Prediction of stock price bubble drop in Tehran Stock Exchange (conditional Volatility approach)

Subject Areas : Financial engineering

shahrzad kashanitabar ¹ , Fereydoon rahnamaroodposhti ² , Mirfeiz Fallah ³ , Ebrahim Chirani ⁴ , Gholamreza zomorodian ⁵

1 - Department of Finance, Rasht Branch, Islamic Azad university, Rasht, Iran.
2 - Department of Business Management, Science and Research Branch, Islamic Azad university, Tehran, Iran
3 - Department of Business Management, Central Tehran Branch, Islamic Azad university, Tehran, Iran
4 - Department of Business management, Rasht Branch, Islamic Azad University, Rasht, Iran
5 - Department of Business Management, Central Tehran Branch, Islamic Azad university, Tehran, Iran

Received: 2019-04-27 Accepted : 2019-07-09 Published : 2020-09-22

Keywords: Stock, Price Bubbles, Stock and Securities, generalized autoregressive conditional heteroscedasticity,

Abstract :

Stock market as a part of the capital market plays a very important role in directing savings to the manufacturing sector in all countries. Today, in the economy of many developing countries, the situation of macroeconomic variables is not consistent with the ascension of stock indices, and in fact the relationship between the economy and the stock has been discontinued. Today, in the economy of many developing countries, the situation of macroeconomic variables is not consistent with the increase in stock indices, and in fact the relationship between the economy and the stock has been discontinued. In the present study, for the prediction of price bubbles, the daily data of 144 companies in the Tehran Stock Center during the period of 1389 (1396) has been analyzed by the generalized autoregressive conditional heteroscedasticity (GARCH). Based on the results of the data analysis, member firms in the stock center in the years under consideration have been priced bubbles that were higher in the first six months of the year. The factors that triggered price bubbles include political shocks, returns in parallel bubbles, such as oil, currency and gold.

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