The Test of Multiple Price Bubbles in Tehran Stock Market: an Application of the Generalized Supremum Augmented Dickey–Fuller

Authors
Ahmad Jafari Samimi
Roozbeh Balounejad Nouri
University of Mazandaran
10.18869/acadpub.jemr.6.21.7
Abstract
Given the importance and role of capital markets in the economy, its characteristics have been regarded by researchers in this field. Hence, the main purpose of the present study is testing the existence of multiple price bubbles in Tehran stock market. For this purpose, the monthly data on the total price index and price-dividend ratio for periods 2000 – 2013 has been used. In this study generalized supremum Augmented Dickey – Fuller test, which has been recently introduced, is used due to critical review of conventional methods of testing the bubbles and also the possibility of a multiple bubble in time series. In addition to the testing of multiple Bubbles, with using this method there is the possibility of determining their period of creation and decay. The results showed that in the period under review, in the period 2003:3 - 2003:5 and 2004:12 - 2005:7 hypotheses price bubble in the stock market is confirmed.
Keywords
Multiple Price Bubble
Generalized Supremum Augmented Dickey – Fuller Test
Stock Market