SURVEYING THE EXISTENCE OF PRICE BUBBLE TEHRAN STOCK EXCHANGE (BY USING THE LPPL MODEL)

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ABDOLMALEKI H.; MOHAMMADI SH.; KAMALI S.; VAZIRI R.

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2013 | Volume:4 | Issue:14 Page(s): 0-0

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Information Journal Paper

Title

SURVEYING THE EXISTENCE OF PRICE BUBBLE TEHRAN STOCK EXCHANGE (BY USING THE LPPL MODEL)

Author(s)

ABDOLMALEKI H. | MOHAMMADI SH. | KAMALI S. | VAZIRI R. | Issue Writer Certificate

Keywords

STOCK MARKET CRASHQ2

FINANCIAL BUBBLEQ2

LOG-PERIODIC POWER LAW (LPPL)Q2

LOMB SPECTRAL ANALYSISQ2

TABU SEARCHQ2

LEVENBERG–MARQUARDT ALGORITHMQ2

Abstract

Financial bubbles are one of the main problems that modern economics is dealing with today. Due to straight relationship between bubbles and financial crises, researchers have been ever looking for methods to understanding, identifying, forecasting bubbles as well as evaluating the losses and magnitude of the subsequent crashes. One of the methods that will detecting the bubbles is the log-periodic power law (LPPL) model. That consider the faster-than-exponential (power law with finite-time singularity) increase in asset prices decorated by accelerating oscillations as the main diagnostic of bubbles. The LPPL model in detecting bubbles and crashes has been performed successfully in various kinds of markets. But in this research, we performed it for first time in Iran. In this research, we use the LPPL model to detecting bubble and predicting subsequent crash of Tehran Exchange Dividend Price Index (TEDPIX) in period of 2006-2008. Consequently, in order to certainty of existence of log-periodicity in data, we performed LOMB SPECTRAL ANALYSIS on data. The results indicated the model has fitted the data well and LOMB SPECTRAL ANALYSIS well has confirmed the existence of log-periodicity. This way which can be concluded the data have behavior according to the LPPL model. The model in this period has identified a bubble and also has provided reasonable critical time prediction of the bubble.

Cites

REVIEWS OF MANIPULATING PRICES USING QDF & ANN-GA MODELS IN TEHRAN’S STOCK EXCHANGE

References

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APA: Copy

ABDOLMALEKI, H., MOHAMMADI, SH., KAMALI, S., & VAZIRI, R.. (2013). SURVEYING THE EXISTENCE OF PRICE BUBBLE TEHRAN STOCK EXCHANGE (BY USING THE LPPL MODEL). FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 4(14), 0-0. SID. https://sid.ir/paper/390725/en

Vancouver: Copy

ABDOLMALEKI H., MOHAMMADI SH., KAMALI S., VAZIRI R.. SURVEYING THE EXISTENCE OF PRICE BUBBLE TEHRAN STOCK EXCHANGE (BY USING THE LPPL MODEL). FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2013;4(14):0-0. Available from: https://sid.ir/paper/390725/en

IEEE: Copy

H. ABDOLMALEKI, SH. MOHAMMADI, S. KAMALI, and R. VAZIRI, “SURVEYING THE EXISTENCE OF PRICE BUBBLE TEHRAN STOCK EXCHANGE (BY USING THE LPPL MODEL),” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 4, no. 14, pp. 0–0, 2013, [Online]. Available: https://sid.ir/paper/390725/en

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