List of Articles Gholamreza Zomorodian

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  1 - Volatility Spillover in the financial markets of Iran (Method of VAR-GARCH models)
  soqra razi kazemi gholamreza zomorodian Ebrahim Chirani
  20.1001.1.22519165.1400.12.46.11.7
  The transfer of financial crises between different markets in a economy indicates the existence of channels of contagion. Parallel markets are closely linked to other markets in any economy. The channels of shocks and financial crises to other markets can include inform More

  The transfer of financial crises between different markets in a economy indicates the existence of channels of contagion. Parallel markets are closely linked to other markets in any economy. The channels of shocks and financial crises to other markets can include information, macroeconomic variables, investment behaviors, etc. in this study, the existence of volatility overflow between coin market, oil, currency and stock markets was investigated using monthly data during 2009 to 2017. the results indicate the existence of the fluctuations, as well as structural failures due to the existence of this overflow. Granger causality tests also confirmed the existence of causal links between financial markets. Between coin and currency markets, exchange and oil are two - way causality and between the oil and gold markets, exchange and the stock are one-way causality. in this study, the Granger causality tests, structural failure tests, the correlation of variance and other necessary tests were used Manuscript profile
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  2 - Design of Credit Risk Assessment Model by Predicting Credit Rating Transfer Using Markov Chain Process
  Farid Heidarifar Farhad Hanifi gholamreza zomorodian
  In the present study, he presented a statistical sample related to the information of legal and credit customers of Tejarat Bank, accepted in the stock exchange during the years 1398 to 1399. Using factor analysis technique and Delphi method, the variables affecting cre More

  In the present study, he presented a statistical sample related to the information of legal and credit customers of Tejarat Bank, accepted in the stock exchange during the years 1398 to 1399. Using factor analysis technique and Delphi method, the variables affecting credit risk were selected and entered into the data envelopment analysis model, and the performance scores of law firms were obtained using them, and then ranked by the Fitch Institute model. Performing and using the results to predict the movement of customers in different groups using the Markov chain process. The results of data envelopment analysis indicate that 7 companies were identified as efficient in the financial approach and 12 companies in the combined approach. The results of the Markov chain show that the average probability of stopping at the current rank in 1400 in the financial condition is 46% and in the combined mode is 53%, the average probability of improving the situation of companies is 23% and the average probability of falling is 20%. Manuscript profile
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  3 - Designing a Model for Explaining the Effect of Macroeconomic Policies on Money and Capital Markets
  Souzan Hossienzadeh Gholamreza Zomorodian Ebrahim Chirani
  Macroeconomic policies are an important tool for governments to achieve financial commitments andtheir social and economic goals. Macroeconomic policies have different types and their implementationcan effects different markets in various ways which can cause change and More

  Macroeconomic policies are an important tool for governments to achieve financial commitments andtheir social and economic goals. Macroeconomic policies have different types and their implementationcan effects different markets in various ways which can cause change and turbulence in them. With thisapproach, in the present study by using the Bayesian Causal Map (BCM) and seemingly unrelatedregression equations (SURE) model, a model is designed to explain the effect of macroeconomic policieson money and capital markets. It should be noted that the time period of the present study was 1989 to2019. The results of the present study showed that money and capital markets are affected by variablesand policies applied in different markets in both direct and indirect ways. If the amount of savings in thesociety changes as a result of government policies or other economic and non-economic components,the facilities granted by the banking system will change as well. This directly affects the money market.Given that changes in the money market affect the capital market, the capital market is also affected bychanges made in the money market. At the same time, changes in the money market also affect othermacroeconomic variables such as................ Manuscript profile
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  4 - Identifing and ranking the affectinve factors on liquidity timing in Iranian mutual funds
  hamid sabzali gholamreza zomorodian farhad hanifi
  20.1001.1.22519165.1400.12.48.5.5
  Mutual funds are one of the types of financial intermediaries, including institutions that sell their investment unit to the public, raise funds and invest them in a variety of securities. However, managing mutual funds is fraught with complexities and difficulties that More

  Mutual funds are one of the types of financial intermediaries, including institutions that sell their investment unit to the public, raise funds and invest them in a variety of securities. However, managing mutual funds is fraught with complexities and difficulties that arise from achieving optimal returns and cash flow management as the most important management criteria. Market scheduling, meanwhile, is an important dimension for mutual funds. With this approach, in this study, an attempt has been made to identify and rank the factors affecting the timing of liquidity in Iranian mutual funds. The results of the study showed that the returns of parallel markets and stocks (weighing 0.206), bank interest rates (weighing 0.194) and political developments (weighing 0.193) are the most important external and macroeconomic factors that affect liquidity and liquidity timing in mutual funds. In addition, among the internal factors, the three variables of ability and management skills of the fund (weighing 0.206), net value and percentage of cash assets of the fund (weighing 0.1734) and the risks facing the fund (weighing 0.1726) are the most They have had an impact on liquidity and the timing of liquidity in mutual funds. Manuscript profile
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  5 - A Model for Examining Exchange Rate Shocks Affecting on Profitability in Export-Oriented Production Groups
  Hanieh Ghorbani Farhad Hanifi Teimour Mohammadi Gholamreza Zomorodian
  The exchange rate affects the economic activity, foreign trade and wealth of economic enterprises. The aim of this study is to explain a model to investigate the effect of exchange rate shocks on the profitability of export-oriented production groups. In this regard, th More

  The exchange rate affects the economic activity, foreign trade and wealth of economic enterprises. The aim of this study is to explain a model to investigate the effect of exchange rate shocks on the profitability of export-oriented production groups. In this regard, the data on exchange rate, tax, oil revenue, export and profitability were collected for 19 export-oriented production groups from 2008 to 2019. To achieve the research goal, the Panel Vector Autoregressive Model (PANEL VAR) using the generalized method of moments (GMM) was used to analyze the data. The results of the the Impulse Response Function show that the effect of exchange rate volatility, tax and oil revenue on the profitability variable is initially negative, but has a positive effect over time and is neutralized after several periods. But, the export impulse has positive effect on profitability. According to the results of variance decomposition, it can be said that the exchange rate fluctuations have more explanatory power for profitability fluctuations. Manuscript profile
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  6 - Smart operating system based on technical parameters optimized with firefly algorithm
  Fatemeh Asiaei Taheri Gholamreza zomorodian Mirfeiz Fallahshams
  The main goal of investors in the stock market is to get the highest return at the desired time, therefore introducing the most suitable method for conducting transactions is of special importance for investors. Successful trading in financial markets should be done clo More

  The main goal of investors in the stock market is to get the highest return at the desired time, therefore introducing the most suitable method for conducting transactions is of special importance for investors. Successful trading in financial markets should be done close to key reversal points. In recent years, various systems have been developed to identify these return points. Technical analysis tries to identify the time to enter and exit trades.In this article, we are trying to select the one with a higher success rate by using the technical rules according to the previous researches, and by using soft calculations, the decision parameters in the technical rules are improved using the firefly algorithm.The results of this model are compared with the results of using the standard parameters of the indicators and the results of the purchase and maintenance strategy. In order to validate the introduced trading system, we compared it with the results of the optimized intelligent system based on optics and genetic algorithm. The results of the research show that by optimizing the parameters of technical analysis indicators, the investment efficiency can be increased compared to the usual methods in the stock market and previous researches. Manuscript profile
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  7 - Designing the optimal asset-liability model using the multi-objective decision-making method with the approach of liquidity, credit, balance sheet, and capital adequacy risks.
  mostafa khosroyani Gholamreza zomorodian mirfiz fallahshams
  In this research, asset and liability management, which is one of the most important things done by banks, is examined. The methods and complexity of the process used to manage assets and liabilities depend on the size and complexity of the portfolio. Bank Mellat, as on More

  In this research, asset and liability management, which is one of the most important things done by banks, is examined. The methods and complexity of the process used to manage assets and liabilities depend on the size and complexity of the portfolio. Bank Mellat, as one of the most central banks in the country, in line with its organizational goals and missions, needs accurate economic planning and high-yield investments in order to maintain the value of depositors' reserves and provide the necessary resources to fulfill its long-term and short-term obligations. According to the stated content, the main problem of this research consists in the fact that due to the importance of asset and liability management with the approach of liquidity risks, credit, balance sheet, capital structure as a comprehensive approach that includes different types of important risks and It includes the important, it should be noted. In this research, we consider asset and debt management with more important factors in this matter, so that the model is more efficient than the previous models presented, which has been taken into account with the approach of goal programming. Manuscript profile
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  8 - The Study of the Price BubbleContagion between the Currency Market and the Stock Exchange
  Vahid mohammadi mirfeyz Fallahshams Gholamreza zomorodian
  In this paper the price bubble contagion in two currency market and the stocks market in a six year period (2015-2021) is investigated. For this purpose, the price bubble of both markets was examined and the dates of their formation and collapse were determined by using More

  In this paper the price bubble contagion in two currency market and the stocks market in a six year period (2015-2021) is investigated. For this purpose, the price bubble of both markets was examined and the dates of their formation and collapse were determined by using (RADF), (SADF),(GSADF) test. Then the contagion of the bubble in the financial market of Iran was investigated using a regression model. The findings of this research showed that there was a bubble in the foreign exchange market during five periods of 2016:10:31-2017:01:21, 2017:10:03-2018:12:16,2018:12:23-2019:07:14, 2020:02:22-2021:01:17 and 2021:01:23-2021:03:19.There were four bubble periods in the stock exchange for the total price index in periods 2016:02:06-2016:04:28,2017:09:04-2017:10:10,2017:10:17-2018:04:19 and 2018:06:10-2021:03:19. Also, the results indicate that the contagion of the price bubble from the currency market to the stock exchange market is statistically significant and the contagion of the bubble has occurred between the currency market and the stock exchange market . Manuscript profile
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  9 - "Analysis of the dynamic effect of oil, gold and stock market index on Iran's economy: a new approach with the SVAR-DCC-GARCH model"
  tara heidari chavari mirfeyz fallahshams hashem ninoomaram Frydoon Rahnamay Roodposhti Gholamreza zomorodian
  In the global economy, oil prices have been considered a key indicator of exchange rate fluctuations. This significance arises from the fact that international oil transactions are largely conducted in US dollars. Emphasizing this importance, the present article examine More

  In the global economy, oil prices have been considered a key indicator of exchange rate fluctuations. This significance arises from the fact that international oil transactions are largely conducted in US dollars. Emphasizing this importance, the present article examines the dynamic relationship between oil prices, gold, and the stock index in the Iranian economy during the period from 1370 to 1401 using the SVAR-DCC-GARCH model. The results indicate that an increase in the growth of the stock index may lead to an increase in the price of gold, while having no significant impact on the oil market. Furthermore, increases in the gold and oil markets do not notably affect the Iranian stock market, and interestingly, there is no distinct correlation between the oil and gold markets. These findings vary throughout temporal fluctuations. Ultimately, employing the SVAR-DCC-GARCH model, this article analyzes the dynamic relationship between oil prices, gold, and the stock index in the Iranian economy, revealing that this relationship changes under different conditions over time. This contributes to a better understanding of the effects of fluctuations in these indicators on the Iranian economy. Manuscript profile
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  10 - Enhancing momentum investment strategy: using leverage, over-leverage and under-leverage and asset growth rate
  davood shahbazi Ahmad Yaghoobnezhad Gholamreza Zomorodian Mahdi Madanchi Zaj Shadi Shahverdiani
  Investment decisions are examined based on financial concepts that are based on the efficient market hypothesis. Considering the confirmation of the complete inefficiency of Iran's capital market, there is an expectation of obtaining more returns. In this research, we s More

  Investment decisions are examined based on financial concepts that are based on the efficient market hypothesis. Considering the confirmation of the complete inefficiency of Iran's capital market, there is an expectation of obtaining more returns. In this research, we seek to introduce investment portfolios based on the momentum investment strategy (which has been confirmed in various studies) and its combination with other factors affecting the company's value and profitability. Based on this, 119 companies were investigated in the period of 1388 to 1400 in three short-term periods of three and six months and medium-term of one year. According to the findings, the average returns obtained from the formation of different combined portfolios are positive in all periods and the returns of the combined portfolios are higher than the single-criteria portfolios. The investment strategy based on the asset growth rate and momentum in the short-term periods of three and six months and the medium-term of one year has the highest average return, then the strategy based on over-leverage and under-leverage and momentum and finally the strategy based on leverage Manuscript profile
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  11 - مقایسه توان تبیین مدل های ناپارآمتریک و مدل های شبکه عصبی در سنجش میزان ارزش درمعرض خطر پرتفوی شرکت های سرمایه گذاری جهت تعیین پرتفوی بهینه در بازار سرمایه ایران
  غلامرضا زمردیان
  20.1001.1.22519165.1394.6.24.5.5
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  12 - Examining the Effective Factors on Commercial Bank Profitability of Iran Using Panel ARDL Method
  Iraj Shariatzadeh Mehdi Shabanzadeh Gholamreza Zomorodian
  20.1001.1.22519165.1395.7.29.8.5
  In any economic system the role of banks to collect deposits of the banking system (Procurement of resource) and its application in the financing of investment projects (allocation of resource) is very important. Nowadays, Expansion of global markets and increase compet More

  In any economic system the role of banks to collect deposits of the banking system (Procurement of resource) and its application in the financing of investment projects (allocation of resource) is very important. Nowadays, Expansion of global markets and increase competition in the markets for financial services is affected the profitability of the banking industry, significantly. Given that the profitability of banks is one of functions of banks and a more profitable bank has more power to deal with negative shocks to the market, Therefore, attention to the profitability index as one indicator of evaluating the performance of the banks and its role in decisions related to the mobilization of resources, financing and resource allocation is essential. in this study To achieve this goal, the affective factors on profitability of commercial banks has been modeled and studied during 2009-2013. The scope of this study contains 8 commercial banks listed on Tehran Stock Exchange including Eghtesade Novin, Parsian, Karafarin, Pasargad, Mellat, Tejarat, Saderat and Sina. The study also is used the Panel ARDL method to achieve the targets. The results of this study showed that, The ratio of shareholders' equity to assets, The ratio of credit to assets, bank size and inflation have a direct and positive effect on the profitability of commercial banks. So, increasing and improvement of this variables increase the profitability of commercial banks in the short term and long term. However, the effect of credit risk on commercial bank's profitability index is negative. So that increasing of this variable deacrease the profitability of commercial banks in the short term and long term. finally, The results of ECM model reveal that the speed of adjustment towards long-run equilibrium is low, So that if the shock enters the model the long time require for correct the short-run and long-run imbalance equilibrium and back model to first equilibrium. Manuscript profile
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  13 - Feasibility of Currency hedging for exporter and importer companies by Using the Iran Mercantile Exchange Coin futures contract
  ali rostami Gholamreza Zomordian Meysam Alimohammadi
  20.1001.1.22519165.1396.8.31.11.9
  One of the most important applications of futures, hedging is that this application is also evident in the futures coins and various stakeholders can use it. In this paper, using time series dollar in free market and price of futures contracts coin during the period 139 More

  One of the most important applications of futures, hedging is that this application is also evident in the futures coins and various stakeholders can use it. In this paper, using time series dollar in free market and price of futures contracts coin during the period 1390 to 1393 to assess the risk of cross hedging exchange rate using futures contracts coin. First, the correlation between the exchange rate and price time series econometric model for future Coin vector regression (VAR) found. After the confirmation of residual autocorrelation and heteroscedasticity conditional on the VAR, the model BEEK (which is a multivariate GARCH model), conditional variance Currency and coins was estimated future prices and then by minimum variance hedge ratio was calculated for different maturities and the profit or loss resulting from currency risk hedging gain or loss resulting from exchange rate fluctuations were real. The results show that there is a high correlation with the price of the coin exchange rate (US Dollar), possibility of covering cross-currency risk using futures contracts provide for gold coins. Also, due to long-term memory between exchange rate fluctuations and price estimation of future coins hedge ratio through BEEK-GARCH model, and using this model include more than 70 percent to compensate losses from currency risk. Manuscript profile
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  14 - Prediction of stock price bubble drop in Tehran Stock Exchange (conditional Volatility approach)
  shahrzad kashanitabar Fereydoon rahnamaroodposhti Mirfeiz Fallah Ebrahim Chirani Gholamreza zomorodian
  20.1001.1.22519165.1399.11.44.15.0
  Stock market as a part of the capital market plays a very important role in directing savings to the manufacturing sector in all countries. Today, in the economy of many developing countries, the situation of macroeconomic variables is not consistent with the ascension More

  Stock market as a part of the capital market plays a very important role in directing savings to the manufacturing sector in all countries. Today, in the economy of many developing countries, the situation of macroeconomic variables is not consistent with the ascension of stock indices, and in fact the relationship between the economy and the stock has been discontinued. Today, in the economy of many developing countries, the situation of macroeconomic variables is not consistent with the increase in stock indices, and in fact the relationship between the economy and the stock has been discontinued. In the present study, for the prediction of price bubbles, the daily data of 144 companies in the Tehran Stock Center during the period of 1389 (1396) has been analyzed by the generalized autoregressive conditional heteroscedasticity (GARCH). Based on the results of the data analysis, member firms in the stock center in the years under consideration have been priced bubbles that were higher in the first six months of the year. The factors that triggered price bubbles include political shocks, returns in parallel bubbles, such as oil, currency and gold. Manuscript profile