit regression method, a model has been designed for the prediction of PRICE BULB. for model reliability, the data 6 months before bulb expression have been used. The test of hypothesis show that there is no significant relationship between independent variables (company size, shareholders demography, P/E ratio, INFORMATION TRANSPARENCY, LIQUIDITY SPEED) and PRICE BULB, except 2 companies inherent independent variable (share floatability and COMPANY SIZE).

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References

TESTING THE EXISTENCE OF PRICE BUBBLE IN TEHRAN STOCK EXCHANGE

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APA: Copy

EBRAHIMI SARVOLIA, M.H., FALLAH SHAMS, M., & AZARANG, SH.. (2014). THE EXPLORATION OF AFFECTIVE FACTORS ON PRICE BULB IN TEHRAN EXCHANGE . FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 4(17), 103-116. SID. https://sid.ir/paper/197769/en

Vancouver: Copy

EBRAHIMI SARVOLIA M.H., FALLAH SHAMS M., AZARANG SH.. THE EXPLORATION OF AFFECTIVE FACTORS ON PRICE BULB IN TEHRAN EXCHANGE . FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2014;4(17):103-116. Available from: https://sid.ir/paper/197769/en

IEEE: Copy

M.H. EBRAHIMI SARVOLIA, M. FALLAH SHAMS, and SH. AZARANG, “THE EXPLORATION OF AFFECTIVE FACTORS ON PRICE BULB IN TEHRAN EXCHANGE ,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 4, no. 17, pp. 103–116, 2014, [Online]. Available: https://sid.ir/paper/197769/en

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