MODELING THE EFFECT OF PRIVATIZATION ON BEHAVIOR OF HURST EXPONENT USING STOCHASTIC CATASTROPHE THEORY

Meysam Bolgorian () and Reza Raei ()
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Meysam Bolgorian: Faculty of Management, Department of Financial Management, University of Tehran, Tehran 14155, Iran
Reza Raei: Faculty of Management, Department of Financial Management, University of Tehran, Tehran 14155, Iran

International Journal of Modern Physics C (IJMPC), 2010, vol. 21, issue 05, 583-592

Abstract: In this paper using the global Hurst exponent, the impact of privatization of public companies in Iran on the degree of efficiency in Tehran Stock Exchange is assessed. The results show that selling public companies' share in Tehran Stock Exchange (TSE) leads to a structural break in degree of market development. To model this phenomenon a catastrophe approach is used and it is demonstrated that this structural break can be better explained by a cusp catastrophe model.

Keywords: Market efficiency; privatization; time-varying Hurst exponent; stochastic catastrophe theory; 89.65.Gh; 89.75.-k (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1142/S0129183110015336

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