تعداد نشریات | 21 |
تعداد شمارهها | 603 |
تعداد مقالات | 8,919 |
تعداد مشاهده مقاله | 66,852,812 |
تعداد دریافت فایل اصل مقاله | 7,450,230 |
Analysis of the formation of the price bubble in the financial market: with an emphasis on the price bubble in the insurance industry and the stock market with the Markov-switching approach | ||
International Journal of Nonlinear Analysis and Applications | ||
دوره 12، Special Issue، اسفند 2021، صفحه 1-14 اصل مقاله (245.44 K) | ||
نوع مقاله: Research Paper | ||
شناسه دیجیتال (DOI): 10.22075/ijnaa.2021.4758 | ||
نویسندگان | ||
Mahdi Sadidi* 1؛ Hossein tavakolian2؛ Mohammad Asim3 | ||
1Assistant Professor, Faculty Member, Allameh Tabataba,i University, Tehran, Iran | ||
2Associate Professor, Faculty Member, Allameh Tabataba, i University, Tehran, Iran | ||
3PhD Student in Financial Management, Allameh Tabataba, i University, Tehran, Iran | ||
تاریخ دریافت: 08 اسفند 1398، تاریخ بازنگری: 23 مرداد 1399، تاریخ پذیرش: 07 دی 1399 | ||
چکیده | ||
This article investigates the formation of price bubbles in the insurance industry index in the Tehran Stock Exchange with the total price index, considering the importance of the price trend and the formation of bubbles in the stock market in order to get a better understanding of the price trend of the insurance industry compared to the total index of Tehran Stock Exchange. The time period studied in this article is from April 2017 to April 2020. The method used here is the Markov switching method. Also, the basis of this study to identify the price bubble is two-regime state-space model of Wu (1995) and Campbell and Shiller (1988), which considers bubble formation in one state and bubble burst in the other. The results show that the trend of price bubble formation in the insurance industry in Tehran Stock Exchange and the total price index of the stock exchange are different and fluctuations in the insurance industry index have been more than fluctuations in the total stock index. Also, based on the results, the number of bubble formation trends related to the insurance industry index is about 26 times and the total index is 19 times. In addition, the bubbles that occur are less compatible with each other, so that studies show that in the period of 2017 to 2018, the total index did not face the formation of bubbles, but the insurance industry index has experienced about 12 bubble formation processes in the same period | ||
کلیدواژهها | ||
Price bubble؛ Insurance industry؛ Tehran Stock Exchange | ||
مراجع | ||
[1] Abbasian, E., Nazari, M., and Farzanegan, E. (2012). The effect of monetary policy on the emergence of stock price bubbles in the Tehran Stock Exchange. Stock Exchange Quarterly, 18: 75-92. [2] Samani, H., Ali Danesh, H., and Nazari, F. (2017). Corporate Social Responsibility and the Price Bubble: A Study of Companies Listed on the Tehran Stock Exchange. 33: 1-16. [3] Asadi, G.H., Hamidi Zadeh, M.R., and Soltani, A. (2006). Study of stock price bubbles in Tehran Stock Exchange according to the size of the company and the type of industry. Quarterly Journal of Accounting Studies, 14: 39-71. [4] Biabani Khameneh, K., Khazaei, S., and Afsharian, A. (2016). Bubble Test and Explosive Behavior in the Iranian Stock Market. Quarterly Journal of Securities Analysis, 29: 111-125. [5] Campbell, J.Y., Shiller, R.J. (1988a). The Dividend-Price Ratio and the Expectations of Future Dividends and Discount Factors. Review of Financial Studies 1(3), 195-228. [6] Campbell, J.Y., Shiller, R.J. (1988b). Stock Prices, Earnings and Expected Dividends. Journal of Finance 43(3), 661-676.[7] Chen, A. S., Cheng, L. Y., & Cheng, K. F. (2009). Intrinsic bubbles and Granger causality in the S&P 500: Evidence from long-term data. Journal of Banking & Finance, 33(12), 2275-2281. [8] Cuthbertson, K., & Nitzsche, D. (2005). Quantitative financial economics: stocks, bonds and foreign exchange. John Wiley & Sons. [9] Dow, J., & Han, J. (2015). Contractual incompleteness, limited liability and asset price bubbles. Journal of Financial Economics, 116(2), 383-409. [10] Ebrahimi Sarv Oulia, M.H., Fallah Shams Laialestani, M., and Azarang, Sh. (2013). Study of Factors Affecting the Price Bubble in Tehran Stock Exchange. Quarterly Journal of Financial Engineering and Securities Management, 17: 107-115. [11] Escobari, D., Garcia, S., & Mellado, C. (2017). Identifying bubbles in Latin American equity markets: PhillipsPerron-based tests and linkages. Emerging Markets Review, 33, 90-101. [12] Gomez-Gonzalez, J.E., J.N. Ojeda-Joya, C. Rey-Guerra & N. Sicard. (2013). Testing for Bubbles in Housing Markets: New Results Using a New Method. Federal Reserve Bank of Dallas, Working Paper, No. 164. [13] Greenspan, A. (2004). Risk and Uncertainty in Monetary Policy. Remarks at the Meetings of the American Economic Association, San Diego, California, January 3rd. [14] Jafari Samimi, A. and Balonejad, R. (2015). Testing the Existence of Multiple Price Bubbles in the Stock Market: Improving the General Superior Dicky-Fuller Method. Quarterly Journal of Economic Modeling Research, 21: 7-33. [15] Kim, C.-J., Nelson, C.R. (1999). State Space Models with Regime Switching. MIT Press, Cambridge. [16] Klotz, P., Lin, T. C., & Hsu, S. H. (2016). Modeling property bubble dynamics in Greece, Ireland, Portugal and Spain.Journal of European Real estate research, 9(1), 52-75. [17] Komaromi, G. (2004). Was There a Stock Market Bubble in Hungary? Competitio, 3(1): 169-178. [18] Koustas, Z., & Serletis, A. (2005). Rational bubbles or persistent deviations from market fundamentals?. Journal of Banking & Finance, 29(10), 2523-2539. [19] Madelat, K. (2002). Investigating the existence of a price bubble in the Tehran Stock Exchange in recent years. Economic Research Collection, 2: 1-24. [20] Miller, J. I., & Ratti, R. A. (2009). Crude oil and stock markets: Stability, instability, and bubbles. Energy Economics, 31(4), 559-568. [21] Narayan, P. K., Mishra, S., Sharma, S., & Liu, R. (2013). Determinants of stock price bubbles. Economic Modelling, 35, 661-667. [22] Nunes, M., & Da Silva, S. (2007). Rational bubbles in emerging stockmarkets. [23] Palshikar, G. K., & Apte, M. M. (2008). Collusion set detection using graph clustering. Data Mining and Knowledge Discovery, 16, 135–164. [24] Qin, X. I. A. O., & Tan, G. K. R. (2006). Markov-switching unit root tests: a study of property price bubbles in Hong Kong and Seoul. In The 35th Australian conference of economists (ACE). [25] Qin, X. I. A. O., & Tan, G. K. R. (2006). Markov-switching unit root tests: a study of property price bubbles in Hong Kong and Seoul. In The 35th Australian conference of economists (ACE). [26] Serletis, A., & Koustas, Z. (2004). Rational Bubbles or Persistent Deviations from Market Fundamentals?. [27] Vakilifard, H.R., Talebnia, G., and Kiani, M. (2010). Study of the relationship between free float stocks and creating a price bubble in companies listed on the Tehran Stock Exchange. Journal of Financial Engineering and Portfolio Management, 4: 67-87. [28] Wu, Y. (1995). Are there rational bubbles in foreign exchange markets? Evidence from an alternative test. Journal of International Money and Finance 14, 27-46. [29] Wu, Y. (1995). Are there rational bubbles in foreign exchange markets? Evidence from an alternative test. Journal of International Money and Finance 14, 27-46. [30] Wu, Y. (1997). Rational Bubbles in the Stock Market: Accounting for the U.S. Stock-Price Volatility. Economic Inquiry 35, 309-319. [31] Wu, Y. (1997). Rational Bubbles in the Stock Market: Accounting for the U.S. Stock-Price Volatility. Economic Inquiry 35, 309-319. | ||
آمار تعداد مشاهده مقاله: 44,122 تعداد دریافت فایل اصل مقاله: 1,009 |