INVESTIGATION OF VOLATILITY OF STOCK RETURNS IN THE TEHRAN STOCK EXCHANGE USING CHAOTIC SYSTEMS

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ZARRA NEZHAD MANSOUR; TAIMORI ASL YASER

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Journal: Monetary and Financial Economics Year:2011 | Volume:1 | Issue:1 Page(s): 1-16

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Title

INVESTIGATION OF VOLATILITY OF STOCK RETURNS IN THE TEHRAN STOCK EXCHANGE USING CHAOTIC SYSTEMS

Author(s)

ZARRA NEZHAD MANSOUR | TAIMORI ASL YASER | Issue Writer Certificate

Keywords

CHAOTIC THEORYQ2

EFFICIENT MARKET HYPOTHESISQ2

POSITIVE AND NEGATIVE FEEDBACK LOOPSQ2

STOCK PRICEQ3

BDS TESTQ3

Abstract

Study of the changes in the STOCK PRICE in Tehran stock exchange is of great importance. This is because of its application in forecasting the STOCK PRICE in the stock exchange.The aim of this article is to investigate the forces and mechanisms that cause the dramatic changes in STOCK PRICE and the formation of chaotic trend. To test whether the chaotic trend in the Tehran stock exchange exists, the daily STOCK PRICE of Bakhtar Cable Company (as a sample) for the period of 05/25/2008-08/20/2008 has been tested using the Brock, Dechert and Scheinkman (BDS) test.The results showed that there exists chaotic behavior in the STOCK PRICE time series, and the STOCK PRICE moves in trend. The findings of the research confirmed that chaotic method can be applied to detect and forecast the STOCK PRICE trend in Tehran stock exchange.

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APA: Copy

ZARRA NEZHAD, MANSOUR, & TAIMORI ASL, YASER. (2011). INVESTIGATION OF VOLATILITY OF STOCK RETURNS IN THE TEHRAN STOCK EXCHANGE USING CHAOTIC SYSTEMS. JOURNAL OF MONETARY & FINANCIAL ECONOMICS, 1(1), 1-16. SID. https://sid.ir/paper/379050/en

Vancouver: Copy

ZARRA NEZHAD MANSOUR, TAIMORI ASL YASER. INVESTIGATION OF VOLATILITY OF STOCK RETURNS IN THE TEHRAN STOCK EXCHANGE USING CHAOTIC SYSTEMS. JOURNAL OF MONETARY & FINANCIAL ECONOMICS[Internet]. 2011;1(1):1-16. Available from: https://sid.ir/paper/379050/en

IEEE: Copy

MANSOUR ZARRA NEZHAD, and YASER TAIMORI ASL, “INVESTIGATION OF VOLATILITY OF STOCK RETURNS IN THE TEHRAN STOCK EXCHANGE USING CHAOTIC SYSTEMS,” JOURNAL OF MONETARY & FINANCIAL ECONOMICS, vol. 1, no. 1, pp. 1–16, 2011, [Online]. Available: https://sid.ir/paper/379050/en

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