Impact of Speculative Bubble on Stock Returns in Companies Listed on Tehran Stock Exchange

Advances in Mathematical Finance and Applications

مقاله 8، دوره 3، شماره 4، اسفند 2018، صفحه 115-127   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2019.553492.1089

نویسندگان

Soheil Ali^* ؛ Hadi Yazdi

Department of Management, Arak Branch, Islamic Azad University, Arak, Iran.

چکیده

Recent studies show that individual investors tend to speculate on stock markets and hold shares with a lottery-like return. For this speculation of people have a significant impact on stock returns, individual investors must trade the same shares with the same time. The purpose of this study was to investigate the effect of the speculative bubble on the stock returns of companies in Iran. Following the design of the speculative bubble specification indexes, the transaction information was collected from the stock market in the five-year period from 2011 to 2015 and a sample of 106 companies was selected by systematic elimination method, which totaled 530
year-company. In this research, linear regression and correlation analysis were used to analyze the hypotheses of the research. To analyze the data and test the hypotheses, Eviews software was used. What can be said in the summing-up and conclusion of the general test of research hypotheses is that there is a speculative bubble in the Tehran Stock Exchange index. In addition, the speculative bubble has an impact on stock returns, and this effect has been confirmed in conditions of market boom and downswing. The results obtained in this study are consistent with the documents referred to in the theoretical framework of the research and financial literature.

کلیدواژه‌ها

Stock Returns؛ speculative bubbles؛ market downswing

سایر فایل های مرتبط با مقاله

8-edit-amfa-1711-1089.pdf

مراجع

[1] Baker, M, Wurgler, J., Investor sentiment and the cross-section of stock returns, Journal of Finance, 2006,6(1), P.1645– 80. DOI:10.1111/j.1540-6261.2006.00885.x

[2] Barber, B, Odean, T.,  All that glitters: The effect of attention and news on the buying behavior of individual and institutional investor, Review of Financial Studies, 2008,2(1), P. 785–818. doi.org/10.1093/rfs/hhm079

[3] Brooks, C., Katsaris, A., Forecasting the Collapse of Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index ISMA. Centre Discussion Paper No. 2002. DOI:10.1211/j.1540-6261.2008.01316.x

[4] Cordelui, H., Teimuri, F., A Comparative Study of the Power of Gaussian Composition Models and Support Machines in Determining and Estimating the Bubble Pricing, Journal of Financial Engineering and Management of Securities,2015, 2(3),P.79-104. article_510770.html

[5] Etemadi, Z., Abbasi, A., Yazdani, H.R., Role-bubble speculation in Tehran Stock Exchange and selected industries using the Markov-Switching Model, Ministry of Science, Research and Technology - Alzahra University - Faculty of Social and Economic Sciences.2015. DOI:10580851-67781

[6] Ghoorami, M., Ghavami, H., Hosseinpour, H., The Relationship Between Transparency of Capital Market Information and the Rise of Price Bubbles, Dual Financial Economics, 2013, 20(5), P. 27-58. DOI:10.22067/pm.v20i5.34034

[7] Gwilym O. A., Hasan, I., Wang, Q., Xie, R., In Search of Concepts: The Effects of Speculative Demand on Stock Returns,2016, 22(3), P. 427–449. DOI:10.1111/eufm.12067

[8] Kaniel, R., Saar, G., Titman, S., Individual investor trading and stock returns , Journal of Finance,  2008,20(3) P. 273– 310. DOI:10.1111/j.1540-6261.2008.01316.x

[9] Khodadad Kakshi, F., Razban N., The role of speculation on changes in housing prices in Iran, Quarterly Journal of Economic Research.2014, 22 (71),P.5-28. 337102

[10] Kim, K., Suh Seoum,H., Speculation and Price Bubbles in the Korean and Japanes Real Estate Market, Journal of Real Estate Finance and Economics,1993,6(6), P. 73-87. DOI:10.1007/BF01098429

[11] Kumar, A,  Do the diversification choices of individual investors in fluence stock returns? , Journal of Financial Markets,2007, 10(3), P. 362–90. DOI:10.1016/j.finmar.2007.06.003

[12] Lemmon, M, Portniaguina, E, Consumer confidence and asset prices: Some empirical evidence’ Review of Financial Studies , 2006,9(1), P. 1499. DOI:10.1093/rfs/hhj038

[13] Malpezzi, S., M. Wachter, S., The Role of Speculation in Real Estate Cycles, The Center for Urban Land Economics Research, University of Wisconsin.2002.DOI: 13.2.6140774m670017P.5

[14] Mire Sharfi, Z., Investigation of the Effect of Disclosure of Information on the Incidence of Price Bubbles in the Capital Market, National Conference on Transparency of Accounting Information in Solving Current Financial Crises, Islamic Azad University, Khomein Branch.2010. KHOMEINFINANCE01_017

[15] Nneji, O., Liquidity shocks and stock bubbles, Journal of International Financial Markets, Institutions and Money, DOI:10.1016/j.intfin.2014.12.010

[16] Shariati Panahi, S. M., Corporate Performance Evaluation and Managers' Managing Mechanisms: The Viewpoint of Representative Theory, Accounting Studies,2011,1(1),P. 85-108. article_3975.html

[17] Vlastakis, N., Markellos, R., Information demand and stock market volatility, Journal of Banking & Finance, 2012,3(6), P.1808– 21. DOI:10.1016/j.jbankfin.2012.02.007