STRUCTURAL BREAKS DETECTION IN ECONOMIC TREND ANALYSIS; ELECTRICAL INDUSTRY INDEX IN TEHRAN STOCK EXCHANGE CASE STUDY

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JAFARZADEH POUR FOROUZANDEH; NAZEMI AMIR; ASADI ALIREZA

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Journal: Journal of Management Future Research Year:2016 | Volume:26 | Issue:105 Page(s): 59-67

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Information Journal Paper

Title

STRUCTURAL BREAKS DETECTION IN ECONOMIC TREND ANALYSIS; ELECTRICAL INDUSTRY INDEX IN TEHRAN STOCK EXCHANGE CASE STUDY

Author(s)

JAFARZADEH POUR FOROUZANDEH | NAZEMI AMIR | ASADI ALIREZA | Issue Writer Certificate

Keywords

TREND ANALYSISQ1

STRUCTURAL BREAKSQ2

BREAKS TESTQ2

ELECTRICAL INDUSTRYQ2

TEHRAN STOCK EXCHANGEQ2

Abstract

Detection of Structural break in TREND ANALYSIS methods is one of the important issues in futures studies field. Fundamental changes in environment of system lead to STRUCTURAL BREAKS and discontinuousness of trends. Therefore, parameters of quantitative models are not reliable to apply in trend extrapolation. In this paper we discuss the STRUCTURAL BREAKS in TREND ANALYSIS and compare the methods of detection and estimate location of STRUCTURAL BREAKS. First, Classic frequentist approach and Bayesian approach are considered as two main categorizes and their capacities and limitations are compared to each other. Second, Bai and Perron’s methods for detecting multiple STRUCTURAL BREAKS are used to investigate STRUCTURAL BREAKS in trend of ELECTRICAL INDUSTRY index in TEHRAN STOCK EXCHANGE. Test results demonstrates that two breaks occurred simultaneously with changes of economic policies of government in trend of ELECTRICAL INDUSTRY index in TEHRAN STOCK EXCHANGE. Initial break happened after implementing of subsidy reform plan and later break occurred when cabinet of government changed. Those STRUCTURAL BREAKS caused to ascending of ELECTRICAL INDUSTRY index and changing parameters. This paper introduces methodology of identifying STRUCTURAL BREAKS which is applicable in every economic TREND ANALYSIS.

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APA: Copy

JAFARZADEH POUR, FOROUZANDEH, NAZEMI, AMIR, & ASADI, ALIREZA. (2016). STRUCTURAL BREAKS DETECTION IN ECONOMIC TREND ANALYSIS; ELECTRICAL INDUSTRY INDEX IN TEHRAN STOCK EXCHANGE CASE STUDY. JOURNAL OF MANAGEMENT FUTURES RESEARCH(JOURNAL OF MANAGEMENT RESEARCH), 26(105), 59-67. SID. https://sid.ir/paper/204166/en

Vancouver: Copy

JAFARZADEH POUR FOROUZANDEH, NAZEMI AMIR, ASADI ALIREZA. STRUCTURAL BREAKS DETECTION IN ECONOMIC TREND ANALYSIS; ELECTRICAL INDUSTRY INDEX IN TEHRAN STOCK EXCHANGE CASE STUDY. JOURNAL OF MANAGEMENT FUTURES RESEARCH(JOURNAL OF MANAGEMENT RESEARCH)[Internet]. 2016;26(105):59-67. Available from: https://sid.ir/paper/204166/en

IEEE: Copy

FOROUZANDEH JAFARZADEH POUR, AMIR NAZEMI, and ALIREZA ASADI, “STRUCTURAL BREAKS DETECTION IN ECONOMIC TREND ANALYSIS; ELECTRICAL INDUSTRY INDEX IN TEHRAN STOCK EXCHANGE CASE STUDY,” JOURNAL OF MANAGEMENT FUTURES RESEARCH(JOURNAL OF MANAGEMENT RESEARCH), vol. 26, no. 105, pp. 59–67, 2016, [Online]. Available: https://sid.ir/paper/204166/en

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