نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشیار دانشگاه مازندران

2 استادیار دانشگاه مازندران

3 کارشناس ارشد مدیریت بازرگانی (گرایش مالی) دانشگاه مازندران

چکیده

حباب، به افزایش بی رویه، انحراف زیاد و پایدار قیمت‌ها از قیمت تعادلی در اثر عوامل غیر بنیادی اطلاق می‌شود. در واقع حباب قیمتی نوعی افزایش غیر واقعی و فزاینده در قیمت‌ها‌ست که ناشی از خوش بینی و واکنش بیش از اندازه بازار می‌باشد و سرانجام به سقوط قیمت بازار منجر می‌شود.
در این پژوهش وجود حباب‌های قیمتی عقلایی سهام در بورس اوراق بهادار تهران برای دوره زمانی 3 / 1379 تا 3 / 1386 به طور هفتگی، ماهانه و فصلی با استفاده از سه آزمون ریشه واحد، هم‌انباشتگی و آزمون انباشتگی کسری مورد بررسی قرار گرفت. نتایج هر سه آزمون ریشه واحد، هم‌انباشتگی و آزمون انباشتگی کسری حاکی از وجود حباب در بورس اوراق بهادار تهران در دوره مذکوراست.

کلیدواژه‌ها

عنوان مقاله [English]

An Investigation of Rational Stock Price Bubble in Tehran Stock Exchange

نویسندگان [English]

  • Mahmood Yahyazadehfar 1
  • Vahid Taghinezhad Omran 2
  • Siavash Alipour 3

1 Associate Professor, University of Mazandaran

2 Assistant Professor of Mazandaran University

3 Master of Business Management (Financial Orientation), Mazandaran University

چکیده [English]

Price bubbles are one of the factors that affect stock price and its volatilities. The term bubble in the stock market suggests a possible deviation of the stock price from the fundamental price, proxied 
 from the present value of all its future cash flows or dividends that is based on reflections and reactions. These reactions to price rising cause to increase investors intentions, demands and finally leads to stock price increase.
In this article the existence of rational bubbles will be examined in Tehran Stock Exchange weekly, monthly and seasonal data over the period 2000-2007 using three tests including Unit Root, Co-integration and Fractional Integration. By using these three tests, the existence of rational bubbles in Tehran Stock Exchange will not be rejected

کلیدواژه‌ها [English]

  • ARFIMA
  • Rational Bubble
  • Mean Reversion

منابع

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