List of Articles ریشه واحد

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  1 - Estimating the half-life of stock price mean reverting: an application of Stochastic Differential Equations
  hadi rahmani fazli ahmad molabahrami
  In this paper we use stochastic differential equation for estimating the long run equilibrium of the stock prices, the speed of reverting to the mean of the stock prices and the half-life of the stock prices of the selected firms (about 24 active firms) in Tehran Stock More

  In this paper we use stochastic differential equation for estimating the long run equilibrium of the stock prices, the speed of reverting to the mean of the stock prices and the half-life of the stock prices of the selected firms (about 24 active firms) in Tehran Stock Exchange. We use the stock price data of the selected firms to see if the stock prices of these firms have Unit roots tests. For firms which their stock prices are stationary, without unit roots, we follow an Ornstein-Uhlenbeck stochastic differential equation to estimate the half-life of the stock returns of the selected firm. For firms which their stock prices have got the unit root, we use Geometric Brownian Motion for estimation. The results show that most of the studied companies have a reversible behavior to a long-term average and a half-life of stock prices is estimated to be from 3 to 30 weeks. The estimation of the half-life of the stock prices of the selected firms will provide valuable information for the investors and other agents active in the stock markets. Manuscript profile
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  2 - Testing for Explosive behavior and bubbles In Iran’s Stock Market
  Kazem Biabany Khameneh Saeid Khazaei Amir Hosein Afsharian
  The purpose of this research is testing of existence explosive behavior and identifying periods with price bubbles in stock market of Iran in January 2008 until September 2014. In periods that multiple price bubbles occurs, process of time series change from random walk More

  The purpose of this research is testing of existence explosive behavior and identifying periods with price bubbles in stock market of Iran in January 2008 until September 2014. In periods that multiple price bubbles occurs, process of time series change from random walk to an explosive behavior. In this cases most of the traditional unit roots tests has less power in detecting bubbles because It is necessary that unit root test is able to detecting changes in time series from I(0) to I(1) during bubbles and changing I(1) to I(0) during collapse. For this reason, in the present study Sup ADF and Generalized SADF tests that’s based on right tail augmented Dickey-Fuller unit root test that recently Introduced by Phillips et.al (2014) was applied for testing explosive behavior. According to the results, existence of bubbles in the 15 months of samples, and specially July 2013 until December 2013 is confirmed Manuscript profile
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  3 - A study of the price bubbles in pharmaceutical firms listed in Tehran Stock Exchange
  saeed khodabakhshzadeh
  The price bubbles in medical commodities and medications can interrupt the pharmaceutical market. The objective of the present study is to explore the occurrence of price bubbles in the pharmaceutical market of the firms listed in Tehran Stock Exchange (TSE). The presen More

  The price bubbles in medical commodities and medications can interrupt the pharmaceutical market. The objective of the present study is to explore the occurrence of price bubbles in the pharmaceutical market of the firms listed in Tehran Stock Exchange (TSE). The present work is of applied and developmental type conducted as an econometric study (time series). The statistical population was composed of 21 pharmaceutical firms listed in TSE for the period of 2012.03-2017.02. Recursive unit root tests (GSADF, RADF, and SADF) were applied for the discovery and date-stamping of the price bubbles. It was revealed that 95 percent of firms have experienced bubbles over the studied period, of which 22 percent were multiple and 78 percent were single. In 2013, 91 percent of the studied firms were encountered with bubbles while it was 62 percent in 2010. In contrast, the results of SADF refuted the existence of bubbles in 57 percent of the studied firms but confirmed that 43 percent of firms have experienced bubbles. Also, SADFG showed that 95 percent of firms have had bubbles over the studied period, of which 17 percent were multiple and 83 percent were single. In 2013, 86 percent of firms were struggling with bubbles, while in 2010, 57 percent have had bubbles.In the pharmaceutical market, we can mitigate the implications of bubbles and control the price of medical and pharmaceutical commodities by early recognition of the price bubbles. Manuscript profile
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  4 - Recognizing the Periods of Developing and Collapsing Multi-Price Bubbles in Housing Market: Case Study of Tehran City
  Roozbeh Baloonejad noori hamzeh safari
  Abstract The purpose of this study is to investigate the development and collapse of price bubbles of housing market in Tehran by the data of housing rents, land price during 1995:Q1-2014:Q1. Based on the critiques to the common methods of evaluating the price bubbles More

  Abstract The purpose of this study is to investigate the development and collapse of price bubbles of housing market in Tehran by the data of housing rents, land price during 1995:Q1-2014:Q1. Based on the critiques to the common methods of evaluating the price bubbles and the possibility of happening more than one bubble in the time period under consideration, in this study, Generalized Supremum Augmented Dickey–Fuller is used. By this method, it is possible to determine the development and collapse periods of price bubble in addition to test multiple bubbles,. The results represent that in the period under review, the ratio of price - rent as an indicator of return on assets, has no rational price bubbles. However, by the abruptly and explosively changing in defining the price, there will be a price bubble in housing during 3 periods including 2001:Q1- 2002:Q1, 2004:Q1- 2004:Q2, 2006:Q2- 2007:Q2 and 2006:Q2-2007:Q2 and so in land real prices during 3 periods including 2000:Q2-2001:Q2, 2006:Q2-2007:Q2 and 2012: Q1-2013:Q2.  Manuscript profile
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  5 - روابط قیمتی و اثرات سرریز نوسانات قیمت در بازار برنج ایران
  محمد کاوسی کلاشمی محسن کاوسی کلاشمی
  برنج اهمیت ویژه‌ای در سبد غذایی خانوار ایرانی دارد. نوسانات قیمت این محصول طی سال‌های اخیر موجب نارضایتی مصرف‌کنندگان شده است. این تحقیق با استفاده از الگوی خود توضیح واریانس ناهمسان شرطی تعمیم یافته (GARCH) و داده‌های دوره زمانی ماهیانه 1392-1378، به بررسی اثرات سرریز More

  برنج اهمیت ویژه‌ای در سبد غذایی خانوار ایرانی دارد. نوسانات قیمت این محصول طی سال‌های اخیر موجب نارضایتی مصرف‌کنندگان شده است. این تحقیق با استفاده از الگوی خود توضیح واریانس ناهمسان شرطی تعمیم یافته (GARCH) و داده‌های دوره زمانی ماهیانه 1392-1378، به بررسی اثرات سرریز قیمت برنج صدری ممتاز (در دو سطح خرده فروشی و عمده فروشی) در بازار استان گیلان می پردازد. براساس نتایج حاصل از آزمون‌های ریشه واحد می‌توان ادعا کرد که سری زمانی ماهیانه قیمت عمده فروشی برنج صدری ممتاز و سری زمانی ماهیانه قیمت خرده فروشی برنج صدری ممتاز، دارای ریشه واحد در فراوانی صفر بوده یا (I(1 می‌باشند. با توجه به مقادیر آماره محاسباتی اثر و حداکثر ریشه مشخصه وجود رابطه بلندمدت بین دو سری زمانی ماهیانه مورد بررسی تأیید می‌شود. ضرایب حاصل از نرمال سازی بردار همگرایی نشان داد که با افزایش (کاهش) یک درصدی قیمت خرده‌فروشی، انتظار می‌رود قیمت عمده‌فروشی 0.99 درصد افزایش (کاهش) یابد. نتایج حاصل از برآورد الگوی GARCH نشان داد که سرریز نوسانات از قیمت خرده‌فروشی به عمده‌فروشی و بالعکس وجود دارد. همچنین، نوسانات قیمت محصول برنج در سطح خرده‌فروشی و عمده‌فروشی اثر مثبت و معنی‌دار آماری بر نوسانات خود دارند. با توجه به نتایج حاصل از این پژوهش طراحی بسته‌های سیاست‌های مناسب در طرف عرضه و تقاضا توصیه می‌شود Manuscript profile
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  6 - The Study of Chaos Phenomenon in TEDPIX of Tehran Stock Exchange
  محمد نمازی زهره حاجیها حسن چناری بوکت
    Abstract Complicated time series such as stock prices and their changes are commonly hypothesized as random and subsequently unanticipated parameters, while probably, these time series could the resultant of a chaos or a regular non–linear active process More

    Abstract Complicated time series such as stock prices and their changes are commonly hypothesized as random and subsequently unanticipated parameters, while probably, these time series could the resultant of a chaos or a regular non–linear active process and consequently they will be anticipatable. This article examines whether TEDPIX of Tehran Stock Exchange (TSE)are following the random walk process or evaluated by a chaotic process in the period of 1380-1392. For analysis of the hypothesis, unit root, BDS, autocorrelation and auto-regression were used. The results of the study indicate that TEDPIX is a chaotic and non–randomized parameter. These results are related to the inefficiency of the TSE market and subsequently showed that the TSE market has the potential of short–time predictability and there is a non–clearance information progress. Manuscript profile
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  7 - بررسی روند زمانی قطعی و تغییر در پایداری شاخص کل بورس اوراق بهادار تهران، مبتنی بر تحلیل بیزین و با مدل تعمیم یافته ریشه واحد تصادفی (GSTUR)
  رسول سجاد محسن عسگری
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  8 - Effect of Income Inequality on Consumption Expenditure Inequality in Iran, 1982-2007
  M.H. Fotros R. Maaboudi
  On the basis of macroeconomic consumption theories, consumption behavior as compared to income is more stable. Overtime income inequality that is, appeared as fluctuation and dispersion in income, would affect consumption expenditure. In this paper the extent of consump More

  On the basis of macroeconomic consumption theories, consumption behavior as compared to income is more stable. Overtime income inequality that is, appeared as fluctuation and dispersion in income, would affect consumption expenditure. In this paper the extent of consumption expenditure inequality that are caused by income fluctuation and dispersion was analyzed. The inequalitiesof household consumption expenditure were analyzed for eight goods and services categories. Urban household budget panel data for the years of 1982 to 2007 were used and causal relationship between the variables analyzed. The results showed that not all of the fluctuation and dispersion in income were transferred to consumption expenditure. Therefore, consumption expenditure was less dispersed than income. Manuscript profile