Investigation of Volatility of Stock Returns in the Tehran Stock Exchange Using Chaotic Systems

اقتصاد پولی مالی

Article 1, Volume 18, Issue 1, January 2012   

Document Type: پژوهشی

DOI: 10.22067/pm.v18i1.27581

Authors

Mansour Zarra Nezhad^* ; Yaser Taimori Asl

Abstract

Study of the changes in the stock price in Tehran stock exchange is of great
importance. This is because of its application in forecasting the stock price in the
stock exchange.
The aim of this article is to investigate the forces and mechanisms that cause the
dramatic changes in stock price and the formation of chaotic trend. To test whether
the chaotic trend in the Tehran stock exchange exists, the daily stock price of
Bakhtar Cable Company (as a sample) for the period of 05/25/2008-08/20/2008 has
been tested using the Brock, Dechert and Scheinkman (BDS) test.
The results showed that there exists chaotic behavior in the stock price time series,
and the stock price moves in trend. The findings of the research confirmed that
chaotic method can be applied to detect and forecast the stock price trend in Tehran
stock exchange.

Keywords

Chaotic theory; efficient market hypothesis; positive and negative feedback loops; stock price; BDS test