testing non-smooth changes in tehran stock exchange using catastrophe theory
نویسندگان
چکیده
in this paper using catastrophe theory, we investigate non-smooth changes in tehran stock exchange. stock market crashes bring not only panic among investors, but also in deeper market lead to recession and decrease in consumer's confidence. as catastrophe theory is strong tool in explaining nonlinear phenomena, by applying stochastic cusp catastrophe model we examine sudden change in tehran stock exchange index. our results demonstrate that cusp model is better than alternative model. in fact, by applying annually liquidity growth and volume as control variable, cusp catastrophe model describes sudden decline in tehran stock exchange index much more preferable than nonlinear logistic model in 2004 and 2008. our result is robust after de-trending the index. jel classification: g12; g14; c01; c53
منابع مشابه
Explaining Accrual Anomaly Using Ohlson Method in Tehran Stock Exchange
One of the anomalies of the capital market is accrual anomaly. This anomaly refers to the negative relationship between returns and accruals. In the case of accrual anomaly, two behavioral and rational expectations have been raised. The main purpose of this study is to explain accrual anomaly using a new approach to distinguish an anomaly interpretation of risk interpretation. For this purpos...
متن کاملSalience Theory and Pricing Stock of Corporates in Tehran Stock Exchange
How the investors react to the received information plays a crucial role in determining the return of stock exchange market. Supply and demand based upon incorrect decisions lead to the price deviation of inherent values. This paper aims to study the impact of salience phenomenon on disproportionate pricing and investor overreaction in the corporates in Tehran stock exchange. Research methodolo...
متن کاملPredicting Financial Distress in Tehran Stock Exchange
Companies incur significant costs from the financial distress. Predicting financial distress will have an important role in preventing bankruptcy. The aim of the present study is to predict the financial distress costs using the Leland and Toft models, during 1996 and 1998. This study examines data relating to 49 companies listed in the Tehran stock exchange collected over ten years from 2005 t...
متن کاملInvestigating Chaos in Tehran Stock Exchange Index
Modeling and analysis of future prices has been hot topic for economic analysts in recent years. Traditionally, the complex movements in the prices are usually taken as random or stochastic process. However, they may be produced by a deterministic nonlinear process. Accuracy and efficiency of economic models in the short period forecasting is strategic and crucial for business world. Nonlinear ...
متن کاملEvaluating quantitative stock selection strategies in Tehran Stock Exchange
There are different strategies for selecting stocks, and different investors use different strategies according to their risk tolerance or their expected rate of return. In this study, the profitability of a broad range of stock se-lection strategies in Tehran Stock Exchange over the period 1370-1383, has been examined, and it has been investigated whether the successful strategies in other cou...
متن کاملمنابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
تحقیقات اقتصادیجلد ۴۷، شماره ۲، صفحات ۱۱۹-۱۳۶
کلمات کلیدی
میزبانی شده توسط پلتفرم ابری doprax.com
copyright © 2015-2023