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Bubbles in Tehran Stock Exchange

Author

Listed:
  • Mohammad Ali Mani

    (Assistant professor of economics, Shahid Beheshti University)

  • Davood Zahedi

    (PhD candidate, Department of Economics, University of Waterloo)

Abstract

This paper, first, represents theoretical aspects of rational bubbles. Second, it shows one of the tests introduced to detect rational bubbles- integration/ cointegration based test. Finally, on the empirical side, it explores existence of both explosive and periodically collapsing bubbles in Tehran Stock Exchange. The results reject the existence of explosive bubbles but fail to reject the existence of periodically collapsing ones.

Suggested Citation

  • Mohammad Ali Mani & Davood Zahedi, 2008. "Bubbles in Tehran Stock Exchange," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 13(2), pages 143-155, fall.
    • Handle: RePEc:eut:journl:v:13:y:2008:i:2:p:143
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    References listed on IDEAS

    as
    1. Olivier J. Blanchard & Mark W. Watson, 1982. "Bubbles, Rational Expectations and Financial Markets," NBER Working Papers 0945, National Bureau of Economic Research, Inc.
    2. Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-930, September.
    3. Taylor, Mark P. & Peel, David A., 1998. "Periodically collapsing stock price bubbles: a robust test," Economics Letters, Elsevier, vol. 61(2), pages 221-228, November.
    Full references (including those not matched with items on IDEAS)

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    Keywords

    Rational Bubbles; Tehran Stock Exchange;

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