غلامحسین اسدی Articles List

List of Articles غلامحسین اسدی

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1 - Environmental Niche Capacity and Peer Effect in Funding Liquidity Risk of Banks
Tayebe Bakhtiarian Gholamhossein Asadi Hossein Abdo Tabrizi Teymor Mohammadi

Peer effects is a pervasive phenomenon in a business world and several theories have been proposed to explain that. Since this phenomenon can have different positive or negative consequences in different domains, therefore, in this paper using information and competitio More

Peer effects is a pervasive phenomenon in a business world and several theories have been proposed to explain that. Since this phenomenon can have different positive or negative consequences in different domains, therefore, in this paper using information and competition based theories and Organizational ecology theory and By defining an index called environmental niche capacity, the relationship between the index and peer influence has been investigated in banking industry of Iran in order to help to form macro prudential policy to control peer effects as a systemic risk factor in that industry. The research sample includes all active banks of Iran from 2002 to 2016 and the models used are linear regression model based on Manski's approach with unbalanced micro-panel data and two stage least squares method to estimate peer effects coefficient and linear regression model with time series data to evaluate relation between peer effects and environmental niche capacity index and also concentration and uncertainty index. The evidences shows that the correlation of niche index is significant both during boom and bust, but during recession the coefficient is increased by approximately 2/1 times, indicating the importance of liquidity management by central bank to control peer effects systemic factor and crisis formation in the banking system. Manuscript profile
Open Access Article
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2 - Macroeconomics variables and corporate events effect on systematic risk according to jump beta
Ali Askarinejad Amiri Mohammad E. FadaeiNejad GholamHossein Assadi

We suppose jump beta and continuous beta as two indexes of systematic risk, then studying macroeconomics variables and corporate events effects on them. The results shows that macroeconomics variables effect on continuous beta is greater than its effect on jump beta. Wh More

We suppose jump beta and continuous beta as two indexes of systematic risk, then studying macroeconomics variables and corporate events effects on them. The results shows that macroeconomics variables effect on continuous beta is greater than its effect on jump beta. While inflation rate has no sensible effect on both betas, growth rate increase causes increase in both and exchange rate increase causes decrease in both betas. The decrease is for times greater in jump beta. According to event study, two or three weeks before capital increase, considerable decrease in jump beta and a week before capital increase, sensible increase in continuous beta are seen. As observed about profit announcement event, news of positive adjustments reach sooner to market than negative adjustments. Positive adjustment cause a little increase in continuous beta, three or four weeks before event and negative adjustment cause considerable decrease in continuous beta around event, while profit announcement has no effect on jump beta.       Manuscript profile

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List of Articles غلامحسین اسدی