TESTING FOR EXPLOSIVE BEHAVIOR AND BUBBLES IN IRAN’S STOCK MARKET

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BIABANY KHAMENEH KAZEM; KHAZAIE SAEED; AFSHARIAN AMIR HOSEIN

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2016 | Volume:9 | Issue:29 Page(s): 111-125

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Information Journal Paper

Title

TESTING FOR EXPLOSIVE BEHAVIOR AND BUBBLES IN IRAN’S STOCK MARKET

Author(s)

BIABANY KHAMENEH KAZEM | KHAZAIE SAEED | AFSHARIAN AMIR HOSEIN | Issue Writer Certificate

Keywords

EXPLOSIVE BEHAVIORQ2

BUBBLESQ2

RIGHT TAIL ADFQ2

SADFQ2

GSADFQ2

Abstract

The purpose of this research is testing of existence EXPLOSIVE BEHAVIOR and identifying periods with price BUBBLES in stock market of Iran in January 2008 until September 2014. In periods that multiple price BUBBLES occurs, process of time series change from random walk to an EXPLOSIVE BEHAVIOR. In this cases most of the traditional unit roots tests has less power in detecting BUBBLES because It is necessary that unit root test is able to detecting changes in time series from I(0) to I(1) during BUBBLES and changing I(1) to I(0) during collapse. For this reason, in the present study Sup ADF and Generalized SADF tests that’s based on right tail augmented Dickey-Fuller unit root test that recently Introduced by Phillips et.al (2014) was applied for testing EXPLOSIVE BEHAVIOR. According to the results, existence of BUBBLES in the 15 months of samples, and specially July 2013 until December 2013 is confirmed.

Cites

INVESTIGATING THE ROLE OF INVESTOR TYPES IN THE FORMATION OF BEHAVIORAL BUBBLES IN TEHRAN STOCK EXCHANGE USING VECTOR AUTOREGRESSIVE MODEL

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APA: Copy

BIABANY KHAMENEH, KAZEM, KHAZAIE, SAEED, & AFSHARIAN, AMIR HOSEIN. (2016). TESTING FOR EXPLOSIVE BEHAVIOR AND BUBBLES IN IRAN’S STOCK MARKET. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 9(29), 111-125. SID. https://sid.ir/paper/200135/en

Vancouver: Copy

BIABANY KHAMENEH KAZEM, KHAZAIE SAEED, AFSHARIAN AMIR HOSEIN. TESTING FOR EXPLOSIVE BEHAVIOR AND BUBBLES IN IRAN’S STOCK MARKET. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2016;9(29):111-125. Available from: https://sid.ir/paper/200135/en

IEEE: Copy

KAZEM BIABANY KHAMENEH, SAEED KHAZAIE, and AMIR HOSEIN AFSHARIAN, “TESTING FOR EXPLOSIVE BEHAVIOR AND BUBBLES IN IRAN’S STOCK MARKET,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 9, no. 29, pp. 111–125, 2016, [Online]. Available: https://sid.ir/paper/200135/en

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