Rational speculative bubbles in the Asian stock markets: Tests on deterministic explosive bubbles and stochastic explosive root bubbles

Bubbles In Tehran Stock Exchange

Speculative bubbles in agricultural commodity markets

Numerous factors have been proposed in the literature as explaining the recent commodity price movements. In this paper we focus on one of the most widely discussed factors, the impact of speculative bubbles. We investigate whether commodity prices during the spike of 2007–2008 might have deviated from their intrinsic values based on market fundamentals. To do this, we use a bootstrap methodolo...

Overconfidence and Speculative Bubbles∗

Motivated by the behavior of asset prices, trading volume and price volatility during historical episodes of asset price bubbles, we present a continuous time equilibrium model where overconfidence generates disagreements among agents regarding asset fundamentals. With short-sale constraints, an asset owner has an option to sell the asset to other overconfident agents when they have more optimi...

Evaluation of Multiple Bubbles in the Stock Market of Tehran

عدم تشخیص حباب‌های قیمت دارایی و نوع آن (یگانه و چندگانه) موجب اثرات مخربی بر اقتصاد می‌شود. ابزارهای اقتصادی جدید، نه تنها تحلیل رفتار انفجاری ملایم حباب را ممکن گردانیده؛ بلکه تعیین تاریخ شروع و خاتمه آنها را نیز مهیا کرده است. هدف مطالعه حاضر کشف حباب‌های قیمت بورس اوراق بهادار تهران و شرکت فرابورس ایران و تعیین تاریخ‌های شروع، انفجار و محو کامل حباب در دوره 01/1389 تا 01/1395 است. در این ر...

Speculative Bubbles and Crashes in Stock Markets: An Interacting-Agent Model of Speculative Activity

In this paper we present an interacting-agent model of speculative activity explaining bubbles and crashes in stock markets. We describe stock markets through an infinite-range Ising model to formulate the tendency of traders getting influenced by the investment attitude of other traders. Bubbles and crashes are understood and described qualitatively and quantitatively in terms of the classical...