Abstract:
Recent studies show that individual investors tend to speculate on stock markets
and hold shares with a lottery-like return. For this speculation of people have a
significant impact on stock returns, individual investors must trade the same
shares with the same time. The purpose of this study was to investigate the effect
of the speculative bubble on the stock returns of companies in Iran. Following the
design of the speculative bubble specification indexes, the transaction information
was collected from the stock market in the five-year period from 2011 to 2015 and
a sample of 106 companies was selected by systematic elimination method, which
totaled 530 year-company. In this research, linear regression and correlation analysis
were used to analyze the hypotheses of the research. To analyze the data and
test the hypotheses, Eviews software was used. What can be said in the summingup
and conclusion of the general test of research hypotheses is that there is a speculative
bubble in the Tehran Stock Exchange index. In addition, the speculative
bubble has an impact on stock returns, and this effect has been confirmed in conditions
of market boom and downswing. The results obtained in this study are
consistent with the documents referred to in the theoretical framework of the
research and financial literature.
Machine summary:
investigated the rational speculative bubble and showed that Tehran Stock Exchange and six industry returns from the selected industries follow the Markov regime's change process.
3 Proposed Methodology According to theoretical foundations and in order to achieve the research objectives, the following hypotheses are presented: Hypothesis 1: There is a speculative bubble in the Tehran Stock Exchange Index.
In order to study the first hypothesis, we use Brooks and Katsaris [3] position changing model (switching re- gime), to investigate the speculative bubble in Tehran Stock Exchange index.
The analysis carried out in this study includes the imple- mentation of three regression equations on the total stock index and the study of the speculative con- dition of the bubble on it, which is presented in model (5): (View the image of this page) In the above equations, the abnormal volume of transactions and the relative size of the bubble are both variables that with their increase, the risk of asset holdings for investors has increased, thus re- quiring higher returns.
Table 7: Results from the third hypothesis (View the image of this page) Based on the values presented in Table7, the probability of t statistics for constant coefficients and coefficients of speculative bubble variables in terms of boom, stock return in period t-1, and stock return in period t-2 on stock returns is less than 5%; hence The above relation is statistically signifi- cant; and the coefficient of speculative bubble variable in boom conditions is positive and significant on stock returns; the probability of t for management and corporate ownership variables is greater than 5% for stock returns.