بررسي حباب قيمت در شاخص كل بورس اوراق بهادار تهران

Bubble in Tehran Exchange Price Index (TEPIX) G.

The domain theory of financial asset, the present-value models, purports that stock prices are equal to the sum of the discounted expected dividends sequence. Also the Efficient Markets Hypothesis (EMH) implies that changes in securities price result from changes in expectations due to new information about fundamentals (dividend & discount factor) becoming available to investors. Deviation of stock prices from fundamentals (intrinsic value) is called price bubble. In other words, if there is price pebble; price raises independently of fundamentals and then collapse. Bubbles are very dangerous for performance of capital markets as correct allocating funds to sectors and industries of economy. Modern finance implies bubbles arise because traders may have difficulty formulating stable future expectations. But behavioral finance implies that emerging bubbles in capital markets is due to psychology of market. In this study we examine and test existence of bubble in Tehran Exchange Price Index (TEPIX) during period 1378-1385 by using time series analysis methods (testing stationary of log D/P by ADF test and ARFIMA model). According to research results, we can not reject null hypothesis as existence of bubble in TSE (Tehran Stock Exchange) but this doesnʹt that we strongly accept null hypothesis. Because of special conditions in Iran, We conclude just some part of TSE abnormal growth during period 1378- 1385 is due to bubble.