Existing bubble stock test with Generalized Supremum Augmented Dickey-Fuller techniques and Impulse Response Function and analysis of Variance Decomposition

Article Type:
Research/Original Article (دارای رتبه معتبر)

The purpose of this study was to investigate the existence of bubbles in the capital market of Iran market by using Applied to Generalized Supremum Augmented Dickey-Fuller and Impulse Response and analysis of Variance Decomposition. For this purpose, using monthly data, four indices (the price / profit ratio Share, total market price index, exchange rate and inflation rate) were investigated for the period from 2011 to 2018, and the stock price bubble was discovered.The results obtained from the tests, explosive behavior and the existence of multiple bubbles in the Iranian investment market have been confirmed, both of the indicators evaluated (price / earning per share and the total price index) co-exist with the bubble in the intervals of 03.2011-07.2014and 09.2015-04.2017indicated a failure of the bubble on 08.2014 and 05.2017. The Results Response Functions (IRFs) confirmed that seeking to inflate a shock to a standard deviation and exchange rate, the stock index created a bubble, so that this created bubble in standard deviation has led to a defead in the past eleven month, but the exchange rate in the the fifteenth monthes the bubble of stock index has been flooded . The results of these prediction error (VDCs), it also indicate that the forecast error of the inflation variable on the stock index has been completely ineffective. Nevertheless this forecast error in the long-term exchange rate has had a significant impact on the index and eventually the on bursting of the bubble.

Journal of Investment Knowledge, Volume:10 Issue: 38, 2021
243 to 264
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