Document Type : Original Article

Authors

• Maryam Poursalehi ¹
• Mehrzad Ebrahimi ²
• Hashem Zare ²
• Jalil Khodaparast Shirazi ³

¹ PhD student, Department of Economics, Faculty of Economics and Management, Shiraz Branch, Islamic Azad University, Shiraz, Iran.

² Associate Professor of Economics, Department of Economics, Faculty of Economics and Management, Shiraz Branch, Islamic Azad University, Shiraz, Iran.

³ Assistant Professor of Economics, Department of Economics, Faculty of Economics and Management, Shiraz Branch, Islamic Azad University, Shiraz, Iran.

Abstract

The motivation of the present study is to design an early warning model with the aim of investigating the effect of OPEC summit announcements on the formation of a bubble in the Iranian stock market. In this regard, in order to identify bubbles in the stock market during the period April 2012 and February 2023, the Generalized Supremum Augmented Dickey-Fuller test was used. After identifying the bubble periods of the Iranian stock market, a predictive model of the bubble periods in this market was designed using the probit regression model. The results showed that the designed early warning model has 94% accuracy in predicting the bubble periods of the Iranian stock market. Also, OPEC summit announcements to reduce (maintain) production levels are associated with reducing (increasing) the possibility of a price bubble. OPEC's announcement to maintain the production level, by creating optimistic expectations, determines the future expected value of stocks more than what the fundamental factors of the economy reflect, and increases the possibility of the formation of a price bubble. According to the results of the test, the Iranian stock market is significantly influenced by the announcements of the OPEC summit.

Keywords

• Stock market bubble
• Generalized Supremum Augmented Dickey-Fuller unit root test
• OPEC summit announcements
• probit regression

Main Subjects

• Financial Economics