The Study of the Price BubbleContagion between the Currency Market and the Stock Exchange
Subject Areas : Stock Exchange
Vahid Mohammadi
1
,
Mirfeyz Fallah
2
,
Gholamreza Zomorodian
3
1 - Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
2 - Associate Professor, Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
3 - Associate Professor, Department of Financial Management, central Tehran Branch, Islamic Azad University, Tehran, Iran
Keywords: stock exchange, Price Bubble, Contagion, Currency,
Abstract :
In this paper the price bubble contagion in two currency market and the stocks market in a six year period (2015-2021) is investigated. For this purpose, the price bubble of both markets was examined and the dates of their formation and collapse were determined by using (RADF), (SADF),(GSADF) test. Then the contagion of the bubble in the financial market of Iran was investigated using a regression model. The findings of this research showed that there was a bubble in the foreign exchange market during five periods of 2016:10:31-2017:01:21, 2017:10:03-2018:12:16,2018:12:23-2019:07:14, 2020:02:22-2021:01:17 and 2021:01:23-2021:03:19.There were four bubble periods in the stock exchange for the total price index in periods 2016:02:06-2016:04:28,2017:09:04-2017:10:10,2017:10:17-2018:04:19 and 2018:06:10-2021:03:19. Also, the results indicate that the contagion of the price bubble from the currency market to the stock exchange market is statistically significant and the contagion of the bubble has occurred between the currency market and the stock exchange market .
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