Capital Market

Open Access Article

1 - Pathology of information disclosure framework in the Iranian capital market
hadi hadadi seyed mohammad reza Mashhour AlHosseini sedigheh mohammadi

In recent years, social responsibility has become very important and popular, and beneficiaries have paid special attention to this issue; As a result, companies have to disclose various indicators of their social responsibility. Today, information disclosure is not lim More

In recent years, social responsibility has become very important and popular, and beneficiaries have paid special attention to this issue; As a result, companies have to disclose various indicators of their social responsibility. Today, information disclosure is not limited to financial information in the context of financial reporting, but they also usually disclose a set of non-financial information with the aim of influencing users' decisions. In the accounting culture, disclosure is a universal term and is classified as one of the accounting principles that encompasses all processes of financial importance and affects all aspects of finance, including current plans and future forecasts. Therefore, in the present study, after identifying the dimensions, components and quantity and type of information published by companies present in the capital market, the information that is required to be disclosed was examined. Studies have shown that the capital market is required to disclose information such as daily trading statistics, the list of accepted securities, and comprehensive information on corporate securities transactions, in accordance with the rules. Financial intermediaries also report administrative performance, customer capital adequacy accounts to the supervisor. Publishers are also required to disclose financial information of other important information to the public at the stage of registering the public offering of securities as well as admission to stock exchanges. Supervision of the implementation of the policy to the extent of compliance with the requirements set for the disclosure of information will be the responsibility of the supervisor of the capital market. Manuscript profile

Open Access Article

2 - Modeling and Forecasting Distribution of Return on the Tehran Stock Exchange Index and Bitcoin with the GAS Time Variable Method
Mohammad Ebrahim Samavi hashem nikoomaram Mahdi Madanchi Zaj Ahmad Yaghobnezahd

10.30495/jfksa.2022.21081

Predicting returns with the least error is one of the most important issues in financial markets that has been considered by many researchers in recent decades .Traditional linear and nonlinear models due to the inefficiency of linear models in market turbulence, the la More

Predicting returns with the least error is one of the most important issues in financial markets that has been considered by many researchers in recent decades .Traditional linear and nonlinear models due to the inefficiency of linear models in market turbulence, the lack of correct extraction of the conditional distribution form of data due to the failure to record the conditional distribution dynamics in nonlinear models and the existence of limiting assumptions, it lacks the ability to predict returns in different market conditions. In order to eliminate the disadvantages of traditional models, in the present study using a new time-variable method called generalized autoregressive score (GAS) in order to predict the distribution of return of the total index of the stock exchange during the period 2010 to 2020 and for Bitcoin during the period 2014 to 2020. The results of modeling for the two assets by the new GAS model are compared with the results of the GARCH and AR models and their performance is tested for inside and outside the sample. The results show that in order to predict the daily return, the overall index of the new GAS model has a better performance and in order to predict the daily return of bitcoin, the GARCH model has been preferred. Manuscript profile

Open Access Article

3 - Comparative study of corporate investment, financing decisions and political risk: Evidence from Tehran Stock Exchange
Ebrahim Ebrahimi nasrin zolfagharkhani Nader Naghshineh

Objective: Knowing the financial, economic and political variables is very important for the decisions of financial market activists and investors, and not considering these variables causes disruption in decision making.This research has been written with the aim of ho More

Objective: Knowing the financial, economic and political variables is very important for the decisions of financial market activists and investors, and not considering these variables causes disruption in decision making.This research has been written with the aim of how political risk influences corporate financing and investment decisions.Research Methodology: In the present research with practical purpose, the collected information related to 34 companies in the period of 2013-2016 have been analyzed using Eviews 11 software and in order to estimate the model related to Hypotheses, data pooling method and panel data have been used.results:The findings showed that political risks and company-level and country-level factors affect companies' financing decisions. Also, the effect of political risks on financing decisions is different under different financing strategies such as debt and equity financing. Also, political risks and company-level and country-level factors have a negative and significant effect on corporate investment.Originality/scientific added value: The financing of companies decreases due to political risk. Political risks have a negative effect on economic and financial activities. To avoid losses caused by sudden political shocks, companies use less financing in financial decision-making when they face high political risk. As a result, it causes a decrease in corporate investment and the entry of liquidity into the production sector and productive activities. Manuscript profile

Open Access Article

4 - Evaluation of Investor Reactions by Security Speeds of Price Adjustment towards the Intrinsic Values between different Industries in TSE
Mahdi Madanchi Zaj Behnaz Tolouei Kiarash Mehrani

چگونگی واکنش سرمایه گذاران نسبت به اطلاعات محیط اقتصادی ، نقش کلیدی در تعیین میزان کارایی بازارسرمایهدارد. اگر این واکنش صحیح و سریع باشد، بازار سرمایه کارایی قوی دارد، در غیر این صورت، با هرگونه تاخیر و یا اختلال در واکنش سرمایه گذاران، از قدرت کارایی بازار کاسته می‌&r More

چگونگی واکنش سرمایه گذاران نسبت به اطلاعات محیط اقتصادی ، نقش کلیدی در تعیین میزان کارایی بازارسرمایهدارد. اگر این واکنش صحیح و سریع باشد، بازار سرمایه کارایی قوی دارد، در غیر این صورت، با هرگونه تاخیر و یا اختلال در واکنش سرمایه گذاران، از قدرت کارایی بازار کاسته می‌&rlm;شود. در این پژوهش بیش واکنشی سرمایه گذاران با استفاده از روش ارزیابی سرعت تعدیل قیمت سهام در رسیدن به ارزش ذاتی در بازه زمانی05/1/1392 الی 01/03/1396 آزمون شده است. در این راستا سرعت تعدیل شاخص قیمت سهام ده صنعت منتخب بورس (کانی‌‌‌های &rlm;فلزی، محصولات کاغذی، محصولات چرمی، فراورده‌‌‌های &rlm;نفتی، منسوجات، محصولات دارویی، لاستیک، فلزات اساسی، خودرو و محصولات شیمیایی) بر مبنای چهار رویکرد مدل تعدیل جزئی آمیهود و مندلسون (1987)، داموداران (1993)، نسبت‌های اتو کوواریانس و فرآیندهای ARMA تئوبالد و یالوپ (2001، 2002) محاسبه شد. بر اساس برآوردگر نسبت اتو-کوواریانس و رویکرد آمیهود و مندلسون (1987) کم‌واکنشی در هیچ از صنایع منتخب مشاهده شد. روش ARMAنیز نشان داد در تمامی صنایع بجز صنعت خودرو وجود پدیده کم‌واکنشی مشاهده شده و در صنعت خودرو بیش واکنشی سرمایه‌گذاران وجود دارد. بر اساس روش داموداران همه 10 صنعت منتخب سرمایه‌گذاران بیش واکنشی داشتند. که بر اساس مطالعات مختلف نتایج روش داموداران از قابلیت اعتماد پایینی برخودار است. Manuscript profile

Open Access Article

5 - Proper Indicators of Capital Market Analysis, Based on the Financial Market Sociology Approach
laleh shabanibarzegar Fraydoon Rahnamay Roodposhti Meysam Mousaei

A capital market is a sample of human society in which there are networks of traders. Because of traders, a sociological approach to capital market indicates that traders and capital market influence each other. Therefore, in our research we hope to discover a suitable More

A capital market is a sample of human society in which there are networks of traders. Because of traders, a sociological approach to capital market indicates that traders and capital market influence each other. Therefore, in our research we hope to discover a suitable index to analyze the capital market based on sociological approach. This research is a descriptive – survey model. The Statistical society is very large and complex. Therefore we have chosen 150 people who are working in the capital market as sample of our society and we have sent questionnaires for them. The result of the data ran in SPSS software in two different ways. The first way was through descriptive statistics and the second way was inferential statistics. Then, we used SMART PLS software for modeling the structural equation. Experimental results show that financial knowledge, risk perception, feelings about market indexes, value of money and objectivity are the suitable indexes for the analysis of the capital market based on sociological approach. Manuscript profile

Open Access Article

6 - Bank opacity and efficiency of stock prices
Heyedeh Erfani Ali Rahmani Alireza Heidarzadeh Hanzaee

This research investigates the effect of opacity on the delay of the stock price (Tehran stock exchange and Iran Farabourse) reactions in the banks and other companies in Iran Capital Market. The proxy of opacity has been considered the spread (bid – ask gap). Hou More

This research investigates the effect of opacity on the delay of the stock price (Tehran stock exchange and Iran Farabourse) reactions in the banks and other companies in Iran Capital Market. The proxy of opacity has been considered the spread (bid – ask gap). Hou and Moskowitz's (2005) model was used to calculate the price delay reaction. Moreover, considering the importance of economic conditions, the impact of periods of boom and stagnation (GDP) on this relationship was also investigated. The research sample consisted of banks listed in Iran Capital Market as well as companies whose market capitalization is equal to 25% of the average market value of banks. The time period was from the beginning of 2009 to the end of September 2016. The hypotheses were tested using panel data. The results indicated a significant relationship between reaction price delay and spread, which confirmed the effect of opacity on the delay price reactions. The results also showed that there is no significant difference between the stock price delay reaction of banks and other companies while there is a significant relationship between economic conditions and delay price reactions. Manuscript profile

Open Access Article

7 - Stock Price Synchronicity and Herd Behavior of Decision on the Capital Market: Testing Moderating Role of Institutional Shareholders
davod hemati Ali Esmayeelzadeh HAMIDREZA KORDLOUIE

Behavioral functions in the field of financial market today is considered as one of the important bases in financial decision making and management. Knowing the criteria and processes influencing decision making can be useful to the dynamics and effectiveness of free fl More

Behavioral functions in the field of financial market today is considered as one of the important bases in financial decision making and management. Knowing the criteria and processes influencing decision making can be useful to the dynamics and effectiveness of free flow of information to control risk and achieve greater returns. Investors are classified as one of the most important pillars of the capital market, ranging from perceptual decisions to emotional / collective and collective behaviors such as mass decision-making, which can upset capital market equilibrium according to market conditions and changes. The purpose of this research is Stock Price Synchronicity and Herd Behavior of Decision on the Capital Market: Testing Moderating Role of Institutional Shareholders. This study examined 102 stock exchange companies in the period 2014 to 2018. In this study, in order to measure and test the research hypotheses while using regression assumptions and testing hybrid models, multiple regression was used to test the research hypotheses. The results of testing the research hypotheses showed that stock price synchronicity has a negative and significant effect on the mass behaviors of shareholders and despite the institutional shareholders as a moderating variable, this effect is intensified in a negative direction. Manuscript profile

Open Access Article

8 - Modeling Financing Plan of Holding Companies with approach of reducing Cost of Capital
Saeed Khodamoradi Mohammad Ebrahim Raei Ezabadi

The financing plan of subsidiaries for reducing cost of capital is one of the main concerns of multi-business enterprises' managers. Internal capital markets and debts financing through banks are two main methods of financing the operations in the holding companies. The More

The financing plan of subsidiaries for reducing cost of capital is one of the main concerns of multi-business enterprises' managers. Internal capital markets and debts financing through banks are two main methods of financing the operations in the holding companies. The efficient use of internal capital market also represents the realization of financial synergy. In this study, after determining the interdependences between the criteria affecting the choice of the financing methods using DEMATEL technique, the analytic network process (ANP) was used to prioritize the criteria and financing methods. Finally, the linear goal programming was utilized to design an effective mechanism for quantifying the optimal use of each of these alternatives besides considering the policies and operational constraints of holding in one of multi-business firms listed in the Tehran Stock Exchange. After solving the model using LINGO software, the results indicated its high effect on reducing the weighted average cost of capital (WACC) and increasing the use of internal relationships network in financing plan. This model, for the first time, solved financing plan problem in multi business enterprises and it could be extended. Manuscript profile

Open Access Article

9 - Evaluation the Effects of Monetary and Fiscal Policy and Iindustry Growth on Changes of Tehran Security Exchange Index
Usef Ahadi Sarkani Masoumeh Ghasempour

The purpose of this study is to evaluate the relationship between macroeconomics variables and Tehran Exchange Price Index. In other words in this article in order to extend the previous studies, the interpretation of three categories of monetary and fiscal policies and More

The purpose of this study is to evaluate the relationship between macroeconomics variables and Tehran Exchange Price Index. In other words in this article in order to extend the previous studies, the interpretation of three categories of monetary and fiscal policies and industrial development on the growth of the capital market is considered. For this purpose we have analyzed the relationship between some macroeconomic variables such as Liquidity, tax and industrial production index with Total Price Index and seasonal data since 1994 till 2014. In this study the relationship between variables have been estimated by using regression analysis and method of ordinary lease squares. After controlling for regression assumptions including Outliers, Normal distribution for the dependent variable, Homogeneity of variance, non autocorrelation; the results indicate there are positive and significant relationship between liquidity and the industrial production index with Total Price Index and there are negative relationship between taxes and total Price Index. Among other indicators used in the study considerable significant relationship was found with Tehran Exchange Price Index. These results suggest the neutralizing effects of both monetary and fiscal policy on the Tehran Exchange Price Index and confirm the impact of industrial sector development on stock index Manuscript profile

Open Access Article

10 - The effect of corporate governance system on avoiding companies getting caught in the Ponzi trap (Case study: Tehran Capital Market)
Mojtaba Rezaei Fardin Mansouri Mahdi Faghani

The purpose of this study was to investigate the effect of a corporate governance system on avoiding companies getting caught in the Ponzi trap. The research method is applied. The statistical population of this study is Tehran capital market companies. The research per More

The purpose of this study was to investigate the effect of a corporate governance system on avoiding companies getting caught in the Ponzi trap. The research method is applied. The statistical population of this study is Tehran capital market companies. The research period is from 1394 to 1398. The statistical population of the research was 132 companies selected as a sample. The data collection methods were library and field that the library method was used to formulate theoretical foundations and the field method was used to test research hypotheses. The data collection tool was the databases of companies that are members of Tehran Capital Market, which was obtained from the Kedal website. In this study, correlation test and regression analysis and Eviews software were used to test the research hypotheses and determine whether or not it was significant. According to the findings of the study, the management system with good, average, and poor performance affects companies in the Ponzi trap and it can be concluded that corporate governance systems are effective in companies avoiding the Ponzi trap. Therefore, companies have to use domestic and international capital markets to finance themselves. Through the system of governance, they can play a key role in the decision-making of investors and lenders, and this will make these companies less inclined to Money Making, so, in this case, the companies will be more careful about getting caught in the Ponzi scheme. Manuscript profile

Open Access Article

11 - Information Asymmetry with Emphasis on the Role of Financial and Managerial Criteria Based on Fuzzy Logic and Artificial Neural Networks
Mohammad Amir Golshani Mehrdad Ghanbari Babak Jamshidi Navid Forouzan Mohammadi Yarijani

This paper addresses the absence of a suitable criterion for measuring information asymmetry between managers forecasting earnings and analysts forecasting earnings through statistical methods. Besides, this paper aims to provide a model of information asymmetry, emphas More

This paper addresses the absence of a suitable criterion for measuring information asymmetry between managers forecasting earnings and analysts forecasting earnings through statistical methods. Besides, this paper aims to provide a model of information asymmetry, emphasizing the role of financial and managerial criteria. This is applied qualitative and quantitative research (mixed method). The library method is used to prepare and formulate theoretical bases. In addition, the field method is used for collecting data to measure and identify indices and modeling. Factor analysis was used to analyze the data, following identifying the dimensions and variables of financial and managerial criteria of information symmetry to eliminate extraneous factors and classify. The following five main dimensions were determined, including corporate profit forecast, corporate governance, capital market, capital return, and management characteristics of the company. Then, the modeling was done using fuzzy mathematics through triangular numbers, Mamdani implication, and center of gravity methods. The final results of the study of the company listed on the Tehran Stock Exchange show that the level of information symmetry in the range of zero to 100 equals 55.1, to predict the company's profit is 48.54; corporate governance is 56.95; the capital market is 1/59; capital return is 61.07, and managerial characteristics of the company are 67.84. Finally, we examined the factors affecting the information asymmetry obtained from fuzzy neural networks. The findings show a higher prediction accuracy of fuzzy neural network methods than other related prediction methods. Manuscript profile

Open Access Article

12 - تجزیه و تحلیل حمل و نقل روبات ها با الگوریتم pso چند منظوره در بازار سرمایه مصنوعی
داود آشیانی سعید حسین سعادتی عبدالرضا صدیق منش

Manuscript profile

Open Access Article

13 - The Effect of Investment Opportunities, Growth and Capital Productivity on Firm Performance of Listed Companies in Tehran Stock Exchange
Heidar Mohammadzadeh Salteh

Investors seek to maximize their wealth. Growth opportunities are the driving force that give motivation and are considered bonus for investors. What in the current situation will lead to success is the optimum use of the available investment opportunities in order to i More

Investors seek to maximize their wealth. Growth opportunities are the driving force that give motivation and are considered bonus for investors. What in the current situation will lead to success is the optimum use of the available investment opportunities in order to identify the factors affecting the firm's performance. Timely and rational use of investment opportunities by business units has a significant effect on performance improvement. Firm growth, from the perspective of capital market and management is an important variable and can be effective on firm performance. Therefore, in this research, the effect of investment opportunities and growth on firm performance of listed companies in Tehran Stock Exchange has been studied. The statistical population includes the companies listed in Tehran Stock Exchange, out of each a statistical sample of 134 corporates was selected by systematic elimination sampling method. The period under review was a 5-year period (2007-2011) and the hypotheses in this research were tested by using combined data (panel). The results show that investment opportunities do not affect firm performance, and firm growth has a positive and significant effect on return on asset but does not affect market value added. Also, capital productivity has a positive and significant effect on firm performance. Manuscript profile

Open Access Article

14 - Identification of Contagion Path of currency Crises in Industries of Tehran Stock Exchange
Maryam Bazrayi Saleh Ghavidel Ghodratollah Emamverdi

10.30495/eco.2021.1922778.2483

This study aims to detect path of currency crisis in different listed industries, in order to manage risk of shareholders in stock market. For this purpose, joint Contagion Test, Joint Coskewness Contagion Test and the Ornstein – Uhlenbeck Process are used. The da More

This study aims to detect path of currency crisis in different listed industries, in order to manage risk of shareholders in stock market. For this purpose, joint Contagion Test, Joint Coskewness Contagion Test and the Ornstein – Uhlenbeck Process are used. The data used in this study include: stock return of the listed industries and daily exchange rate during 2008 to 2020. The results suggest that currency crises of 2011 and 2018 have transmitted to all export- oriented import- oriented and neutral industries (except mass construction). Moreover, the findings support the fact that starting point of crisis contagion in both currency crises is pharmaceutical industry that attracted currency crises due to its strong correlation with exchange market. The next point of contagion in the first currency crisis is investment industry, and in the second currency crisis, basic metals and oil products. It is suggested that when currency crisis occurred, investors increase weight of basic metals stocks and decrease share of pharmaceutical and computers in their portfolio. Manuscript profile

Open Access Article

15 - Modeling and Comparative Study of the Behavior of Consumption, Production and Investment Sectors in the Money and Capital Markets of Iran
Fatemeh Masoumi Soureh Mohammadreza Nahidi Amirkhiz AliReza Bafandeh Zendeh Yousof HajiAsghari

10.30495/ECOMAG.1402.1045583

Extended Abstract With the view of the existence of different types of markets in every economy and according to the macroeconomic structure of every country, we can mention money and capital markets as the most basic financial markets. In the money market, resources More

Extended Abstract With the view of the existence of different types of markets in every economy and according to the macroeconomic structure of every country, we can mention money and capital markets as the most basic financial markets. In the money market, resources are lent for a short period, and the most important task of this market is to create facilities for economic units and improve their liquidity. By definition, the money market is a market for trading money and other financial assets that are close substitutes for money that have a maturity of less than one year. In other words, the money market is known as the market of short-term financial instruments with the characteristics of low non-payment risk, liquidity, and high nominal value. The capital market is a market where longer-term bonds (with a maturity of one year or more) and company stocks are traded. Securities that are traded in the capital market (such as stocks and long-term bonds) are more interested in financial intermediaries. Considering that these institutions have a long-term investment horizon and prefer to invest in such long-term bonds. Several variables such as economic growth, investment growth in the production sector, investment growth in the housing sector, consumer price index, people's purchasing power, income and savings changes, employment, liquidity, inflation, exchange rate fluctuations, imports, exports, profit fluctuations, and bank interest. and... can be counted among the internal factors influencing the markets and consequently economic growth and development. One of the most basic goals of economic development is to increase the wealth and welfare of the people of the society. In the meantime, among the issues that can have a fundamental and significant role in the markets, is the behavior of economic variables, whose changes and fluctuations can affect the indices of those markets. Purpose In this research, an attempt has been made to investigate consumption behavior, production and investment, producer index and investor behavior in the years 1357 to 1397, using the Hodrick-Press filter method Methodology For this purpose, in this research, an attempt has been made to investigate the behavior of the consumption, production, and investment sectors in the money and capital markets of Iran. To achieve this goal, the annual data of variables of consumer price index, producer price index, private sector investment in new buildings in urban areas, inflation uncertainty, value of stock transactions and money supply have been used and after examining the behavior of each variable in the form of behavior Consumer consumption, producer production behavior and investor behavior for the years 1357 to 1397 have been investigated using Hodrick-Prescott filtering method, autoregression with distributed lag (ARDL) and vector autoregression (VAR) model. The price index of consumer goods and services is one of the types of price indices that shows the price changes of goods and services that are consumed by households in a period. This variable is expected to affect money and capital markets; Therefore, in this research, the consumer price index was used to evaluate the consumer's consumption behavior, and the producer price index was used to evaluate the producer's production behavior. The producer price index includes all productions (goods and services) in the country in question. The weight of each item is the sales volume (producer's sales) of that item to the total sales volume of items and the change in the price of items is the price of each item in each month compared to the price of the same item in the previous month. In the housing sector, it is expected that an expansionary monetary policy will increase the demand for housing by increasing the amount of money in the asset portfolio. Of course, this depends on various issues. For example, suppose the amount of money increases as a result of an expansionary monetary policy, people will try to buy other assets, such as housing, currency, and stocks, to use the amount of money more. If in that economy, the yield of the housing sector is higher than other assets, or if people in that society are more willing to make long-term investments. In that case, the demand for housing will increase and investors will replace housing with other assets, including stocks and currency. To investigate the behavior of these variables, the Hedrick-Prescott filter provides the unobservable time trend for the time series variable. This filter is used to separate permanent and temporary fluctuations in a time series. The working principle of this filter is based on the separation of fluctuations into permanent fluctuations (supply) and short-term fluctuations (demand). Finding After examining the behavior of the aforementioned variables using Hedrick-Prescott filtering, the results of the ARDL method with a distribution break for the money market showed that in the short term, the variables of consumer consumption behavior, producer production behavior, and investor behavior, and in the long term, all variables with money supply have a relationship But the results of the same method for the capital market show that there is no significant relationship between any of the variables with the value of stock market transactions, both in the short term and in the long term. The results of the VAR model for the money market showed that there is a significant positive relationship between the money supply and the consumer's consumption behavior and the investor's behavior of a previous period, and there is a negative significant relationship between the money supply and the producer's production behavior of a previous period, and the output resulting from this The method for the capital market indicates the existence of a significant negative relationship between the consumption behavior of the consumer, the production behavior of the producer and the behavior of the investor with the value of the stock transactions of a previous period. Conclusion The results of the ARDL method showed that in the long term in the money market, all the considered variables were related to the money supply, which indicates the confirmation of all the considered hypotheses for the money market, but none of the mentioned variables were related to the value of market transactions. Stocks were not related and it shows the rejection of all the hypotheses considered for the capital market. Manuscript profile

Open Access Article

16 - The role of stock market shocks on macroeconomic variables in the form of dynamic stochastic general equilibrium (DSGE) model
Yazdan Gudarzi Farahani Babak Esmaili Morvarid Khajeh Vahid Mahboubi Matin

10.30495/fed.2023.707989

Abstract The purpose of this paper was to investigate the impact of stock market shock on macroeconomic variables with the approach of Dynamic Stochastic General Equilibrium (DSGE) models. For this purpose, the data of the time period 1990-2021 with seasonal frequency More

Abstract The purpose of this paper was to investigate the impact of stock market shock on macroeconomic variables with the approach of Dynamic Stochastic General Equilibrium (DSGE) models. For this purpose, the data of the time period 1990-2021 with seasonal frequency has been used. Modern financial systems usually include financing from the financial assets market in addition to financing the banking sector. The interaction between the stock market and aggregate activity has received much attention in the past decade. In this regard, traditionally, the stock price usually affects the stock market as the discounted current value of the expected stock profits. In this framework, stock prices are influenced by both production (through profits and dividends) and interest rates (through the rate at which future dividends are discounted). In this study, the capital market shock has an effect on the economy through the channel of consumption expenditures of households and investment expenditures of companies. The direct effects of stock price fluctuations on total spending have made the stock capital market known as a leading indicator in the economy. The obtained results indicated that the reaction of macroeconomic variables to the demand shock was more intense than the shock from the supply side, and only the variables of tax revenues and bank facilities showed a negative reaction to the demand shock in the conditions of the supply shock. Also, the amount of employment has shown a positive reaction in response to the shock on the supply and demand side in the capital market Manuscript profile

Open Access Article

17 - Investigating the effective factors of investing in human resources in companies admitted to the Tehran Stock Exchange
Rasoul Masroori Asgar Pakmaram Ahmad Mohammady Golamreza Rahimi

A significant part of the the capital of the leading organizations has been attributed to the considering human resources in recent years. The knowledgeable and capable managers know that the more they provide the prerequisites for progress and promotion of human resour More

A significant part of the the capital of the leading organizations has been attributed to the considering human resources in recent years. The knowledgeable and capable managers know that the more they provide the prerequisites for progress and promotion of human resources, the more they guarantee the success, efficiency and superiority of their organization before other organizations. The most efficient way for achieving high competitive advantage and the most important superiority index according to tremendous changes in the economic conditions is empowering and making efficient the human resources in organizations. Human resource is the most important capital of the organizations. The purpose of this research is to propose a model of efficiency of investment in human resources. The statistical population consisted of all companies listed in Tehran Stock Exchange. The research method is descriptive and survey. The statistical sample included 155 companies selected via available sampling method. The data were collected by author-made questionnaire based on Likert scale. Kolmogorov- Smirnov test was used for normality test and structural equations modeling was employed for hypotheses test. The results showed that the quality of financial disclosure, human capital disclosure, improvement of business environment have a positive and significant impact on human resources. Manuscript profile

Open Access Article

18 - Predicting Capital Market Returns Using the Learning Model of Levenberg-Marquardt, Gradient descent and ARIMA Algorithm
mehdi asharion ghomizadeh mohammad mahmoodi

The present study compares and predicts the predictive ability of the capital market based on the learning pattern of the Levenberg-Marquardt algorithm, the Gradient descent and the ARIMA Algorithm. For this purpose, market data were used in the period from 1394 to 1397 More

The present study compares and predicts the predictive ability of the capital market based on the learning pattern of the Levenberg-Marquardt algorithm, the Gradient descent and the ARIMA Algorithm. For this purpose, market data were used in the period from 1394 to 1397, and more than 75% of these data were used as training data prior to 1397, and one year end data were used as data. The results of the evaluation of the research data show that artificial neural networks have a high capacity for price prediction.The results also showed that in both training data series from 1394 to 1396 and experimental of 1397 the comparison of the results and performance of ARIMA neural networks (ARIMA) showed that the neural network had higher predictive power in Comparing with the performance and prediction accuracy of two types of neural networks with the Levenberg-Marquardt learning algorithm and the Gradient descent learning algorithm using the Levenberg-Marquardt learning algorithm has been able to increase the neural network prediction accuracy And reduce its error, so, the results of the present study show, the Levenberg-Marquardt learning algorithm improves the predictive power of the neural network. Manuscript profile

Open Access Article

19 - winner stock momentum in Iran
Mehdi Elhaei Sahar Rezvan Hejazi Allah Karam Salehi Hossein Moltafet

10.30495/afi.2022.1945244.1065

Lately, the anomalies in capital markets have severely challenged the efficient hypothesis. The winner stock momentum is one of the anomalies called the unexplained short-term return by Fama and French (1996). The current study attempts for explaining the winner stock m More

Lately, the anomalies in capital markets have severely challenged the efficient hypothesis. The winner stock momentum is one of the anomalies called the unexplained short-term return by Fama and French (1996). The current study attempts for explaining the winner stock momentum in the Iranian capital market. The grounded theory method was used to explain wining stock momentum. To this end, in-depth interviews were held with 32 specialists working in the professional and academic grounds in 2018. The collected data were encoded in three stages, and the results were presented as a conceptual paradigm. Then, to quantify the model by the fuzzy analytic hierarchy process, a pairwise comparison questionnaire was distributed among the specialists. The research results are presented as a qualitative-quantitative model and the story extracted by grounded theory.The study discoveries recognized the momentum causal factors in the behavioral level, the background factors in the social, macroeconomics, and market levels, the intervening factors in the global economics, macroeconomics, market, and company levels, and the strategies in the social, macroeconomics, market, the investment and finances institutions, and consequences factors in market level.The study results propose that the winner stock momentum phenomenon must not be considered a speculation opportunity. Rather, it is an anomaly that has to be controlled with the suggested strategies. Manuscript profile

Open Access Article

20 - Investigating the efficiency internal capital markets of business groups in allocating resources and performance; the effect of ownership-control wedge and product Market competition
Faramarz Karami Taleghani Mohammad Reza Vatanparast Javad Rezazadeh Keyhan Azadi Hir

10.30495/afi.2023.1983050.1207

Purpose: The common feature of the theoretical approaches adopted to study business groups is the presence of internal capital markets in these groups. The accounting literature shows that the efficiency of these markets in allocating resources and performance can be af More

Purpose: The common feature of the theoretical approaches adopted to study business groups is the presence of internal capital markets in these groups. The accounting literature shows that the efficiency of these markets in allocating resources and performance can be affected by self-interested motives resulting from the agency problem. Therefore, the purpose of this research is to investigate the effect of the ownership-control wedge on the efficiency of internal capital markets of business groups in resource allocation and performance with regard to product market competition.Methodology: This descriptive-correlation research has been done from the perspective of practical purpose and using the post-event approach. . In order to achieve the goal of the research, the data of 18 business groups whose parent companies are listed in the Tehran Stock Exchange or OTC were collected during the years 2015 to 2022 and the study hypotheses were tested using multiple regression with panel data.Findings: the findings of the study show that the ownership-control wedge has a negative and significant effect on the efficiency of resource allocation and the efficiency of the internal capital markets of business groups. Also, the findings only show that the relationship between the ownership-control wedge and the efficiency of the internal capital markets of business groups weakens with the increase in product market competition. However, there was no evidence of the effect of product market competition on the relationship between ownership-control wedge and resource allocation efficiency.Originality / Value: It is important to pay attention to the internal capital markets of business groups as a potential mechanism to facilitate the efficient allocation of resources and achieve strategic advantages. Therefore, by knowing more about the phenomenon of ownership-control gap and its effect on the efficiency of internal capital markets of business groups in the allocation of resources and performance, basic steps can be taken to achieve strategic benefits (such as the development of the domestic economy). Manuscript profile

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