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Title

DETECTING THE PRICE BUBBLES PERIODS: A CASE STUDY OF TEHRAN STOCK EXCHANGE MARKET

Pages

 Start Page 25 | End Page 55

Abstract

 So far, a variety of methods have been used to detect the price bubbles in asset markets. Regarding to criticisms on the common tests to detect the bubbles, in this paper, we have used the Supremum Augmented Dickey-Fuller (SADF) and Generalized Supremum Augmented Dickey-Fuller (GSADF) RIGHT-Tailed unit root tests to find and detect the BUBBLE PERIODS in TEHRAN STOCK EXCHANGE MARKET from 2002: 03 to 2016: 01. Unlike the conventional methods to detect the price bubbles, these tests have the ability to exoplor the explosive behavior, detect the presence of multiple bubbles at a time period, and estimat the creation and collapse date of each bubbles. The results of the tests have confirmed the explosive behavior and the presence of multiple bubbles in the Iran stock market. Also, all three indices (the total price index, real total price and price-dividend ratio indices) jointly have showed the bubbles in 2003: 06-2003: 08, 2009: 09-2009: 11 and 2011: 03-2011: 05. Moreover, based on the all indexes, the Tehran stock market had no bubble in 2015.

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