تحليل رفتاري شكل گيري حباب قيمت در بازار سرمايه (مطالعه موردي بورس اوراق بهادار تهران 1387-1376)

Behavioral Analysis Bubble Formation In The Capital Market (The Case Study of Tehran Stock Exchange Market)

Abstract One of the most important issues in capital market is to explain the price volatilities by fundamental models. In two recent decades, some adjustments were explored to improve the explanatory ability of models. For instance, bubble component is introduced to increase the ability to explain the price volatilities. In this paper, bubble prices are introduced with specific definitions and mathematical relations, then, the reasons for emergence of bubble price of securities are analyzed from the behavioral point of view. The bubble is an unobservable variable, which is obtained from state-space form and Kalman Filter on current prices. Then, the effectiveness of herding behavior, fad tendency and psychological conditions on bubble are investigated. The empirical results indicate that bubble price in Tehran Stock Exchange Market is affected by herding behavior, fad tendency and psychological conditions. JEL Classification: G12, G01, D01, D03