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Paper Information

Journal:   JOURNAL OF INDUSTRIAL MANAGEMENT STUDIES   SUMMER 2011 , Volume 8 , Number 21; Page(s) 143 To 165.
 
Paper: 

MODELING STOCK PRICES BUBBLES BY SYSTEM DYNAMICS FOR THE CAR MANUFACTURING INDUSTRY

 
 
Author(s):  SAEEDI ALI*, SHABZENDEDAR JAVAD
 
* AZAD UNIVERSITY, NORTH BRANCH, TEHRAN ,IRAN
 
Abstract: 

Price bubble is a phenomenon in which the assets prices go up considerably. The research shows that bubbles have Non-Linear characteristic, and common methods of stock valuation such as Discounted cash flow models and relative models, usually are unable to evaluate stock values. Common and Non-Systemic approach has linear and cascading perspective for considering phenomenon but systemic approach has Non-Linear approach. In this research, stock prices bubble in auto industry is considered by systemic thinking and is modeled by system dynamics approach. Two influencing factors are tested in the paper: belief changes speed and block purchasing. Both factors make the stock more volatile. So, the higher the speed and the larger the amount, the greater the stock volatility. Also, block transaction causes sentimental atmosphere among investors and pushes retail investors.

 
Keyword(s): STOCK MARKET, PRICE BUBBLES, SYSTEM DYNAMICS, DYNAMIC HYPOTHESIS
 
References: 
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