The Effect of Individual and Legal Persons’ Trading on Creation of Price Bubble in Tehran Stock Exchange (TSE) Market

Mir Feyz Fallahshams, Meysam Alimohammadi, Hamidreza Kordlouie, Nader Naghshineh

Abstract


This paper examines the effect of transactions carried out by legal persons or individuals on the formation of price bubbles for the companies listed in Tehran Exchange Market (TSE). At first through such tests as rows, skewness, stretching, and duration dependence, it was found out that price bubbles were formed in TSE in the span of time between May 2012 and November 2012. In this period, the prices were studied day by day, as well as in 5-minute time series. After doing bubble detection tests, the researchers divided the sampled companies under two categories of companies speculated to have bubbles and companies without bubbles. The study continued with investigating the effect of the behavior of individuals and legal persons on the formation of price bubbles. In so doing, their data on the transactions of individuals and legal persons were provided in 5-minute time series. The binary logit  regression model was then put to use so to find out the effect size of these groups according to the data available. The findings of the fitting procedure for this study show that individuals have a bigger effect on bubbles that legal persons in the same span of time.

Full Text:

PDF

References


Abbasian, et al. (2010). Recognizing stock price bubble in TSE through current value model. Economic Studies, 17 (60), 75-92.

Azar, A. & Momeni, M. (2001). Statistics and its application in management. Tehran: Samt Publications.

Blanchard, O. (1992). Speculative Bubbles, Crashes and Rational Expectations, Economics Letters, 3, 387-389.

Bohl, M.T, Sikolos, P.L (2010). The present value model of Us stock prices reduce: a new testing strategy and some evidence, the quarterly review of economics and finance.

Christophe, B. (2003); Testing for Rational Bubbles with Time Varing Risk Premium and Non- Linear Cointegration: Evidence from the USA and French Stock Markets; University Paris Nord. CEPN, France, Version. November.

Engsted, T., Tanggard, C. (2001). A New Test for Speculative Bubbles Based onReturn Variance Decompositions; Department of Finance, the ArhusSchool of Business Denmark Publication.

Eshghi, M. (2006). Studying stock price bubble in companies listed in TSE. Unpublished Master’s Thesis. Imam Sadegh University, Tehran, Iran.

Fadaei Nejad, M. (1995).Test of weak form of effecency and TSE. Journal of financial research,5, 3-26

Fallah Shams, M. F. & Zare, A. (2013). A study on the factors effective in the formation of price bubbles in TSE. TSE Journal, 21, 73-91.

Fama ha. (2010). "Stock Returns, Real Activity, Inflation and Money" American Economic Review, 4(71).

Gholipour, M. (2010). A study on the effect of institutional investment on the formation of stock price bubbles. Unpublished Master’s thesis.

Lamont, O. (1998), Earnings and Expected returns’ Journal of Finance 53. PP, 1563-

Larsen, E. S. (1997), Theories and Tests for Bubbles; Working Papers of Universitetet i Tromso, 17- 19.

Mcqueen G, torley S (1994)" Bubbles, Stok Returns, and Duration Dependence", journal of Finncial and Quantitivf Analysis,29, 379.

Moadlat, K. (2002). A study on price bubbles in TSE for years ago, selections of economics project, (20), 24

Nasseh A, Strauss J (2010), Stock prices and the dividend discount model: did their relation break down in the 1960s? The quarterly review of economics and finance Vol 44, pp191-207.

Okpara G, (2010) "Do Rational Speculative Financial Bubbles Exist in theNigerian Stock Market?" Interdisciplinary Journal Of Contemporary Researchin Business.

Samadi, et al. (2007). Efficiency test and price bubble in TSE through filter principle and CAPAM pattern. Economic studies, 4 (4), 91-113.

Shiller, Robert J. (1989). Market Volatility, Cambridge, MA, MIT Press

Soltani, A. (2007), a study on TSE price bubbles from 1991 to 2005. Unpublished Doctoral dissertation. Shahid Beheshti University, Tehran, Iran.

Vaez,M. & Torki,L.(2009). Price bubbles and capital market in iran. The journal of Esfahan university,31(3),195-207

Westerhof, Feank(2003). Bubbles and Crashes: Optimism, Trend Extrapolationand Panics, Journal of Theoretical and Applied finance; 6, 8: 829-837, 2-4.

Yahyazadeh Far, M., Taghinejad, V., & Alipour, S. (2009). A study on price bubbles in TSE. Nameh Mofid, 72, 49-68.




DOI: https://doi.org/10.11114/aef.v1i2.434

Refbacks

  • There are currently no refbacks.


Paper Submission E-mail: aef@redfame.com

Applied Economics and Finance    ISSN 2332-7294 (Print)   ISSN 2332-7308 (Online)

Copyright © Redfame Publishing Inc.

To make sure that you can receive messages from us, please add the 'redfame.com' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders. If you have any questions, please contact: aef@redfame.com

-------------------------------------------------------------------------------------------------------------------------------------------------------------