Market Volatility Puzzle with Regard to the Systematic Risk of Bubble in the Securities Market of Iran

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HATEFI MADJUMERD MADJID; ZAMANIAN GHOLAM REZA; SHAHIKI TASH MOHAMMAD NABI; JALALI OMOLBANIN

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Journal: Journal of Economic Research and Policies Year:2020 | Volume:28 | Issue:93 Page(s): 329-355

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Title

Market Volatility Puzzle with Regard to the Systematic Risk of Bubble in the Securities Market of Iran

Author(s)

HATEFI MADJUMERD MADJID | ZAMANIAN GHOLAM REZA | SHAHIKI TASH MOHAMMAD NABI | JALALI OMOLBANIN | Issue Writer Certificate

Keywords

BubbleQ1

Systematic RiskQ2

Recursive PreferencesQ1

Abstract

Stock market volatility is evaluated by measuring the variance of the market that is evaluated through consumption growth volatility in the framework of pricing of CCAPM models. This theory is not consistent with revealed facts, in reality; because consumption growth is very smooth but stock market appears highly volatile; this is famous to stock market volatility puzzle. In this regard, the new findings suggest that the combination of the traditional approach to the agent of systemic risk of Bubble make it easier to interpret the market volatility puzzle better than before. The main objective of this research is to interpret the stock market volatility puzzle due to the systemic risk of Bubble in the security market in the period of 07 / 1387 to 06 / 1395. In this regard, the systemic risk of Bubble in the securities market was investigated by using of the “ Supremum generalized standard Dickey-Fuller tests", then market volatility puzzle was analyzed by usage of the results. The results showed that securities market has experienced one Bubble periods (01/1392 to 01/1393). The results also showed that the traditional approach (regardless of Bubble risk factor) is not able to explain the stock market puzzle, but Bubble risk-based methodology is provided a better explain to stock market volatility.

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APA: Copy

HATEFI MADJUMERD, MADJID, ZAMANIAN, GHOLAM REZA, SHAHIKI TASH, MOHAMMAD NABI, & JALALI, OMOLBANIN. (2020). Market Volatility Puzzle with Regard to the Systematic Risk of Bubble in the Securities Market of Iran. JOURNAL OF ECONOMIC RESEARCH AND POLICIES, 28(93 ), 329-355. SID. https://sid.ir/paper/363512/en

Vancouver: Copy

HATEFI MADJUMERD MADJID, ZAMANIAN GHOLAM REZA, SHAHIKI TASH MOHAMMAD NABI, JALALI OMOLBANIN. Market Volatility Puzzle with Regard to the Systematic Risk of Bubble in the Securities Market of Iran. JOURNAL OF ECONOMIC RESEARCH AND POLICIES[Internet]. 2020;28(93 ):329-355. Available from: https://sid.ir/paper/363512/en

IEEE: Copy

MADJID HATEFI MADJUMERD, GHOLAM REZA ZAMANIAN, MOHAMMAD NABI SHAHIKI TASH, and OMOLBANIN JALALI, “Market Volatility Puzzle with Regard to the Systematic Risk of Bubble in the Securities Market of Iran,” JOURNAL OF ECONOMIC RESEARCH AND POLICIES, vol. 28, no. 93 , pp. 329–355, 2020, [Online]. Available: https://sid.ir/paper/363512/en

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