A Survey of Stock Price Bubbles in Tehran Stock Exchange on The Basis of Size & Type of Industries

Financial markets, especially capital markets are accounted as the most important instrument of equipment and financial resource allocation, but whenever wide- spread deviation and deranges occur in this market, allocation and equipment of financial resources faces serious difficulties in the country.
One of the destructive and annihilating factors of capital market is forming stock bursting bubble price, therefore, considering strategic, financial and economic importance of this market, is one of the important theoretical issues in economic literature and finance management of economical and statistical simulation in recognizing and evaluating the existence of bubble price in stock exchange.
Research methodology of this study is from descriptive analytical type. In  this  research  to  study  the  presence  of  bubble  price  in  Tehran  Stock Exchange,   during  the  financial  period   1991-2005,  74  active  companies which  have  been  a  member  of  Tehran  Stock  Exchange  continually  and persistently  during the above -mentioned  course were elected, and utilizing from cointegration econometric test method, the afore-said companies were tested.
Results of the tests showed that with a confidence level of 95%, about 52% of the above-said companies have had stock price bubble, and in confidence level of 90% about 45% of companies have stock price bubble. With regard to the above-mentioned results, the hypothesis of existence stock price bubble in Tehran Stock Exchange during the periods 1991-2005 in the studied companies are confirmed in the expecting statistical level.
Meanwhile, declining the investigation period to finance periods of 1991- 2004, quantity of stock price bubble companies have been increased in 95% and 90% confidence level. It means that in confidence level of 95%, 62% of selected companies were bubble ones, and in 90% confidence level, 52/7% of the companies have stock price bubble.
Analyzing statistical tests showed that no meaningful statistical relation, between stock price bubble and size of the company has existed in 95% confidence level and, as well, statistical tests reveals that no meaningful statistical relation has existed between stock price bubble and type of industry.