Speculative Bubble in Capital Market

Subject Areas : Financial Knowledge of Securities Analysis

سید مجید شریعت پناهی ¹ (نیسنده مسئول)
هانیه روغنیان ² (ندارد)

Received: 2011-07-27 Accepted : 2011-09-06 Published : 2011-09-23

Keywords: speculative bubble, Tehran Stock Exchange Index, Industrial Index, relative size of bubble, abnormal volume,

Abstract :

Capital Market as the base of financial interactions is needful to have a perfect supervision. Because defects in basic factors like efficiency, regulation and investors learning, cause Capital Market to wander and emerging the phenomenal in the name of bubble. Bubble is the proximate and intensive growth in prices that is result of optimistic expectations. Demand is increasing by following the optimistic expectations and it is the cause of increasing price. At the end, by reverse expectations, we have decreasing price and crisis. This research has first some introduction about bubble and it`s inducements, by following the regime switching model, representation by Brooks and Katsaris (2005), then we recognize Speculative Bubble in the Tehran stock exchange Index and 5 Industrial Index(Felezate asasi, Siman, kani felezi, khodro, kok va tasfieh Faraverde nafti)  in the term of 1383 – 1387. The main variables in this model are relative size of bubble and abnormal volume.