Analysis of Sovereign External Debt Variations by Cross Wavelet Transform

Namaki, Ali; Nazari, Mohsen; Gaeeini, Hossein

doi:10.30699/ijf.2020.121947

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2021

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“…In this market, the formation of price bubbles and the subsequent fall of prices is considered as one of the most critical disorders (Koohi, et al, 2020). This phenomenon has always been regarded as an important topic for scientific centers such as universities and activists of these markets as well as policymakers (Namaki, Nazari, & Gaeeini, 2020). The importance of this issue comes from its impacts on society.…”

Section: Introductionmentioning

confidence: 99%

Detection of Bubbles in Tehran Stock Exchange Using Log-Periodic Power-Low Singularity Model

Namaki

Haghgoo

2021

IJFIFSA

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One of the essential factors that lead to severe disruptions in financial markets is price bubbles and subsequent crashes. Numerous models for detecting bubbles have been developed, one of which (LPPLS) has lately attracted considerable interest. This study aims to utilize this model to detect price bubbles in Tehran Stock Exchange's index (TEDPIX). Confidence multi-scale indicators for this model are presented by fitting the LPPLS model to the data of the TSE index from 2009 through 2020. The bubble is detected when the number of fits that are in our filter conditions increases which means the growth of the indicator's value. By applying this method on TSE data two significant crashes in 2013 and 2020 are detected. The proposed technique can be useful for market participants to detect financial crashes and bubbles.

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Section: Introductionmentioning

confidence: 99%