文章基本信息

标题：Identification the Periods of Formation and Bursting of Speculative Bubbles in Iranian Stock Market Using Quantitative Models
本地全文：下载
作者：Seyed Ali Nabavi Chashmi ; Mohammad Reza Mahjoob
期刊名称：Advances in Mathematical Finance and Applications
印刷版ISSN：2538-5569
电子版ISSN：2645-4610
出版年度：2019
卷号：4
期号：4
页码：129-140
DOI：10.22034/amfa.2019.585775.1189
语种：English
出版社：Islamic Azad University of Arak
摘要：The purpose of this study is to investigate and identify the periods of formation and bursting of speculative bubbles in Iran's capital market by creating a state space model and two-mode switching regime (mode 1 is bubble growth and burst stage and mode 2 is the time of bubble loss) during the period from April 2011 to March 2018. The Oxmetrics 7 software is used to investigate the existence of multiple bubbles and research objective. The results of the study of the state space switches confirm the bubble of the capital market in Iran during four periods in the research domain. The life span of the first speculative bubble is 2 months from October to November 2011, the second is 8 months from March to October 2013, the third is 3 months from December 2015 to February 2016, and the fourth period of bubble is 5 months from August to December 2017. Therefore, the result of the research stipulates that the stock index of the Iranian capital market in the realm of research time period has had 18 months of bubbles and has spent 66 months in balance.