جستجوی مقالات مرتبط با کلیدواژه « ریشه واحد » در نشریات گروه « مالی »

One of the important factors affecting the participation of investors in the stock market is the existence of information about the trends and price volatility of this market. In the past years, the economic sanctions and the Covid-19 epidemic have affected the Iran stock market. The continuous decrease of the stock market index is one of the consequences of volatility persistence waves caused by these events. Some financial theories have shown that the decline in stock prices can be caused by the existence of a unit root in the volatility of the market's price returns. In this research, the hypothesis of the drop in stock prices due to the presence of a unit root in the volatility was investigated with the data of the Tehran Stock Exchange index between 2016.September.21 to 2022.March.19 and using the stochastic volatility model introduced by Su and Lee (1999). The findings of this paper indicate that the posterior estimate of the coefficient of ϕ in the Stochastic volatility model is equal to one, therefore, it is not possible to reject the inappropriate performance of the market and the hypothesis of the fall of the Tehran Stock Exchange index as a result of the volatility persistence.

Bubbles in asset markets result in diversion of savings allocations. For this reason, in macro level, the diversion of the savings disrupts investment efficiency and whole economy. Many studies in the field of behavioral finance have been undertaken to investigate this phenomenon. Recent research has shown that traditional models of unit root in the detection of explosive behaviors, especially at long ranges, are weak. In this paper, the generalized models, right-tail Dickey Fuller (RADF), and more powerful models of generalized Dickey Fuller (SUP ADF and GSADF) are used. These models, in addition to their stronger identification of explosive behaviors at long intervals, can also specify the time period of the bubbles. In this paper, the time period from 1980 to 2003 for the stock market and real state was tested. The results of this research, which is based on the advanced tests, show that the stock market and the reals state market experienced explosive bubbles behaviors in the period examined; it was 24 periods for the stock market and 12 periods for the housing market.