Ali Saeedi; Javad Shabzendedar
Volume 8, Issue 21 , June 2011, , Pages 143-165
Abstract
Price bubble is a phenomenon in which the assets prices go up considerably. The research shows that bubbles have Non-Linea characteristic, and common methods of stock valuation such a Discounted cash flow models and relative models, usually are unable to evaluate stock values. Common and Non-Systemic ...
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Price bubble is a phenomenon in which the assets prices go up considerably. The research shows that bubbles have Non-Linea characteristic, and common methods of stock valuation such a Discounted cash flow models and relative models, usually are unable to evaluate stock values. Common and Non-Systemic approach ha linear and cascading perspective for considering phenomenon bi systemic approach has Non-Linear approach. In this research, stock prices bubble in auto industry is considered by systemic thinking and is modeled by system dynamics approach. Two influencing factors are tested in the paper: belief changes speed and block purchasing. Bot factors make the stock more volatile; so, the higher the speed and the larger the amount, the greater the stock volatility. Also, bloc transaction causes sentimental atmosphere among investors and pushes retail investors.
Ali Saeedi; Ommolbanin Dadar
Volume 6, Issue 16 , June 2007, , Pages 75-97
Abstract
One of the most important function of financial markets and especially stock exchanges is facilitating, accelerating and cost reduction in conversion of financial asset into cash and vice versa.
Turnover velocity is the ability to buy and sell considerable amount of securities, quickly and with very ...
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One of the most important function of financial markets and especially stock exchanges is facilitating, accelerating and cost reduction in conversion of financial asset into cash and vice versa.
Turnover velocity is the ability to buy and sell considerable amount of securities, quickly and with very little price effect. This feature has been defined for the market as a whole (Such as WFE calculate for its members monthly and yearly) and for individual securities as well.
In this research liquidity index is defined as the ratio of the number of shares transacted and total number of issued shares. The relationship between stock liquidity index at time t and its 6 lags is tested among 242 Tehran Stock Exchange (TSE) listed companies during four years (2005 to 2008) in panel data. The stationarity of data is also approved by unit root test. The significant relation between stock liquidity at time t and 6 previous lags is approved, besides, significant relation between Amihud liquidity index and the ratio which be applied in this research is approved. But model's R Squared is not high enough to be a good model for forecasting.
