Forecasting Stock Price Manipulation in Capital Market

Subject Areas : Journal of Investment Knowledge

Mirfeiz Falah Shams ¹ ( Assistance Professor, Faculty Member of IAU, Central of Tehran Branch )
Hamid Reza Kordlouei ² ( PhD Student of Financial Management, International Education Center of IAU )
Amir Dehghani ³ ( Master Student of Accounting, Islamic Azad University, Eslamshahr Branch )

Received: 2012-04-03 Accepted : 2012-06-14 Published : 2012-06-14

Keywords: bubble price, liquidity, Size of Company, Floating Stock, Information Clarity,

Abstract :

The goal of the present article is extending and developing Multiple Disciminant Analysis (MDA) method which is able to distinguish buble price in Tehran stock exchange. The principal goal of the present study is to offer model for approximating buble price and also the factors efficient to make the model work at Tehran stock exchange. In order to do so by applying separation method a sample consisting of 397 companies accepted at Tehran stock exchange were selected and information related to their price and volume of trades during years 2001 until 2009 were collected and then through performing runs test, skewness test and duration correlative test the selected companies were divided into 2 sets of with bubble price and non bubbled companies. In the next stage by investigating cumulative return process and volume of trades in bubbledted companies, the date of starting bubble price was specified and in this way the multiple discriminant analysis, and by using information related to size of company, clarity of information, ratio of P/E and liquidity of stock one year prior bubble price; a model for forecasting bubble price of stocks of companies present in Tehran stock exchange were designed. At the end the power of forecasting model was studied by using data of test set. Whereas the power of forecasting MDA model was 90.2%; the model has high power to anticipate bubble price.