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Open Access Article
1 - Predicting the Overall Index of Tehran Stock Exchange UsingSingular spectrum analysis Based on Genetic Algorithm and Overlap Singular spectrum analysis
zahra حسن دوست hamidreza vakilifard فریدون رهنمای رودپشتیIssue 61 , Vol. 17 , Spring 2024The present study analyzes the prediction of the total index of the Tehran Stock Exchange with the singular spectral analysis method based on the genetic algorithm and overlapping singular spectral analysis. It is practical in terms of purpose and descriptive-analytical MoreThe present study analyzes the prediction of the total index of the Tehran Stock Exchange with the singular spectral analysis method based on the genetic algorithm and overlapping singular spectral analysis. It is practical in terms of purpose and descriptive-analytical in terms of method. Its statistical population is the daily price of the total index of the Tehran Stock Exchange in the ten-year return (2009 to 2018) and the research sample is 2411 data from the logarithmic return of the target index.First, the genetic algorithm was implemented in the SSA method on the index. Then, using the Ov-SSA method in order to improve the reconstruction and resolution of the components, the initial and large time series were divided into small and common consecutive parts and the standard SSA analysis method was used for each part.The results of the research showed that the Ov-SSA analysis method has a higher performance than the GA-SSA analysis method with a lower mean absolute value error. Manuscript profile -
Open Access Article
2 - The test of the development model of organizational resilience in the banking industry using factorial analysis (Case study of Kmelli Bank of Iran)
Shahriyar Baghernezhad Soleyman Iranzadeh Majid Bagerzadeh KhajehIssue 61 , Vol. 17 , Spring 2024Target:. Organizations in any sector are faced with complex operational environments with dynamic risks. These complex environments force organizations to consider how they can manage operational risk and the resilience of critical business processes and services. Consi MoreTarget:. Organizations in any sector are faced with complex operational environments with dynamic risks. These complex environments force organizations to consider how they can manage operational risk and the resilience of critical business processes and services. Considering the important role of the banking industry in the stability and promotion of the economic goals and current conditions of the country, making this industry resilient against changes, developments and environmental threats is of particular importance. Design/Methodology/Approach: The strategy of this research is applied in terms of purpose and of the type of qualitative and quantitative research (mixed method). In the qualitative part, a paradigmatic model of resilience capacity development in the banking industry was designed through interviews with some elites and experts using the Foundation's data method. The qualitative statistical population of the research is the executive directors and academic staff members of the university. To select the sample, purposeful and snowball sampling was used, which was achieved by conducting 15 interviews based on the saturation rule. Data were analyzed and coded using Strauss and Corbin (1990) coding method and MAXQDA 2020 softwa Manuscript profile -
Open Access Article
3 - Designing a financial stability model in order to respond to Islamic banking returns to shocks in the value of the national currency
hadi radfar Mohammad Khazri fatemeh zandi bijan safaviIssue 61 , Vol. 17 , Spring 2024The present study deals with redesigning the design of the financial stability model in order to respond to the return of Islamic banking to the shock of the value of the national currency for the years 1400-1373. For this purpose, using the structural vector autoregres MoreThe present study deals with redesigning the design of the financial stability model in order to respond to the return of Islamic banking to the shock of the value of the national currency for the years 1400-1373. For this purpose, using the structural vector autoregression model (SVAR), which are known as impulse models; The response of Islamic banking returns to the shocks of national currency value, financial stability, inflation and inflation were investigated. According to the results, the response coefficient of the yield impulses of cooperative banking contracts to oil revenues, weakening of the value of the national currency and inflation is negative and equal to 0.01, 0.25 and 0.06. Also, the response of financial development momentum coefficient to the yield of cooperative banking contracts is positive and equal to 0.32. The increase in oil and foreign exchange revenues of the central bank causes an increase in the monetary base of the country, and the volume of liquidity also increases, and therefore inflation will also increase. The expectation of inflation in the future period and uncertainty about the inflation rate are also effective in fueling the intensity of inflation, and as uncertainty increases, the amount of investment in the production sector decreases and the production situation and the yield of contracts also worsen. On the other hand, the artificial pricing of the exchange rate in the years before thein order to reduce the pressure of the foreign exchange market, it is suggested that the annual off Manuscript profile -
Open Access Article
4 - Evaluation of asset allocation strategies based on periods of recession and prosperity
afsoon afsary gholamreza askarzadehIssue 61 , Vol. 17 , Spring 2024The goal of the asset allocation strategy is to select a portfolio from the set of available assets that, in addition to minimizing the portfolio risk, also meets the minimum level of portfolio return for investment.Dynamic allocation of assets and identification of reg MoreThe goal of the asset allocation strategy is to select a portfolio from the set of available assets that, in addition to minimizing the portfolio risk, also meets the minimum level of portfolio return for investment.Dynamic allocation of assets and identification of regime change as soon as possible can continue the return of the investment portfolio with acceptable credit and taking advantage of the new trend. In this research, the performance of equal weight strategy, equal risk share strategy, and minimum variance strategy was evaluated in recession and boom periods according to Sharpe and Trainor criteria. Finally, with the help of ELECTRE multi-criteria decision-making method, asset allocation strategies were ranked during recession and prosperity. To do this important, weekly data of 25 indexes of different industries of Tehran Stock Exchange was collected from the website of Tehran Stock Exchange Technology Management Company and the website of Stock Exchange. The results showed that the equal weight asset allocation strategy has a better performance and a higher rank according to the Sharpe and Trainor criteria during recession and prosperity. Manuscript profile -
Open Access Article
5 - Analyzing the systemic risk of banking industry by using EMD and GRA based on the dynamic complex network approach.
ali NAMAKI Hadis KhaliliIssue 61 , Vol. 17 , Spring 2024Nowadays, the complexity and entanglement of financial markets are under the influence of various variables and problems which classical financial sciences are generally unable to solve. This has motivated new approaches in financial sciences like dynamic complex netwo MoreNowadays, the complexity and entanglement of financial markets are under the influence of various variables and problems which classical financial sciences are generally unable to solve. This has motivated new approaches in financial sciences like dynamic complex networks. The current research has used the dynamic complex network approach, empirical mode decomposition, and grey relational analysis to investigate the systemic risk of Iran's capital market banks from the beginning of 2015 to the march 2021. For this purpose, first, by building a sliding window, it has calculated the correlation coefficient of stock and then the index of the complex network. Using the results of empirical mode decomposition and grey relational analysis through Engel - Granger causality statistical test,, showed a close and long-term relationship between stock market fluctuations and systemic risk. Any momentum is of a higher speed and intensity of propagation due to the bank-oriented nature of the country's economy. Manuscript profile -
Open Access Article
6 - Analysis of Financial-Legal Dimensions of Competition Between Stock Exchanges Based on Comparative Study of Iran and the United States
saeed aghdam ebrahim dianatinasab Alireza KhaliliIssue 61 , Vol. 17 , Spring 2024According to Iranian market law, exchanges as a self-regulatory organization are obliged to set and enforce regulations in their field of activity, while they are classified as for-profit companies through ownership, thus their activities may lead to competition. Recogn MoreAccording to Iranian market law, exchanges as a self-regulatory organization are obliged to set and enforce regulations in their field of activity, while they are classified as for-profit companies through ownership, thus their activities may lead to competition. Recognition of competition requires investigation of the nature, function and duties of stock exchanges and capital market structure as a platform of stock exchange activity in terms of two legal rules means Conflict of public-commercial interests and the theory of separation of government’s authority (Act D’Autorite) and incumbency (Act D’Gestion) acts in the context of competition phenomenon. This is done by studying the laws and regulations, relevant documents and reports and analyzing the legal systems of the two countries based on an analytical-interpretive method and within the framework of comparative law. According to the research findings, competition between exchanges by regulators requires attention to several issues including recognition of commercial and public interests of each of the exchanges, determining the competent authority to recognize conflicts of interest and providing a solution for how to resolve conflicts. In terms of practice, according to the structure and conditions of the Iranian market, creating segmentation in the field of stock exchange activity is a right decision, and unlike the US capital market, there is no possibility of competition between the exchanges Manuscript profile -
Open Access Article
7 - Threshold effects of good governance in relation to public spending, financial inclusion and economic growth in selected MENA countries
Niloufar Khatami Hossein Sharifi-Renani Bahar HafeziIssue 61 , Vol. 17 , Spring 2024Many developing countries, due to the lack of good governance, government ownership of a large part of the financial system, inefficient banking services, lack of resources, the existence of a dual structure of the financial sector (formal and informal) and the dominanc MoreMany developing countries, due to the lack of good governance, government ownership of a large part of the financial system, inefficient banking services, lack of resources, the existence of a dual structure of the financial sector (formal and informal) and the dominance of the informal sector, financial institutions and institutions from They do not have optimal performance. Accordingly, the purpose of this article is to investigate the role of good governance in relation to public spending, financial inclusion and economic growth. For this purpose, the panel threshold approach (PSTR) was used based on the annual data of selected countries of the MENA region during the period of 2000-2021. The results of estimating the linear part of the model (first regime) show that financial inclusion has had positive effects on economic growth in the studied countries. It can also be seen that the increase in public spending can lead to an improvement in the level of economic growth in the studied countries. The estimation results of the nonlinear part of the model (second regime) show that the positive effect of financial inclusion variables and public expenditures on economic growth will occur in the presence of a good governance system. By comparing the coefficients of the model in two different regimes, it can be seen that when the level of good governance passes the threshold (1.03) (transition from the linear to the non-linear part), the reaction of the economic growth index to the changes of this variable will increase sharply. Manuscript profile -
Open Access Article
8 - Interpretive Evaluation of the Dimensions of Advantageous Equity Valuations in the Capital Market
Zahra Jafari Zahra Moradi Shohreh YazdaniIssue 61 , Vol. 17 , Spring 2024With the growth of analytical level in financial decisions, advantageous equity valuations is considered as one of the functions of analyzing the returns and risks of financial investment, which balances the behavioral effect of investment and analytical processes in th MoreWith the growth of analytical level in financial decisions, advantageous equity valuations is considered as one of the functions of analyzing the returns and risks of financial investment, which balances the behavioral effect of investment and analytical processes in the market and causes The gap between current values and corporate stock market values as a signal in financial decisions increases returns and controls risk in investors' decisions. The Purpose of this research is interpretive evaluation of the dimensions of Advantageous equity valuations in the capital market. The methodology of this research was mix method, so that in the qualitative section, first the dimensions of advantageous equity valuations were identified as the basis of analysis and then based on Delphi analysis, the theoretical consensus was determined to provide a theoretical framework for the research. Interpretive ranking analysis was also used in the quantitative section. In this analysis, the aim was to determine the most important analytical dimension of advantageous equity valuations in order to achieve the optimal point in investing in the capital market. The results of the study indicated the existence of 7 analytical criteria for advantageous equity valuations through Meta Synthesis analysis, which were confirmed during two Delphi rounds. The results in the quantitative part showed that the percentage of net asset value component of assets compared to other components of advantageous equity valuations has a more effective role in determining the optimal level of investment, which means that net asset value helps investors in stock valuation. To make the appropriate investment decision by evaluating the difference between the current value of assets and the current value of debts with the number of shares of companies and to evaluate the return on their investment to some extent at the present time. Manuscript profile -
Open Access Article
9 - Estimation of tail Risk measures in Tehran Stock Exchange Using Generalized Multi-Dimensional Autoregressive Ranking Approach (DMS-GAS)
Seyed Ali Mousavi Sarhadi Hosein Izadi mojghan safa Mohammadreza pour FakharanIssue 61 , Vol. 17 , Spring 2024The main purpose of this study is to investigate the tail risk measures (VaR and ES) in Tehran Stock Exchange using the dynamic multi-scale generalized autoregressive ranking approach (DMS- GAS-1F). In this regard, using the daily data of the total index of Tehran Stock MoreThe main purpose of this study is to investigate the tail risk measures (VaR and ES) in Tehran Stock Exchange using the dynamic multi-scale generalized autoregressive ranking approach (DMS- GAS-1F). In this regard, using the daily data of the total index of Tehran Stock Exchange in the period 2011/03/26 - 2022/03/19 and the maximal overlap discrete wavelet transform (MODWT)algorithm, the short-run, medium-run and Long-run components of time series returns are extracted. Then, using the approach of generalized autoregressive ranking models (GAS), the tail risk measures at different time horizons are dynamically estimated and finally using the inverted wavelet transform, the final results of estimating the risk criteria based on the proposed model (DMS- GAS-1F) is provided. The results of backtests show that the proposed model has performed better in out-of-sample forecasting of tail risk measures than competing and traditional models in this field, including GARCH models and rolling window models. In addition, the results show that the use of the Maximum Overlap Discrete Wavelet Transform (MODWT) algorithm to extract information components at different time horizons has increased the predictive efficiency of the model. Manuscript profile -
Open Access Article
10 - Asymmetric effects of financial conditions on the growth of GDP in Iran (Quantile regression analysis)
shirin aminian zohre tabatabaienasab Sayed yahya Abtahi Mohammad Ali dehghantaftiIssue 61 , Vol. 17 , Spring 2024In this study, the asymmetric effects of financial conditions on the growth of GDP in Iran are investigated. For this purpose, in the first stage, to extract the weights; It includes 12 variables for the construction of Iran's financial conditions index (IFCI) in order MoreIn this study, the asymmetric effects of financial conditions on the growth of GDP in Iran are investigated. For this purpose, in the first stage, to extract the weights; It includes 12 variables for the construction of Iran's financial conditions index (IFCI) in order to investigate the current issue in the form of the final quantile model for the period of 1991-2021. Based on the results; in the first and second (lower) quadrants; Financial condition indicators (IFCI) have a negative effect on GDP growth, and in the third and fourth quarters, the intensity of its impact on GDP growth increases. In other words, the financial condition indices (IFCI) of the first (Q1) and second (Q2) quarters have a strong negative temporal correlation with the GDP growth. The fluctuations of downside risks are more severe than those of upside risks, especially in bad financial conditions. According to the chart trend of forecasting the GDP growth of the last quarter, the financial shocks are affected by the first, second and third order shocks. As the financial conditions worsen, the average GDP has decreased, and finally the costs have increased despite a financial crisis. These fluctuations affect the amount of investment by affecting the indicators related to production. Due to the different infrastructures, a separate study of how production is influenced by the uncertainty of the government's monetary policies, government's financial policies, and government's currency policies can provide a correct view of how Iran's financial market changes due to these fluctuations in the macro decisions of the country. Manuscript profile -
Open Access Article
11 - Predicting Financial Contagion from Generating shock in Investment Institutions Activated in Capital Market due to Overlapping Portfolios Risk
Alireza Rayati Shavazi Abbas Rezaei PandariIssue 61 , Vol. 17 , Spring 2024The risk of maintaining shared assets or overlapping portfolios risk is one of channels that cause financial contagion. Since a shock in an investor institution can spread to other investment institutions and cause great damage to them and the entire stock market and ev MoreThe risk of maintaining shared assets or overlapping portfolios risk is one of channels that cause financial contagion. Since a shock in an investor institution can spread to other investment institutions and cause great damage to them and the entire stock market and even cause a crisis in the economy, therefore; The main goal of this research is to provide a model for predicting financial contagion caused by a shock in investor institutions in Tehran Stock Exchange based on overlapping portfolios risk. This research is an analytical survey that was conducted using the statistical method of discriminant analysis. In order to investigate the goal, based on the data related to the stock portfolio of the investing institutions in the Tehran Stock Exchange, a multi-variable discriminant model for predicting financial contagion based on shocks in financial institutions has been presented. The results indicate that "risky assets value of the investment institution", "Debt value of the investment institution" and "Degree of the investing institution portfolio" have been validated as independent variables. Supervision departments can use the models presented in this study to identify industrial groups that have a high risk of overlapping portfolios and maintain the stability of the financial system by taking appropriate decisions. Manuscript profile -
Open Access Article
12 - Designing algorithmic trading strategy based on deep reinforcement learningCase study: Tehran Stock Exchange
saeed kazemian hoseinabadi سید محمد رضا داودی mohammad mashhadizadeh parsa joziIssue 61 , Vol. 17 , Spring 2024Today, algorithmic trading is widely used in trading management. Algorithmic portfolio management is a new type of these system through which the portfolio manager helps to increase the quality of profit and reduce the risks of his portfolio using algorithmic tools. The MoreToday, algorithmic trading is widely used in trading management. Algorithmic portfolio management is a new type of these system through which the portfolio manager helps to increase the quality of profit and reduce the risks of his portfolio using algorithmic tools. The purpose of this research is to design an algorithmic trading system based on deep reinforcement learning with the help of a neural network. In this approach, the agent or trader searches the search space to find more rewards, which is the same as more returns. The trader is faced with technical signals including relative strength index, stochastic oscillator, convergence-divergence indicator, and minimum, maximum, closing, and opening prices. Deep reinforcement learning replaces the Q value or quality function table with a neural network. Finally, upon receiving the state word, the mentioned neural network suggests one of the three actions of selling, buying, and holding. This proposal is in the form of three possibilities with a total of one, and the proposal with the maximum probability is implemented. The result of the implementation of the deep reinforcement learning trading system on the total index of Tehran Stock Exchange in the period of 2011 to 2014 shows that the research system was significantly different from the other three systems in the mean and convergence-divergence index. Also, the Sharpe ratio of the research system compared to the other three models showed growth of at least 1.4 times. Manuscript profile -
Open Access Article
13 - Explaining the fuzzy genetic model of choosing a resilient supplier portfolio in the supply chain of the construction industry under recession conditions
amir mohtasham taghi torabi reza radfar mohammadereza motadel nazanin pilehvariIssue 61 , Vol. 17 , Spring 2024The purpose of this paper is to present a new technique to the portfolio selection using Genetic Algorithm and Fuzzy Synthetic Evaluation. Portfolio selection is a multi-objective/criteria decision-making problem in financial management. The proposed approach (Genetic A MoreThe purpose of this paper is to present a new technique to the portfolio selection using Genetic Algorithm and Fuzzy Synthetic Evaluation. Portfolio selection is a multi-objective/criteria decision-making problem in financial management. The proposed approach (Genetic Algorithm and Fuzzy Synthetic Evaluation) solves the problem in two stages. In the first stage، by using genetic algorithm and fuzzy synthetic evaluation، weight of criteria will be calculated. In second stage، using Fuzzy Synthetic Evaluation، Portfolios will be prioritized. A multi objective genetic algorithm is used to determine return and risk in the efficient frontier in Tehran stock market. In this research, we have used of firms’ performance between 1396-1400 in civil engineering, construction, investment and construction materials and tools manufacturers in order to determine portfolio selection. The main advantage of proposed approach is helping an investor to find a portfolio which have Best performance، portfolio selection doesn’t rely to expert knowledge. Manuscript profile
Most Viewed Articles
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Open Access Article
1 - Open banking in the age of digital transformation: theoretical approach and behavioral analysis
shadi oyarhossein ABBAS TOLOIE reza radfar alireza pourebrahimiIssue 59 , Vol. 16 , Winter 2024In the present era, under the title of digital transformation era, we are facing a tsunami of data and information, and in this era, we can admit that what will cause this great transformation in the country's banking industry, under the title of digital banking, is the MoreIn the present era, under the title of digital transformation era, we are facing a tsunami of data and information, and in this era, we can admit that what will cause this great transformation in the country's banking industry, under the title of digital banking, is the use of open banking using the volume There is a lot of data and information in providing quality and special services to customers. In this field, the main key to enter the banking field is to use fintechs. Financial institutions are moving quickly to develop their response to the advancement of open banking by fintechs and other non-traditional financial institutions. The methodological approach of the current research is scientific and based on the literature of the subject and theoretical foundations, the result of which is the identification and presentation of a scientific framework that enhances knowledge. In this article, after examining and understanding open banking in the era of digital transformation, the ecosystem of open banking, approaches and products of this field have been introduced, and then, with a scientific and research review of the background of open banking, the course of its developments in the world and Iran has been outlined. Finally, the current research shows that the main window to enter the era of digital transformation in the banking industry is the use of platforms and APIs with combined models that suit the needs of each customer. Manuscript profile -
Open Access Article
2 - Investigating the Impact of Business Cycles and Investment Strategies on Return Asymmet
elnaz reshedi fatemeh samadiIssue 57 , Vol. 16 , Summer 2023This study empirically had examined the effect of business cycles and investment strategies on return asymmetry. The statistical population of research consists all of companies listed in Tehran stock exchange market during 2014 to 2019 that a number of 118 companies we MoreThis study empirically had examined the effect of business cycles and investment strategies on return asymmetry. The statistical population of research consists all of companies listed in Tehran stock exchange market during 2014 to 2019 that a number of 118 companies were considered as statistical sample of research. The research method is causality type, the method of gathering information in literature is based on library research, and in the part of hypothesis, testing is based on documentation. Generally the statistical method had been used in this research is based on combinational data regression method and analysis of variance tests. Results showed that boom business periods cause positive skewness in stock returns and recesion periods cause negative skewness in stock returns. The results also showed that return skewness-based investment strategies did not have a significant effect on portfolio return skewness, but portfolio performance in terms of return and Sharpe ratio for return skewness based strategies was significantly better than other strategies. Succeeding in the stock market of companies, like any other market, requires choosing the right approach and maintaining order. Without these, investing will be just unplanned sales that make the investor's profit or loss more dependent on luck than on skills such as research perseverance, analytical power, decision-making ability, and patience to achieve goals. And things like that. Among the various approaches to investing in the stock market, diversified portfolio formation is recognized as a passive but relatively reliable method. Using this method reduces the amount of risk and keeps the return on investment at a level close to the total market return. Manuscript profile -
Open Access Article
3 - Efficiency analysis of the meta-heuristic algorithms in portfolio optimization
Sina Shirtavani Mehdi Homayonfar Keyhan Azadi amir daneshvarIssue 60 , Vol. 16 , Spring 2024The most important goal of every investor in the stock market is to increase returns and reduce investment risk. Therefore, the purpose of this research is to analyze the effectiveness of meta-heuristic algorithms in stock portfolio optimization. Considering that in thi MoreThe most important goal of every investor in the stock market is to increase returns and reduce investment risk. Therefore, the purpose of this research is to analyze the effectiveness of meta-heuristic algorithms in stock portfolio optimization. Considering that in this research, the past performance of Tehran Stock Exchange companies is examined in past studies from 1390-1399, therefore, in terms of the research design, this research was post-event using Delphi and meta-analysis techniques. The statistical community of this research Academic researchers in the field of finance and active in the Tehran Stock Exchange, and the sampling method in this research was targeted with a volume of 30 people. The data collection tool was a researcher-made questionnaire. The method of collecting information was structured interview of researchers and review of the results of various studies in the field of determining the optimal stock portfolio in Tehran Stock Exchange. In order to analyze the data, Spss software version 23 and Laserl version 5.7 were used. The results showed that among meta-heuristic algorithms of genetic algorithm, ant colony and bee colony are the most suitable tools with the aim of not stopping at local optimal points and not premature convergence. Finally, after evaluating the appropriate algorithms, a comparison of the average risk and returns of the stock portfolio in genetic algorithms, ant colony and bee colony was done in the study unit, they showed that in terms of the criteria of reducing the risk of genetic and bee algorithms and in terms of increasing the return of the optimal portfolio Stock bee algorithm has worked more efficiently. Manuscript profile -
Open Access Article
4 - Providing a feasibility model for the establishment and development of block chain technology in Tehran Stock Exchange market transactions
mohammadreza malekshoar heydar amiran mehrzad minoueiIssue 59 , Vol. 16 , Winter 2024The main goal of this research is to present a model for the feasibility of deploying blockchain technology for the Tehran Stock Exchange (in 1400). This research is a survey in terms of the practical purpose of the data collection method. The tool used in this research MoreThe main goal of this research is to present a model for the feasibility of deploying blockchain technology for the Tehran Stock Exchange (in 1400). This research is a survey in terms of the practical purpose of the data collection method. The tool used in this research includes a 14-question questionnaire made by the researcher. Its content validity has been confirmed by experts and its reliability was calculated through Cronbach's alpha of 0.915. The research community was Tehran Stock Exchange industry experts, 293 people were selected based on the available sample. The results obtained from the implementation of the confirmatory structural model show that in order to establish blockchain technology in the Tehran Stock Exchange, the highest path coefficient related to the organizational component (with a coefficient of 0.81) is in the second place of the technology component (with a path coefficient of 0.77) and in the third place is the environmental component (with a coefficient of path 0.61) is located. In addition, the highest path coefficient of the indicators is related to the knowledge of human resources of the organization with a path coefficient of 0.89 Manuscript profile -
Open Access Article
5 - Presenting a Conceptual Model of Financial Market Entrepreneurship Based on Emotional Intelligence
Negin Mobini Bahareh Banitalebi DehkordiIssue 59 , Vol. 16 , Winter 2024 Today, dynamic financial markets are a suitable platform for entrepreneurs to play a role using skills such as emotional intelligence, creativity, innovation and movement in the direction of development and evolution in the society. The purpose of this research is More Today, dynamic financial markets are a suitable platform for entrepreneurs to play a role using skills such as emotional intelligence, creativity, innovation and movement in the direction of development and evolution in the society. The purpose of this research is to explain the concepts of entrepreneurship and emotional intelligence from the perspective of knowledge, as well as to present the model of financial market entrepreneurship based on emotional intelligence from the perspective of experts, for the first time in Iran. In order to achieve this goal, using the snowball sampling technique, a qualitative interview conducted with 12 experts in the form of open questions. Then, based on the Descriptive-Claizeian phenomenological approach, the data analyzed in seven stages and main and secondary factors and components were extracted, analyzed and classified. After measuring the reliability and validity of the results, finally, the proposed model of entrepreneurship from the perspective of emotional intelligence in the financial market was presented. Based on the findings of this research, the proposed model includes 13 main factors and 203 influential components in the formation of the entrepreneurial model from the perspective of emotional intelligence in the financial market of Iran, and the main factors of the model include self-awareness, self-management, self-motivation, other awareness, Other managerial, collective skills, as well as social factor, personality factor, situational factor, cognitive factor, educational factor, demographic factor and environmental factor Manuscript profile -
Open Access Article
6 - Explain financial ability and financial literacy from a knowledge perspective and proposing a model of financial capability
maryam khosravi Bahareh Banitalebi DehkordiIssue 51 , Vol. 14 , Autumn 2022As financial markets become more complex in today's world, terms such as financial capability and financial knowledge (literacy) have recently become widely used in the literature and everyday conversation. However, there are still challenges in explaining the meanings MoreAs financial markets become more complex in today's world, terms such as financial capability and financial knowledge (literacy) have recently become widely used in the literature and everyday conversation. However, there are still challenges in explaining the meanings of each word, its dimensions and elements, and how to measure it, and many consider the two words to be the same. In addition, most of the research conducted so far has focused on the term financial literacy and identifying the factors affecting it, and the concept of financial capability (ability) has not been specifically addressed. Therefore, the purpose of this study, while explaining the conceptual differences between the two words, is to provide a structural model regarding the factors affecting the financial ability of individuals from the perspective of experts through a phenomenological approach. This research is based on a library and interpretive method of qualitative research that has examined the views of 12 Iranian financial experts. The results showed that the proposed model of factors affecting the financial ability of individuals including 3 main themes of ability, mental framework and communication, 4 categories of skills, attitudes and general and financial motivations as well as 39 factors are influential. Manuscript profile -
Open Access Article
7 - Dynamic and Extreme Dependency Analysis Based on copula-GARCH and Semi Parametric Approach
Maryam Moghaddas Bayat Shamsollah Shirinbakhsh MassolehIssue 29 , Vol. 9 , Summer 2016This article uses copula-GARCH model and semi parametric approach to detach non-Gaussian conditional distribution to marginal densities and copula functions. This statistical characteristic conceives analysis of dynamic and extreme dependency in nonlinear and asymmetric MoreThis article uses copula-GARCH model and semi parametric approach to detach non-Gaussian conditional distribution to marginal densities and copula functions. This statistical characteristic conceives analysis of dynamic and extreme dependency in nonlinear and asymmetric structure. This modern statistical tool uses to study structure of Iran financial market dependency to domestic and international market during period of 3 August 2013 to 16 August 2015.Daily observations consist of Free Float Index, official exchange rate(Rial/Dollar), international gold price(in terms of Dollar), and OPEC Basket Price(Barrel/Dollar). Results show that stock exchange dependency to the markets is completely dynamic and there is non-correlation only in some time point. Structure of tail distribution dependency implies that there is asymmetric extreme dependency in a way that stock exchange dependency to the markets is stronger during expansion rather than recession. This findings show that investors are optimistic and more sensitive to good news during the period under study Manuscript profile -
Open Access Article
8 - Survey on the Fisibility of Substitution Catastrophe Securitization and Current Reinsurance in Iranian Insurance Industry
Kambiz Peykarjou hanieh davodiIssue 3 , Vol. 2 , Autumn 1388After 2004, Alternative Risk Transfer (ART) has been more popular in the Litriture of Financial Economics & Financial Management. For using ART, many Researches Pursue Resolution, which Minimize Claims of this Catastrophe, through Risk Distribution Cycle, or if any MoreAfter 2004, Alternative Risk Transfer (ART) has been more popular in the Litriture of Financial Economics & Financial Management. For using ART, many Researches Pursue Resolution, which Minimize Claims of this Catastrophe, through Risk Distribution Cycle, or if any Profitability, find Subsititutions of ART; such as Insurance. However, we study about this, by Estimating Nnon-linear relation between Claims of Catastrophe and Insured Risk Capitals(IRC), Accounting Loss Distribution Function(LDF), given Historical Data(HD) & using Monte Carlo Simulation(MCS) and then, Stimating Value at Risk(VaR) of Conditional Loss Distribution Function of Catastroph(CLDFC), which has almost Optimal Profitability. Manuscript profile -
Open Access Article
9 - Risk modeling in the stock exchange with the approach of nonlinear Bayesian models-time-varying parameters
Fatemeh Ragh Mahdi Madanchi Zaj Hossein PanahianIssue 58 , Vol. 16 , Autumn 2023Traditional models do not have sufficient ability to predict the return on investor portfolio due to changes in the external environment (systematic risk) and the internal environment (non-systematic) and this is mainly due to the identification of the explanatory varia MoreTraditional models do not have sufficient ability to predict the return on investor portfolio due to changes in the external environment (systematic risk) and the internal environment (non-systematic) and this is mainly due to the identification of the explanatory variables and the experimental design of the model.Therefore, the present research, while explaining this issue and in order to adjust the uncertainty problem of the model, by averaging all the models (Bayesian averaging), has determined the effective risks on stock returns in Iran.The present study expresses this failure in identifying explanatory variables and empirical model design. The statistical sample of the research includes 138 listed companies in the period 1390 to 1399.In this study, 62 risks affecting stock returns in the form of 31 indicators in the field of systematic risk and 31 non-systematic indicators entered into nonlinear Bayesian models with time-varying parameters.The results show that among BMA, TVP-DMA, TVP-DMS, BVAR and OLS models, the TVP-DMA model is the most efficient model. According to the TVP-DMA model, 10 non-fragile risks include systematic risks (real GDP growth rate, unofficial market currency, inflation rate, interest rate) non-systematic risks (instantaneous ratio, liabilities, cash flows from operations, return on equity, debt ratio, and price-to-earnings ratio) as the most important risks affecting stock returns. All the mentioned risks, except interest rate and debt ratio, have a positive effect on stock returns. Manuscript profile -
Open Access Article
10 - Presenting a model for the development of technological start-ups for the dynamics of external management mechanisms
pzhman hajatpour saber Mullah Alizadeh zovardehi allahkaram salehiIssue 57 , Vol. 16 , Summer 2023The purpose of this study is to provide a model for the development of technological startups for the dynamics of external organizational governance mechanisms. The research was in terms of developmental purpose, in terms of combined method (qualitative-quantitative). T MoreThe purpose of this study is to provide a model for the development of technological startups for the dynamics of external organizational governance mechanisms. The research was in terms of developmental purpose, in terms of combined method (qualitative-quantitative). The statistical population in qualitative research included theoretical and experimental experts who were purposefully selected, including 20 senior managers of industrial companies of the stock exchange It was Tehran and sampling continued until theoretical saturation was achieved. In a small part, the statistical population included top, middle managers and supervisors of industrial companies of Tehran Stock Exchange, sampling done purposefully and 80 questionnaires obtained from this sample. The collection tools were semi-structured in the qualitative part of the interview and in the quantitative part of the researcher-made questionnaire (1400) which was based on the Likert scale (5 options). Research data analysis performed in the qualitative phase with Max Kyoda software and in the quantitative phase with LISREL software.The results in the qualitative section indicate the variables of strategic thinking, marketing mix, market opportunity identification and competitive functions as causal factors. Underlying factors include values, macro-environmental factors, and the emergence of new technologies, global approaches, and technological infrastructure. The consequences of this phenomenon expressed in the form of development of technological startups, value creation for businesses, technological advancement, value creation for society and revival of small businesses. In the quantitative part, the conceptual model of the presented research was tested and the research hypotheses confirmed.The development of technological start-ups for the dynamics of external governance mechanisms leads to synchronization and coordination with global changes and the external environment with the internal environment of the company and leads start-ups to gain a competitive advantage that is the basis of any company and can it created value for society and businesses. Manuscript profile
