Relationship between Liquidity and Price Bubble in Tehran's Asset Market

Authors

  • J. Khodaparast Shırazı Islamic Azad University of Shiraz Department of Economics Shiraz, IRAN
  • M. Reza Ghasemı Islamic Azad University of Shiraz Department of Economics Shiraz, IRAN
  • A. Rahman Setaysh Islamic Azad University of Shiraz Department of Economics Shiraz, IRAN

Keywords:

Price bubble, Austrian school

Abstract

In this paper, according to Austrian school, the existence of bubbles in asset market of Tehran from 1998 to 2009 is attributed to the unexpected fluctuations of liquidity. To find out the process of bubble, the state space form and Kalman filter are used and bubble is brought out as unobserved variable of price series. In order to determine the long run relationship between liquidity and price bubble the VAR method proposed by Johanson and Jelisus is used. The result confirms that variation of liquidity has a significant effect on the creating of bubble in long run.

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Published

2021-06-13

How to Cite

Shırazı, J. K., Ghasemı, M. R., & Setaysh, A. R. (2021). Relationship between Liquidity and Price Bubble in Tehran’s Asset Market. Journal of Business Research - Turk, 4(4), 5–12. Retrieved from https://isarder.org/index.php/isarder/article/view/85

Issue

Vol. 4 No. 4 (2012)

Section

Articles

License

Creative Commons License

This work is licensed under a Creative Commons Attribution-NoDerivatives 4.0 International License.