Studying the Relation of Indices and Duration Dependence Test in Tehran Stock Exchange
Journal Title: International Research Journal of Applied and Basic Sciences - Year 2013, Vol 4, Issue 9
Abstract
The Iran stock market has been experienced several boom and bust cycles in recent years, which raises the question of whether equity prices in Iran stock exchange reflect their fundamental values. An asset price movement, unexplained by the fundamentals is called a price bubble. In this paper, to detect the rational speculative bubbles in the Iranian stock market, for the period 2007 – 2012, a relatively new technique; duration dependence test applying two hazard models: log logistic model and weibull model is used. This research is among the descriptive researches and its research methodology is ex post method and hypothesis of research has been tested using likelihood ration test. Results of non-parametric duration dependence test using both the log logistic and weibull hazard models indicate evidence of no negative duration dependence in runs of positive excess returns, consistent with the “absence of rational expectations bubbles” as predicted by McQueen and Thorley (1994). Therefore, it can be concluded that Tehran Stock Exchange has not experienced bubble in recent years.
Authors and Affiliations
Foroozan Kamari*| Department of Management, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran, foroozankamari@yahoo.com, Farhad Shahveisi| Department of Accounting, Faculty of Social Science, Razi University, Kermanshah, Iran, Mohammad Moradi| Department of Statistics, Razi University, Kermanshah, Iran
Keywords
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