Modeling the estimation of the price bubble probability in the capital market :Evidence from Tehran Stock Exchange

Abstract The Tehran Stock Exchange has always seen a lot of fluctuations. Price volatility is a part of the market's nature, and one of the main issues in the capital market is to explain these fluctuations using fundamental patterns. However, sometimes these fluctuations go out of their normal form and place themselves in bumpy bumps and sudden crash (crisis) and bring irreparable blows to the stock market. Therefore, in view of the importance of price bubbles, this study presents a model for estimating the likelihood of price bubble formation in the capital market and the main objective of the Tehran Stock Exchange. The statistical sample of this study is the 166 companies listed in the Tehran Stock Exchange between 2007 and 2017. In this study, using spss software and runs test, Skewness and Kurtosis test. we investigated the probability of price bubbles, and then, in order to provide a model for price bubble, the factors influencing price bubbles based on the proposed model have been investigated. The results indicate the probability of bubble occurrence in companies admitted to the Tehran Stock Exchange. Also, results shows that shareholders, P / E ratio and liquidity rate have a significant effect on price bubbles. However the size and transparency of the information did not show a significant effect on the price bubble.