Identification the Periods of Formation and Bursting of Speculative Bubbles in Iranian Stock Market Using Quantitative Models
The purpose of this study is to investigate and identify the periods of formation and bursting of speculative bubbles in Iran's capital market by creating a state space model and two-mode switching regime (mode 1 is bubble growth and burst stage and mode 2 is the time of bubble loss) during the...
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Islamic Azad University of Arak
2019-10-01
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doaj-d7fad8f74c7f423582ae39f0d51a86922020-11-24T21:18:03ZengIslamic Azad University of ArakAdvances in Mathematical Finance and Applications2538-55692645-46102019-10-014412914010.22034/amfa.2019.585775.1189666231Identification the Periods of Formation and Bursting of Speculative Bubbles in Iranian Stock Market Using Quantitative ModelsSeyed Ali Nabavi Chashmi0Mohammad Reza Mahjoob1Department of Management Babol Branch, Islamic Azad University, Babol, IranDepartment of Management Babol Branch, Islamic Azad University, Babol, IranThe purpose of this study is to investigate and identify the periods of formation and bursting of speculative bubbles in Iran's capital market by creating a state space model and two-mode switching regime (mode 1 is bubble growth and burst stage and mode 2 is the time of bubble loss) during the period from April 2011 to March 2018. The Oxmetrics 7 software is used to investigate the existence of multiple bubbles and research objective.<br /> The results of the study of the state space switches confirm the bubble of the capital market in Iran during four periods in the research domain. The life span of the first speculative bubble is 2 months from October to November 2011, the second is 8 months from March to October 2013, the third is 3 months from December 2015 to February 2016, and the fourth period of bubble is 5 months from August to December 2017. Therefore, the result of the research stipulates that the stock index of the Iranian capital market in the realm of research time period has had 18 months of bubbles and has spent 66 months in balance.http://amfa.iau-arak.ac.ir/article_666231_495f6c8b75ad054c7e64148e9f56eb4e.pdfspeculative bubblestate spacestock indexoxmetrics7 |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Seyed Ali Nabavi Chashmi Mohammad Reza Mahjoob |
spellingShingle |
Seyed Ali Nabavi Chashmi Mohammad Reza Mahjoob Identification the Periods of Formation and Bursting of Speculative Bubbles in Iranian Stock Market Using Quantitative Models Advances in Mathematical Finance and Applications speculative bubble state space stock index oxmetrics7 |
author_facet |
Seyed Ali Nabavi Chashmi Mohammad Reza Mahjoob |
author_sort |
Seyed Ali Nabavi Chashmi |
title |
Identification the Periods of Formation and Bursting of Speculative Bubbles in Iranian Stock Market Using Quantitative Models |
title_short |
Identification the Periods of Formation and Bursting of Speculative Bubbles in Iranian Stock Market Using Quantitative Models |
title_full |
Identification the Periods of Formation and Bursting of Speculative Bubbles in Iranian Stock Market Using Quantitative Models |
title_fullStr |
Identification the Periods of Formation and Bursting of Speculative Bubbles in Iranian Stock Market Using Quantitative Models |
title_full_unstemmed |
Identification the Periods of Formation and Bursting of Speculative Bubbles in Iranian Stock Market Using Quantitative Models |
title_sort |
identification the periods of formation and bursting of speculative bubbles in iranian stock market using quantitative models |
publisher |
Islamic Azad University of Arak |
series |
Advances in Mathematical Finance and Applications |
issn |
2538-5569 2645-4610 |
publishDate |
2019-10-01 |
description |
The purpose of this study is to investigate and identify the periods of formation and bursting of speculative bubbles in Iran's capital market by creating a state space model and two-mode switching regime (mode 1 is bubble growth and burst stage and mode 2 is the time of bubble loss) during the period from April 2011 to March 2018. The Oxmetrics 7 software is used to investigate the existence of multiple bubbles and research objective.<br /> The results of the study of the state space switches confirm the bubble of the capital market in Iran during four periods in the research domain. The life span of the first speculative bubble is 2 months from October to November 2011, the second is 8 months from March to October 2013, the third is 3 months from December 2015 to February 2016, and the fourth period of bubble is 5 months from August to December 2017. Therefore, the result of the research stipulates that the stock index of the Iranian capital market in the realm of research time period has had 18 months of bubbles and has spent 66 months in balance. |
topic |
speculative bubble state space stock index oxmetrics7 |
url |
http://amfa.iau-arak.ac.ir/article_666231_495f6c8b75ad054c7e64148e9f56eb4e.pdf |
work_keys_str_mv |
AT seyedalinabavichashmi identificationtheperiodsofformationandburstingofspeculativebubblesiniranianstockmarketusingquantitativemodels AT mohammadrezamahjoob identificationtheperiodsofformationandburstingofspeculativebubblesiniranianstockmarketusingquantitativemodels |
_version_ |
1726010664695103488 |