الگو‌سازی حباب‌های سوداگرانه بازار سهام تهران با در نظر گرفتن پویایی‌های روانی و اجتماعی

نوع مقاله: مقاله پژوهشی

نویسندگان

گروه اقتصاد، دانشکده اقتصاد، دانشگاه علامه طباطبائی

چکیده

بازار سهام یکی از مهم‌ترین بازارهای مالی هر اقتصادی به‌حساب می‌آید و لذا فهم هرچه بیشتر آن برای سیاست‌گذاری‌ها لازم است. بسیاری از مطالعاتی که در مورد حباب بازار سهام تهران انجام‌گرفته‌اند با استفاده از روش‌های اقتصادِ متعارف بوده‌اند، و لذا هیچ‌کدام اقدام به الگوسازی نظری نکرده‌اند. این پژوهش از رهیافتِ اقتصاد محاسباتی مبتنی بر عامل برای الگو‌سازی استفاده کرده است. نتایج نشان می‌دهند که وجود نااطمینانی در مورد تغییرات آتی قیمت از یک‌سو و انتظارات ناهمگن و پویایی‌های روانی و اجتماعی معامله‌گران از سوی دیگر، می‌تواند شکل‌گیری حباب سوداگرانه در بازار سهام تهران را توضیح بدهد. الگوی طراحی شده در این پژوهش با توجه به‌سادگی و پایه‌ای بودن، می‌تواند به‌عنوان زیربنایی محکم برای کارهای پیچیده‌تر در الگو‌سازی مبتنی بر عاملِ بازارهای مختلف استفاده شود. در این پژوهش الگو‌سازی تجربی برای شاخص کل بازار سهام در دوره 1392-1395 انجام‌گرفته است. ازجمله نتایج تجربی، افزایش سرعت یادگیری معامله‌گران از شهریور1392 تا بهار 1395 است.

کلیدواژه‌ها


عنوان مقاله [English]

Modeling Speculative Bubbles in Tehran Stock Exchange Considering Social and Psychological Dynamics

نویسندگان [English]

  • Teimour Mohammadi
  • Davood Danesh Jafari
  • Mostafa Nasr Esfahani
Department of Economics, Faculty of Economics, Allameh Tabatabaei University
چکیده [English]

Stock market is one of the important markets in any economy and a good understanding of it is necessary for policy making both in individual and governmental levels. One of the phenomena seen in asset markets is bubble. Several works have been done about bubbles in Tehran Stock Exchange (TSE), but no one has developed a new theoretical model. Almost all of the atudies have used the mainstream approach, conventional econometric methods or an accounting approach. To consider the social and psychological dynamics, we applied Agent-based Computational Economics (ACE). The model is validated with the time series of overall index of TSE and the results are satisfactory. We showed that the presence of uncertainty about future fundamentals on one hand, and heterogeneous expectation and social and psychological dynamics , on the other hand can explain how a bubble in TSE is formed. The model developed here is simple and basic, and therefore can be a good basis for more full-fledged models of different markets. The results also show that the speed of learning has increased through time. 

کلیدواژه‌ها [English]

  • Agent-based Computational Economics (ACE)
  • Bubbles
  • Heterogeneous Expectations
  • Social and Psychological Dynamics
  • Tehran Stock Exchange (TSE)
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