INVESTIGATION OF THE EFFECT OF HERDING BEHAVIOR IN THE FORMATION OF RATIONAL BUBBLES (THE CASE STUDY OF TEHRAN STOCK EXCHANGE DURING 1387-1376)

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KHODAPARAST SHIRAZI J.; GHASEMI M.R.; RAHMAN SETAYESH A.

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Journal: JOURAL OF ECONOMIC STUDIES Year:2011 | Volume:1 | Issue:2 Page(s): 27-51

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Title

INVESTIGATION OF THE EFFECT OF HERDING BEHAVIOR IN THE FORMATION OF RATIONAL BUBBLES (THE CASE STUDY OF TEHRAN STOCK EXCHANGE DURING 1387-1376)

Author(s)

KHODAPARAST SHIRAZI J. | GHASEMI M.R. | RAHMAN SETAYESH A. | Issue Writer Certificate

Keywords

RATIONAL BUBBLEQ3

BEHAVIORAL THEORYQ3

KALMAN FLITTERQ2

STATE SPACEQ3

Abstract

The fundamental theorem of asset pricing and markets efficient has been explained price volatility in financial markets under assumption of arbitrage and rational human beings. But these theoretical descriptions due to his disability of too much price volatility in recent decades, by the theories of financial behavior were challenged. This theorem relying on the basic principles of psychology and sociology has suspected of fundamental assumption about human behavior patterns and has described excessive fluctuations of price.This article, based on theories of financial behavior has described failure of presumption of fundamental patterns of investors gerrymander individual and collective.Then we have used STATE SPACE and the kalman filter for extraction bubble price as an unknown variable and effect of herding behavior and psychological factors that decreased psychological security and increased market risk on RATIONAL BUBBLE.The results of this study indicate that RATIONAL BUBBLE during 1387-1376 in Tehran Stock Exchange is affected by factors mentioned.

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APA: Copy

KHODAPARAST SHIRAZI, J., GHASEMI, M.R., & RAHMAN SETAYESH, A.. (2011). INVESTIGATION OF THE EFFECT OF HERDING BEHAVIOR IN THE FORMATION OF RATIONAL BUBBLES (THE CASE STUDY OF TEHRAN STOCK EXCHANGE DURING 1387-1376). JOURAL OF ECONOMIC STUDIES, 1(2), 27-51. SID. https://sid.ir/paper/247695/en

Vancouver: Copy

KHODAPARAST SHIRAZI J., GHASEMI M.R., RAHMAN SETAYESH A.. INVESTIGATION OF THE EFFECT OF HERDING BEHAVIOR IN THE FORMATION OF RATIONAL BUBBLES (THE CASE STUDY OF TEHRAN STOCK EXCHANGE DURING 1387-1376). JOURAL OF ECONOMIC STUDIES[Internet]. 2011;1(2):27-51. Available from: https://sid.ir/paper/247695/en

IEEE: Copy

J. KHODAPARAST SHIRAZI, M.R. GHASEMI, and A. RAHMAN SETAYESH, “INVESTIGATION OF THE EFFECT OF HERDING BEHAVIOR IN THE FORMATION OF RATIONAL BUBBLES (THE CASE STUDY OF TEHRAN STOCK EXCHANGE DURING 1387-1376),” JOURAL OF ECONOMIC STUDIES, vol. 1, no. 2, pp. 27–51, 2011, [Online]. Available: https://sid.ir/paper/247695/en

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