List of Articles سید جلال صادقی شریف

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  1 - Examine the relationship between financial markets and Housing market
  Shahram Vahedi farhad hanifi mirfeiz fallah seyyedjalal sadeghisharif
  20.1001.1.22519165.1398.10.41.6.8
  The analysis of the turbulence among markets has been widely applied and in details the emphasis on theorists and researchers in different fields. The reciprocal relationship between financial markets and the macroeconomic markets is based on the idea, which has negativ More

  The analysis of the turbulence among markets has been widely applied and in details the emphasis on theorists and researchers in different fields. The reciprocal relationship between financial markets and the macroeconomic markets is based on the idea, which has negative shocks to the economy of the housing sector. The behavior of the housing market is also important because of the impact of housing prices on bank loans and other financial institutions. In the housing sector, a monetary and monetary policy is expected to increase demand for housing by increasing the volume of money in the asset portfolio. Of course, this will depend on a variety of issues. Therefore, the need for further reflection seems necessary in this part. In this study, using the time series analysis of vector regression (VAR), the relationship between financial and financial markets has been investigated. The results of the study show that financial markets, especially foreign exchange markets and gold markets have a significant relationship with housing. Manuscript profile
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  2 - Optimization and active management of Portfolio Using Aunt Colony Algorithm Considering Uncertainty and Robust Programming; Case: Tehran Stock Exchange
  mohammad hosein ranjbari vahid seyed jalal sadeghi sharif reza eivazlu mohsen mehrara
  20.1001.1.22519165.1399.11.43.14.7
  AbstractBased on Markowitz theory of portfolio optimization, capital market is not predictable by any methods and the risk can only be diversified through portfolio formation and optimization. Recent works made huge developments in the basic model from modeling and risk More

  AbstractBased on Markowitz theory of portfolio optimization, capital market is not predictable by any methods and the risk can only be diversified through portfolio formation and optimization. Recent works made huge developments in the basic model from modeling and risk measures perspectives. Spectral risk measures such as expected shortfall and value at risk are being used frequently as risk measures. In addition, researchers tend to consider uncertainty in risk and return evaluation via fuzzy, stochastic and robust modeling. However, a matter that has been neglected in many researches is portfolio management under uncertainty conditions. This paper propose a method for robust modeling of portfolio optimization and management using expected shortfall as risk measure and Bertsimas modeling as robust programming. The proposed model solved with artificial bee colony algorithm and results show a better performance of proposed model compared to classic methods in both the optimal portfolio formation and its management phase. Manuscript profile
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  3 - Investigating and analyzing the spillover effects of stock market in interaction with currency, gold-coin, crude oil and housing markets: VARMA-BEKK-AGARCH Approach
  mohammadbagher mohammadinejad pashaki seyed jalal sadeghi sharid Mohammad Eqbalnia
  One of the most important issues in financial knowledge which is related to portfolio selection, efficiency market and asset allocation is spillover effect between markets and this effect includes return, volatility and shock effect. These days every shock or volatility More

  One of the most important issues in financial knowledge which is related to portfolio selection, efficiency market and asset allocation is spillover effect between markets and this effect includes return, volatility and shock effect. These days every shock or volatility in one market effect on other markets. Correct identification of spillover effect is very important. This paper aims to measure and analysis spillover effect between stock, currency, gold-coin, oil and housing markets. For these purposes we collect daily data of stock, currency, gold-coin, oil and housing for the time period of 2009 to 2020.we used VARMA-BEKK-AGARCH model for estimation. Results show return spillover from currency to stock and from stock to housing and shock spillover from currency, gold-coin and oil to stock and also volatility spillover from currency and gold-coin to stock and from stock to housing. Besides result show leverage effect of shocks from stock to housing market.so we suggest in order to minimize investment risk we had better to evaluate the spillover effects in selecting markets(assets)for our portfolio. Manuscript profile
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  4 - Study in order to measure nexus and spillover effects from world commodities to Tehran overall stock index: A VAR-BEKK-GARCH Approach
  mohammadbagher mohammadinejad pashaki seyyed jalal sadeghi sharif Mehdi Zolfaghari Mohammad Eqbalnia
  In recent years increase in the speed of information transfer and market connectedness caused markets to convergence and affect each other. Today every shock or volatility from one market affect the other markets. This paper investigates nexus and spillover effect betwe More

  In recent years increase in the speed of information transfer and market connectedness caused markets to convergence and affect each other. Today every shock or volatility from one market affect the other markets. This paper investigates nexus and spillover effect between commodity and Tehran stock index. Time periods of this paper is 12 years starting from the first of 1388 to the last of 1399. We used VAR-BEKK-GARCH Model to measure correlation and spillover effect from two groups of commodities: the first group includes precious metals (gold, silver, platinum and palladium) and second group includes base metals (copper, aluminum, zinc, tin and nickel) toward Tehran overall stock index. Results for the first group (precious metals) show spillover from gold to Tehran overall stock index and volatility spillover from palladium to Tehran overall index. for the second group (base metals) return spillover from copper, tin and zinc to overall index and volatility spillover from aluminum to overall index was revealed. shock spillover was not seen for any groups of precious metals and base metals to overall index. Manuscript profile
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  5 - The Development and Assessment of a four factor model in prospering & declining markets, Evidence From the Tehran stock Exchange
  Hashem Mokari seyyedAlireza Mirarab baygi seyyedjalal sadeghisharif
  20.1001.1.22519165.1398.10.40.11.1
  The Development and Assessment of a four factor model inprospering & declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four factor model inprospering declining markets, Evidence From the Tehran stock ExchangeThe Developmen More

  The Development and Assessment of a four factor model inprospering & declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four factor model inprospering declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four factor model inprospering & declining markets, Evidence From the Tehran stock ExchangeThe velopment and Assessment of a four factor model inprospering & declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four factor model inprospering & declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four factormodel inprospering & declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four factor model inprospering & declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four factor model in prospering & declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four fator model in prospering & declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four factor model in prospering & declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four factor model inprospering & declining markets, Evidence From the Tehran stock Exchange Manuscript profile