PRICE BUBBLE ANOMALIES IN TEHRAN STOCK EXCHANGE: LIMITS TO ARBITRAGE APPROACH

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ABBASIAN EZATOLLAH; FARZANEGAN ELHAM; NASIROLESLAMI EBRAHIM

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Journal: Journal of Economic Research and Policies Year:2016 | Volume:23 | Issue:76 Page(s): 75-92

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Title

PRICE BUBBLE ANOMALIES IN TEHRAN STOCK EXCHANGE: LIMITS TO ARBITRAGE APPROACH

Author(s)

ABBASIAN EZATOLLAH | FARZANEGAN ELHAM | NASIROLESLAMI EBRAHIM | Issue Writer Certificate

Keywords

DIVIDENDQ2

PRICE RATIOQ3

LMARX MODELQ2

RATIONAL BUBBLEQ1

RATIONAL ARBITRAGEURSQ2

LIMITS TO ARBITRAGEQ2

Abstract

One challenging and critical problem in behavior ﬁnance is how to establish veriﬁable models describing the appearance price bubbles. In this paper, Building on Shleifer and Vishny (1979), seminal work, and with assumption of being myopic arbitragers, the aim is to test if existence of RATIONAL BUBBLE is due to activity and response of noise traders to noisy information? Using Tehran Stock Exchange data from 2004:M3 to 2015:M6, an autoregressive regime-switching model of stock price dynamics in which the process creates pricing bubbles in one regime while a linear co-integration relationship between DIVIDENDs and prices prevails in the other, is estimated. Empirical results indicate that the probability of regime-switching depends on exogenous inflation and lagged price. The results emphasize the importance of the impact of noisy information causing the deviation of prices from intrinsic value.

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APA: Copy

ABBASIAN, EZATOLLAH, FARZANEGAN, ELHAM, & NASIROLESLAMI, EBRAHIM. (2016). PRICE BUBBLE ANOMALIES IN TEHRAN STOCK EXCHANGE: LIMITS TO ARBITRAGE APPROACH. JOURNAL OF ECONOMIC RESEARCH AND POLICIES, 23(76), 75-92. SID. https://sid.ir/paper/89524/en

Vancouver: Copy

ABBASIAN EZATOLLAH, FARZANEGAN ELHAM, NASIROLESLAMI EBRAHIM. PRICE BUBBLE ANOMALIES IN TEHRAN STOCK EXCHANGE: LIMITS TO ARBITRAGE APPROACH. JOURNAL OF ECONOMIC RESEARCH AND POLICIES[Internet]. 2016;23(76):75-92. Available from: https://sid.ir/paper/89524/en

IEEE: Copy

EZATOLLAH ABBASIAN, ELHAM FARZANEGAN, and EBRAHIM NASIROLESLAMI, “PRICE BUBBLE ANOMALIES IN TEHRAN STOCK EXCHANGE: LIMITS TO ARBITRAGE APPROACH,” JOURNAL OF ECONOMIC RESEARCH AND POLICIES, vol. 23, no. 76, pp. 75–92, 2016, [Online]. Available: https://sid.ir/paper/89524/en

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