Dynamics of Self Exciting Threshold Models in Analysis of Tehran Stock Market Behavior

Subject Areas : Financial Knowledge of Securities Analysis

S. Yahya Abtahi ¹

1 - استادیار دانشکده مدیریت، حسابداری و اقتصاد، واحد یزد، دانشگاه آزاد اسلامی، یزد، ایران

Received: 2015-12-04 Accepted : 2016-01-10 Published : 2016-12-21

Keywords: Stock returnes, Regime switching, SETAR modeles,

Abstract :

Regime switching models can recognize the tendencies in financial markets and as a result the sudden change of investor behavior and price dynamics. The present study investigates the regime switching behavior of Tehran Stock Exchange using the daily data on the rate of return of stock index price in a period from 1998 to 2014 For this purpose , we use univariate autoregressive process with change in regimes via threshold methods(TAR). The results –using a self exciting threshold auto regression model (SETAR) indicate that the threshold of stock return rate in Iran is negative and the majority of the cases under study are in the high stock return regime. The results from determining the amount of zero predetermined threshold show that Iran Stock Market was in depression for 45.2% and in boom for 54.8%. The average of stock return of boom regime was .08 and of depression regime was .004 .

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