Evaluation of Multiple Bubbles in the Stock Market of Tehran

نوع مقاله: مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد دانشگاه سیستان و بلوچستان

2 دانشیار گروه اقتصاد دانشگاه سیستان و بلوچستان

چکیده

عدم تشخیص حباب‌های قیمت دارایی و نوع آن (یگانه و چندگانه) موجب اثرات مخربی بر اقتصاد می‌شود. ابزارهای اقتصادی جدید، نه تنها تحلیل رفتار انفجاری ملایم حباب را ممکن گردانیده؛ بلکه تعیین تاریخ شروع و خاتمه آنها را نیز مهیا کرده است.
هدف مطالعه حاضر کشف حباب‌های قیمت بورس اوراق بهادار تهران و شرکت فرابورس ایران و تعیین تاریخ‌های شروع، انفجار و محو کامل حباب در دوره 01/1389 تا 01/1395 است. در این راستا از شاخص‌ کل، شاخص صنعت، شاخص50 شرکت و شاخص کل فرابورس استفاده شد. نتایج تحقیق نشان دهنده آن است که بازار بورس 2 دوره حبابی و فرابورس 5 دوره حبابی را تجربه کرده‌اند. نتایج همچنین نشان دهنده این است که بازارهای بورس و فرابورس به ترتیب در 59% و 57% بازه مورد مطالعه حبابی بوده‌اند. به عبارت دیگر در بیش از نیمی از دوره مورد بررسی، حباب وجود داشته که بیانگر بی‌ثباتی زیاد قیمت‌های سهام است.

کلیدواژه‌ها


عنوان مقاله [English]

Evaluation of Multiple Bubbles in the Stock Market of Tehran

نویسندگان [English]

  • Majid Hatefi Madjumerd 1
  • Gholamreza Zamanian 2
  • Mohammad Nabi Shahiki Tash 2
1 PhD student of economics, University of Sistan and Baluchestan
2 Assistant professor, department of economics, University of Sistan and Balochestan, Iran
چکیده [English]

Not identifying of asset price bubbles and the type of them (single and multiple), cause collapsing effect on economy. New economic instrument, not only make possible the analysis of mildly explosive behavior of bubbles but also provide determination of origination and termination of bubbles. Therefore, the point of this study is detection of Tehran bourse and OTC stock price bubbles and date stamping of origination, explosion and complete deletion of bubbles in the period of 1389/01 to 1395/01. To this end, the study use total, industry, 50 firms and total OTC indexes. The results show that bourse and OTC markets have experienced 2 and 5 bubble periods respectively. The results also show that bourse and OTC markets were bubbling in 59% and 57% of sample period, respectively. Therefore, in this markets exist bubbles in more than half of the sample period that show large instability in the stock prices.

کلیدواژه‌ها [English]

  • explosion bubble
  • Rolling Window ADF
  • Bourse
  • OTC
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