حباب قيمت ها و بازار سرمايه در ايران

Price Bubbles and Capital Market in Iran

The rise and fall in stock prices and the existence of speculative bubbles have had a main role in creation of stock market crises in recent years. A speculative bubble is usually defined as the difference between the market value of a security and its fundamental value. Based on unit root and cointegration tests, we can not reject the hypothesis of bubbles. Evans (1991) highlighted the problem by demonstrating that standard unitroot and cointegration tests for asset prices and underlying fundamentals can erroneously lead to the acceptance of the no-bubble hypothesis when prices contain an explosive stochastic bubble which collapses dynamically. Because of that problem, we used the Monte Carlo model and the Residuals Augmented Least Squares approach to test the presence of Evansʹ (199 I) periodically collapsing bubbles in the asset markets. In this paper, we test the existence of asset price bubbles in Iran in the 1372-82 period, using TEPIX. The RALS test shows that stock prices deteriorate from long run path thus there is an evidence of bubbles in the Iranʹs capital market.