Stock Market

Open Access Article

1 - The effect of foreign exchange policies to reduce the current account deficit (with emphasis on the financial crisis of 2008)
Samira Najafi Estamal Seyed Shamseddin Hosseini Abbas memarnejad Farhad Ghaffari

10.30495/ijpa.2022.68048.10938

Background: Exchange rate fluctuations and its deviation from the equilibrium path is one of the most important macroeconomic variables that affects different sectors of the economy from various aspects.   Objective: This study was conducted with the aim of invest More

Background: Exchange rate fluctuations and its deviation from the equilibrium path is one of the most important macroeconomic variables that affects different sectors of the economy from various aspects.   Objective: This study was conducted with the aim of investigating the effect of foreign exchange policies during the existence of a trade deficit in the financial crisis (crisis of 2008) on the total index of the stock exchange. Method: The present study was conducted using ARDL and VCEM approaches in terms of purpose, application and development. This study examines the relationship between exchange rates (as a control policy to reduce the current account deficit due to the 2008 crisis) and the overall index. Examines the Iranian Stock Exchange. To reduce the effect of the omitted potential variable, interest rates and external reserves are also included in this analysis. In this study, the self-return approach with distributive interrupt (Pesaran, 2001) has been used to investigate the long-run relationship between variables.        Findings: Among the actions of governments in times of crises and deficits in the current account balance is the use of foreign exchange controls. Explaining the effects of the exchange rate due to the dependence of the stock market industries on the import of raw materials as well as the export of products on the overall index of the stock exchange is very important for policymakers and activists in this field.                                                                                                                                                      Conclusion: The results indicate that there is more compatibility between exchange rates and stock prices in critical periods than in quiet periods, in terms of integration in the long run and short-term causality. Also, the results of the implementation of foreign exchange policies, in order to improve the current account, confirm the J-curve.                                                                                                         Manuscript profile

Open Access Article

2 - The Impact of Natural Resource Management on the Development of Stock Market Selected Countries with Natural Resources
Abolfazl Shahabadi Razieh Davarikish Zeinab ZarrinNa’l

The stock market as the main backrest of the capital market activities has a determining role in achieving continual and stable economic growth of countries. Economists believe that in countries which are rich in natural resources, focusing on the governance indicator t More

The stock market as the main backrest of the capital market activities has a determining role in achieving continual and stable economic growth of countries. Economists believe that in countries which are rich in natural resources, focusing on the governance indicator to manage the foreign exchange earnings from exporting the natural resources in a better way, has a significant impact on the development of the stock market. In fact, right and scientific management of natural resources which are obtained from the result beat of each of the governance indicators on the abundance of natural resources, navigates the given resources to the high value-added activities in the section of the stock market and by effecting the stock properties, it will motivate investors to buy and sell in the stock market and it also will increase and improve the value of trades on gross domestic product as the stock market development indicator. Therefore, the present study sought to examine the impact of the natural resource management on the development of stock market of Selected countries with abound natural resources during 2008-2013 byusing theGeneralized Method of Moments(GMM). The results of the study shows that the variables of natural resource management, total efficiency, productivity of the factors of production, the real exchange rate and the size of the government has a significant positive impact on the development of the stock market. As well, the results of the estimates represent a significant and negative impact of the liquidity ratio variableto the gross domestic product developmentof the stock market Manuscript profile

Open Access Article

3 - Modeling the Effect of Loss Averse Bias on Return Rate and Stock Price Dynamics (Application of Agent-Based Modeling in Behavioral Finance)
Moloud Raki Mohsen Mehrara Hosein Abasinejad Ali Souri

Standard asset pricing models based on rational expectations and homogeneity have problems explaining the complex and volatile nature of financial markets. The heterogeneity in expectations can lead to market instability and complicate dynamics of prices, which are driv More

Standard asset pricing models based on rational expectations and homogeneity have problems explaining the complex and volatile nature of financial markets. The heterogeneity in expectations can lead to market instability and complicate dynamics of prices, which are driven by endogenous market forces. Our aim is to point out that the investors’ irrationality explains various numbers of financial anomalies, especially the phenomena that traditional financials models have never been able to explain. using a behavioral finance approach and an agent-based model we examine the dynamics of stock price fluctuations and their rates of return in an artificial market composed of fundamentalists and non-fundamentalists with loss-adverse bias. our goal is to point out a posibility that loss-adverse feature of investors explains vast number of financial stylized fact and plays an important role in price formation of financial markets.The results of intensive analysis indicate that the existence of agents having heterogeneous beliefs and preferences has provided a better understanding of price dynamics in the financial market. Manuscript profile

Open Access Article

4 - An investigation of the effects of foreign exchange market shocks on Tehran stock exchange by Markov regime switching model
عبدالناصر شجاعی محسن خضری تورج بیگی

Several studies have been accomplished  about the relationship between the  exchange rate volatilities and stock market behavior. In theoretical methods, there is no general agreement about the relationship of foreign exchange market and stock market. This pa More

Several studies have been accomplished  about the relationship between the  exchange rate volatilities and stock market behavior. In theoretical methods, there is no general agreement about the relationship of foreign exchange market and stock market. This paper which is based on a two regime MS-EGARCH(1,1) and with using monthly data between 2000 to 2010 intends to investigate this topic. According to estimation results, the first regime is related to variance regime and low average (recession)and the second regime is related to variance and high average (expansion). In average regime and low variance, foreign exchange market shocks had positive effect on stock return variance but it did not have any effect on the level of average return of stock market. But in variance regime and high average it did not have any significant positive effect on the level of variance and the level of stock return average. The above results showed the asymmetrical effects of foreign exchange market shocks on stock return in two stagnation regime and expansion regime. Manuscript profile

Open Access Article

5 - Sociological Analysis of Socio-Economic Factors Affecting the Collapse of Shareholders' Social Capital in the Tehran Stock Market
Marzieh Bagheri Mostafa Azkia Meysam Mousaei

10.30495/IJSS.2023.72303.1382

Manuscript profile

Open Access Article

6 - Sociological analysis of socio-economic factors affecting the attraction of shareholders in Tehran stock market
marziyeh bagheri mostafa azkia Meysam Mousai

10.30495/jisds.2023.71844.11857

 The stock exchange is one of the main pillars of the country's economy, and paying attention to thisorganization not only brings prosperity to this organization, but also to the growth and development of thenational economy, for this reason, the factors that have More

 The stock exchange is one of the main pillars of the country's economy, and paying attention to thisorganization not only brings prosperity to this organization, but also to the growth and development of thenational economy, for this reason, the factors that have the ability to influence this organization in some wayshould be analyzed. Therefore, the present research was conducted with the aim of sociological analysis ofsocio-economic factors affecting the attraction of shareholders in the Tehran stock market. This research isconsidered as an exploratory research from the objective dimension, and from the strategy dimension, it wasclassified as non-experimental, field and qualitative research. The participating community of this researchconsists of all the shareholders of Tehran Stock Exchange in 2013-2014, who were selected through purposefulsampling until reaching theoretical saturation. Data were collected using unstructured open interviews andanalyzed through the systematic method of Strauss and Corbin. In general, the achievements of the fieldresearch include a central category, 4 main categories, 67 sub-categories and 139 concepts. In the sociologicalinvestigation of socio-economic factors affecting the attraction of shareholders in the Tehran stock market, fourapproaches and paradigm models were found in the form of investment behavior, investment to earn income forthe future, social contexts affecting the negative attitude towards the stock market and the lack of economicknowledge related to the stock market. The next stages of the research and the deeper examination of thesubjects and categories showed that the previous phenomena are part of the major and bigger phenomena underthe title of lack of institutionalization, abandonment and risk of investing in the stock market.  Manuscript profile

Open Access Article

7 - Structural modeling of the precondition of financial behavior of investors in Iran’s stock market
Fatemeh Ahmady Mehrdad Ghanbari babak Jamshidinavid Shahram Mami

This study followed the design of a model to predict the financial behavior of investors in the Iranian stock market. Qualitative content analysis of scientific texts related to the research topic was used to identify the criteria. Interactive matrix and based on expert More

This study followed the design of a model to predict the financial behavior of investors in the Iranian stock market. Qualitative content analysis of scientific texts related to the research topic was used to identify the criteria. Interactive matrix and based on expert opinion based on interpretive structural modeling method was developed and a five-level model was obtained. To determine the type of variables, the MicMac analysis was used. In the five-level model of this study the variables of informal news, investor financial conditions, subjective financial knowledge, and herd behavior at the fifth level were the most influential and believable, personal judgment, emotion control, and loss aversion were the most influential variables of this model at level one of this model, were affected. MicMac analysis also indicated that the variables of informal news, subjective financial knowledge, investor financial conditions, self-esteem, and herd behavior were independent, and the variables of avoidance, believability, financial technology, emotional control, personal judgment, and financial specialties are also type dependent and other variables are interface type. Manuscript profile

Open Access Article

8 - Presenting of High-frequency Trading System
Mohsen Dastpak Mohammadali Rastgav

In emerging markets such as Tehran Stock Market, there is a gap between signals of changing the trend and the beginning of the movements which we can make profit by using a well-designed Algorithmic Trading System. Proposing a high-frequency trading system has advantage More

In emerging markets such as Tehran Stock Market, there is a gap between signals of changing the trend and the beginning of the movements which we can make profit by using a well-designed Algorithmic Trading System. Proposing a high-frequency trading system has advantages (taking advantage of intraday stock market volatility) and disadvantages (high amounts of transaction cost due to the high transaction volume) thus we can augment advantages and cotrol the disadvantages by designing the system elaborately. In this research, the “Local Traders” approach for predicting the future trend of stock has been utilized. According to the “Local Traders” approach, there is a local trader (an agent) for each stock which is expert on it. It predicts the future trend of its own stock based on stock’s intraday data and their technical indicators by determining how much it is good to buy, sell or hold. Results show that, the proposed model outperforms the Buy and Hold strategy in all kinds of markets (Normal, Ascending, Descending) even if there is no discount on Transaction Costs. Manuscript profile

Open Access Article

9 - The oil and gold global market interaction on the stock market of Iran; the GARCH-Copula approach
Seyed Mozaffar Mirbargkar Maryam Borzabadi Farahani

Studying the countries' stock market and global market interaction has been one of the most important research subjects in the global market. Thus, studying the relationships may have a significant role for the decision making of the investors. An appropriate estimation More

Studying the countries' stock market and global market interaction has been one of the most important research subjects in the global market. Thus, studying the relationships may have a significant role for the decision making of the investors. An appropriate estimation of the dependence structure has been the significant starting point at an investing period, for the investment risk control. The present research aims to study the interaction between dependence structure at Tehran stock market efficiency and the global price of gold and oil, at the period of 2010-2017, on a daily basis. In doing so, GARCH-Copula approach has been applied. The results show the asymmetric mutual relationship between the studied efficiencies. As it can be seen in the present paper, the t-student Copula functions can have a better recognition than other functions for both efficiencies; 'Tehran stock and gold market', and 'Tehran stock and oil market'. The results indicate that the Tehran stock market has been highly dependent to both oil and gold markets, and their threshold changes may lead to a stronger dependency of the markets together. Manuscript profile

Open Access Article

10 - Investigating the Impact of Financial Development Indicators and Economic and International Trade Performance on the Stock and Financial Markets
Sara Maleki Mehrzad Minoie MirFeiz Falah Shams

One of the goals of researchers and policymakers is to find measures to achieve economic growth. Financial development is one of the policies that many economists recommend in order to achieve economic growth and development. From this perspective, financial development More

One of the goals of researchers and policymakers is to find measures to achieve economic growth. Financial development is one of the policies that many economists recommend in order to achieve economic growth and development. From this perspective, financial development is an engine for economic growth, and policymakers should focus on creating and expanding financial institutions and markets. The present study examines the impact of financial development and economic performance indicators including economic growth and international trade in developing and developed countries in the long run from 2001 to 2018. Data collection has been done by two methods, library, and field, to complete the literature and research background, refer to libraries and researches, and for financial and economic data, including financial development indicators in two sections: Bank- Index and Capital Markets Stock-Index, as well as figures for Gross Domestic Product (GDP) and international trade from the World Development Index (WDI) databases, are used. Developed countries, due to their technology and power in production, can carry out their industrial production and export to developing countries. However, developing countries do not see long-term equilibrium relationships for economic growth and international trade. Manuscript profile

Open Access Article

11 - Analyzing the Effect of Monetary Volatility on the Iranian Stock Market
Nafiseh Vatanchi MirFaiz Falah Shams Lialestani Gholamreza Zomorodian

10.22034/amfa.2023.1966543.1793

Nowadays, financial markets and especially the stock market are important and undeniable sources of financing for investment toward the economic growth and development of countries. These markets also have a tangible role as a basis for implementing monetary policy. Thi More

Nowadays, financial markets and especially the stock market are important and undeniable sources of financing for investment toward the economic growth and development of countries. These markets also have a tangible role as a basis for implementing monetary policy. This study aims to investigate the effect of monetary volatility on the seasonal performance of the Iranian stock market from April 2001 to March 2021.The TEDPIX index of the Tehran Stock Exchange was used for designing and explaining the research model for measuring monetary policy uncertainty in terms of the debt of banks to the Central Bank and to measure the Iranian stock market’s performance. With portfolio theory as the theoretical basis for the study, the housing price index and the exchange rate were added to the research model as other independent variables due to their importance to the portfolio of individuals. In this regard, monetary policy uncertainty was first calculated using the exponential general autoregressive conditional heteroskedastic (EGARCH) method. Then, the effect of uncertainty on the TEDPIX index was calculated using the vector auto regression (VAR) statistical method in EVIEWS 12. The findings indicate a significant negative correlation between monetary policy uncertainty and short and long term TEDPIX index. Moreover, exchange rate and housing price index has a significant positive effect on the TEDPIX index. Manuscript profile

Open Access Article

12 - Predictive Power Stock Market IndicesFor The Future Economic Activity,In The Frequency Domain
Amir Mohammad zadeh Parisa Karim khani

Financial markets are among the influential markets in the economy of every country. Stock market booms and crashes in some countries not only influence their national economies but also have impacts on the global economy. Study of performance of stock market and stock More

Financial markets are among the influential markets in the economy of every country. Stock market booms and crashes in some countries not only influence their national economies but also have impacts on the global economy. Study of performance of stock market and stock price index and their effects on economic factors are among issues increasingly being focused by economic and financial researchers.Up to now many studies has been conducted on the causal relationship between stock market indices and economic variables in various countries. These causal relationships have confirmed in some studies and they have rejected in other ones. The innovation of present research is study of Granger causality in frequency domain about which there are no comprehensive studies especially in Iranian context. Present study addresses the causal relationship between gross domestic product (GDP) and stock market variables including stock price index, financial index and industry index in Iranian context and explores if predictive power is concentrated on lower frequencies or higher ones. Main goal of present study is to employ stock market indices to develop a model for prediction of GDP. Results from present study showed that in Iranian context there was no causal relationship between GDP and selected variables related to stock market in frequency domain and stock market indices cannot be used to predict GDP. Manuscript profile

Open Access Article

13 - An Evaluation of Informational Efficiency of Information and Communication Technology Corporates in Tehran Stock Market: inconsistency with the global trend
Ali Asghar Anvari Rostamy Seyed sepehr Gazi nore Amir Khorasani

The impact of Information and communication technology to increase financial transactions in different fields shows the Positive developments of this industry in Iran. But could the ICT industry also be efficient in the economic capital of the country? Does the industry More

The impact of Information and communication technology to increase financial transactions in different fields shows the Positive developments of this industry in Iran. But could the ICT industry also be efficient in the economic capital of the country? Does the industry that appeared with the nature of contributing to convey and analyze the information has informational efficiency itself? In this study, the ICT industry in the Tehran Stock Exchange was surveyed to check its informational efficiency. The data and documents related to the profitability of companies in this industry for 6 years were studied quantitatively. A total of eight companies with the nature of ICT were selected. To understand the informational efficiency, runs test have been used with two approaches: runs with change relative to the average. The results showed that the ICT industry in Tehran stock exchange has not even a weak level of informational efficiency. The results are completely inconsistent with other countries and show that Iran's ICT condition needs a fundamental reflection. Manuscript profile

Open Access Article

14 - Return and Volatility of International Oil Price‌ and Stock Index in OPEC Member Countries
esmaiel abounoori hamed ziyaoddin

10.30495/eco.2020.674198

This study intended to examine the correlation between the stock market return and the oil price return within a multivariate GARCH model. To this end, the correlation of these two variables with the spillover rate, conditional mean, oil price fluctuations, and the stoc More

This study intended to examine the correlation between the stock market return and the oil price return within a multivariate GARCH model. To this end, the correlation of these two variables with the spillover rate, conditional mean, oil price fluctuations, and the stock market indexes of 10 OPEC members, i.e. Algeria, Iran, Iraq, Kuwait, Nigeria, Qatar, Venezuela, Saudi Arabia, the UAE, and Ecuador, were examined in the form of monthly times series for the 2014–2019 time span. The results showed that there is a positive correlation between the oil price volatility and the stock market return in OPEC member countries. In addition, there is a greater correlation between the oil price fluctuations and the stock return in countries where oil revenues make a bigger contribution to GDP. It was also concluded that the oil price volatility spreads to that of the stock returns. Manuscript profile

Open Access Article

15 - Asymmetric Effects of Stock Market shocks on Foreign Exchange Market in Iran: Application of DDC and APARCH Models
Mansoreh Zeraati Masoud Soufi Majidpour Mamood Mahmoodzadeh Mhdi Fathabadi

10.30495/eco.2023.1995289.2787

AbstractIn this paper, the asymmetric effects of stock market shocks on the exchange rate in Iran were evaluated using the daily data from 20/03/2016 to 21/06/2023 using cointegration and APARCH methods. The evidence shows that both shocks (positive/negative) are repeat More

AbstractIn this paper, the asymmetric effects of stock market shocks on the exchange rate in Iran were evaluated using the daily data from 20/03/2016 to 21/06/2023 using cointegration and APARCH methods. The evidence shows that both shocks (positive/negative) are repeatedly found in the Iranian stock market. Out of 2642 days, 1601 days of the market had negative returns and 1041 days had positive returns. In 511 days the market has fluctuated more than one standard deviation (big shocks). Estimates show that there is a strong long-term relationship between these two markets. The findings showed that the reaction of exchange rate to the positive and negative shocks of the stock market is asymmetric and has a long-term effect on the exchange rate. The behavior of the exchange rate towards negative and positive impulses is cyclical. The big negative shocks in the stock market gradually increase the return of exchange rate and eventually this effect does not disappear and puts the exchange rate at a higher level. But the effect of the big positive shocks in the stock market on the exchange rate is dampening. Negative shocks have a greater impact on conditional volatility compared to positive momentum. Also, the fluctuation of the stock market shows a very stable pattern. Keywords: shocks, stock market, exchange rate, asymmetric, APARCH.JEL Classification: G19, N25, F31, C58 Manuscript profile

Open Access Article

16 - An Empirical Examination of Stability, Predictability and Volatility for Capital Markets in Persian Gulf Rim
yadollah Dadgar Behzad Vamaziari

This paper examines the dynamic relationship of stock markets, stability, predictability, volatility, and persistence of shocks volatility of stock markets in Iran, Saudi Arabia, United Arabic Emirates, Qatar, Bahrain and Oman. In this paper, Generalized Autoregressive More

This paper examines the dynamic relationship of stock markets, stability, predictability, volatility, and persistence of shocks volatility of stock markets in Iran, Saudi Arabia, United Arabic Emirates, Qatar, Bahrain and Oman. In this paper, Generalized Autoregressive Conditional Heteroskedasticity model (GARCH) and Autoregressive Moving Average model (ARMA) are implemented by using monthly data during 1990-2010. The results indicate that stock market doesn’t have notable predictability in Iran and there is Cluster volatility for return of stock in most markets and almost, in none of these markets except Oman, explosive volatilities are observed. It is also indicated that the return for markets of Bahrain and Oman doesn’t have stability in significant level of 5 percent and for Iran it doesn’t have stability and durability in significant level of 1 percent. In addition, although the markets of these countries have high capacities for return of investment, but, in particular, the findings show a low correlation between these markets. Also, the results for the period in question explain that none of these markets has the ability of leadership among others. Manuscript profile

Open Access Article

17 - Identifying Regime Switching of Stock Market Returns in Iran
Seyed Yahya Abtahi Hamed Nikfetrat

Financial markets tendency to a sudden shift as a result of changes in the investor behavior can lead to the appearance of different regimes of the price and returns in these markets. This paper, the switching behavior of different regimes in Tehran Stock Market will be More

Financial markets tendency to a sudden shift as a result of changes in the investor behavior can lead to the appearance of different regimes of the price and returns in these markets. This paper, the switching behavior of different regimes in Tehran Stock Market will be investigated through returns (TEDPIX) indexation Switching model during 2006-2011. The results represent that there are 3 positions or regimes for this market. One has a negative return average and two others have a positive returns average. Also, the stability of the regimes has a positive but low returns average and the change of other regimes to this one is of high probability in this market. Manuscript profile

Open Access Article

18 - The impact of economic instability on the Iranian stock market with an emphasis on the EPU index - the uncertainty of economic policies.
Damon Hedayatpour mohammad khezri bijan safavi

Governments play a colorful role in the capital market as a major observer and policymaker in determining the factors affecting stock returns. The higher the level of government involvement in the economy, is twofold, because these countries have irregular financial mar More

Governments play a colorful role in the capital market as a major observer and policymaker in determining the factors affecting stock returns. The higher the level of government involvement in the economy, is twofold, because these countries have irregular financial markets and changes in government policies can cause macroeconomic variables and the financial markets of these countries to face many problems. In recent years, the biggest impact, whether official or unofficial, on the capital market has been due to economic policies and related uncertainties. In this regard, in this study, the impact of economic policy uncertainty on the Iranian stock market during the period 1370 to 1399 has been investigated. For this purpose, data from Iran Statistics Center, Program and Budget Organization and Central Bank were used and data analysis was done using VAR vector autoregression model and EVIEWS software. There has been a significant uncertainty of economic policies on the Iranian stock market due to unexpected and unforeseen changes and political shocks during the period under review. Manuscript profile

Open Access Article

19 - The News Impact of Petrochemical Feedstock Prices Increase on Tehran Stock Market
سعید نایب منیژه هادی نژاد فرشته شمس صفا

Abstract Capital market as a bridge between "individual and institutional savers" and "investors need funds" by doing the two important duty: "to finance long-term" and " risk management" play an important role in increasing the reliability and volume investment, espec More

Abstract Capital market as a bridge between "individual and institutional savers" and "investors need funds" by doing the two important duty: "to finance long-term" and " risk management" play an important role in increasing the reliability and volume investment, especially in long-term economic activities. Petrochemical companies known as chemical industry; which is the largest market participants on the Tehran Stock Exchange; As the daily average trading value has been allocated 21% of the total value of daily trading in stock market at August 92. The petrochemical industry has created the added value with the sale of crude oil and gas; in addition to has created huge resources, by collecting small savings society have been a considerable share of the stock market trading. Petrochemical gas feed price increase is the subjects that experts and economic decision-making will be discussed along time ago in the media, that in the 93 budget approved by the Assembly were approved in 1392. The present study aimed to investigate the impact of feedstock price increases on Tehran stock market indices. In this study, time series data on a daily basis from the date of 01/07/91 to 30/07/93 have been analyzed the ARCH family models and Virtual variables. The results suggest that increasing the price of feedstock's approval before Tehran had a significant effect on stock market indices and the yield is influenced by a positive trend. Manuscript profile

Open Access Article

20 - Investigating the Causal Nexus Between Economic Growth, Banking Sector Development, Capital Markets Development and Macroeconomic Variables in Iran
Zarir Negintaji Hassan GolmoradiAdinevand MortezaAli Sadeghinejad

10.30495/fed.2022.697611

AbstractOne of the most important issues of economics is investigating the factors affecting economic growth and their impact. Some theorists believe that the development of the financial sector, including the development of the banking sector and the capital market, al More

AbstractOne of the most important issues of economics is investigating the factors affecting economic growth and their impact. Some theorists believe that the development of the financial sector, including the development of the banking sector and the capital market, along with macroeconomic factors can provide the necessary basis for increasing economic growth. Indeed, there is a serious argument that a weakened ﬁnancial system are trapped in a vicious circle where low levels of financial development will lead to poor economic performance and poor economic performance will lead to lower financial development.This study examines the relationship between economic growth, banking sector development, capital market development and some important macroeconomic variables. For this purpose, first the combined indicators of banking sector development and capital market development based on the principal component analysis (PCA) method are applied and then using vector autoregressive model and the Granger causalities test, Causal nexus between variables for time series data of Iranin economic between 1363-1397 Is examined.The results of this study show that there is a mutual Causal nexus between economic growth and financial development both in terms of banking sector development and capital market development, so financial development in terms of both banking sector development and market development Capital have reciprocal relation with economic growth. The causality between the development of the banking sector and the capital market is also two-sided and this suggests the importance of integrated financial sector development. Manuscript profile

Open Access Article

21 - Data mining of Iranian stock market by modeling complex network filtering based on MST
Hadi Esmaeilpour Moghadam

10.30495/fed.2023.700134

Abstract One of the most important problems in modern finance is finding efficient ways to summarize and visualize stock market data. Modeling the filtering of complex networks in the stock market allows this to be achieved by reducing the market size, obtaining reliab More

Abstract One of the most important problems in modern finance is finding efficient ways to summarize and visualize stock market data. Modeling the filtering of complex networks in the stock market allows this to be achieved by reducing the market size, obtaining reliable information with less disturbance. Since stock price changes are not independent of each other, the study of the correlation between stock price changes provides a better understanding of market performance for investors. Stock market analysis based on complex networks allows studying the correlation of stock prices. In this paper, using the stock market data in the Tehran Stock Exchange, the Iranian stock market network is created by the threshold method, and then the network filtering is based on MST. The results show that the filtration modeling of Iran's stock market network based on the MST can form a subset of the stock market that follows the performance of the entire market with a significant reduction in size and has a similar degree of diversification with the entire market. These analyzes provide a more in-depth insight into the structure of the stock market while reducing the size. Manuscript profile

Open Access Article

22 - Examining the Interdependence Structure of Iran's Stock Market and MENA Countries
Seyed Mohammad Reza Khatami Gholam Reza Zomorodian Mir Feiz Fallah Shams Layalestani Mehrzad Minouei

10.30495/fed.2023.698852

AbstractIran's stock market should be related to the stock market of other countries, especially the countries of the region; This connection and dependence accelerates the accumulation and formation of capital and provides many opportunities to investors. With this app More

AbstractIran's stock market should be related to the stock market of other countries, especially the countries of the region; This connection and dependence accelerates the accumulation and formation of capital and provides many opportunities to investors. With this approach, the present study has investigated the dependence structure of the stock market of Iran and MENA countries. In order to achieve this goal, first, information about the total stock market index of MENA countries from September 2015 to June 2022 was collected and then the fluctuations of the total stock market index of the countriescalculated using wavelet analysis. In the continuation, the Vector Autoregresive (VAR) model estimation and Granger causality test regarding the relationship between the stock market fluctuations of Iran and the countries of the region was carried out. Finally, the quantile regression was estimated and the upper and lower limits of the correlation between Iran's stock market and MENA countries were determined. The results of the wavelet analysis showed that, the range of fluctuations of the total stock market index in MENA countries has increased, over time. Based on the results of the VAR model and the Granger causality test, Iran's stock market is unilaterally affected by the stock market fluctuations of Kuwait, Oman, Qatar, Saudi Arabia, the United Arab Emirates and Lebanony؛ if fluctuations occur in the stock market of these countries, This work will be transferred to the Iranian stock market immediately. In addition, there was no sign of the impact of the  stock market flactuations of Jordan and Bahrain as well as North African countries including Egypt, Tunisia and Morocco on Iranian stock market. The results of quantile regression also showed that the affectability of Iran's stock market from fluctuations is different for different countries and quantiles. In this regard, in the months when the volatility in the stock market of the mentioned countries was less, the effect of the fluctuations on the Iranian stock market was less, and on the other hand, in the months when significant fluctuations occurred in the stock market, the amount of volatility transferred to the Iranian stock market was also higher. Manuscript profile

Open Access Article

23 - The Relationship Between High of a Stock Price and Its Return Under Different Stock Market Index Levels in Listed Companies
Mohsen Dastgir Mohammad Kazemi

The aim of this study investigated the relationship between the 52 week high of a stock price and its return under different stock market index levels. In addition In this study the relationship between short-term trend of more including 5-day high, 20-day high, and 60- More

The aim of this study investigated the relationship between the 52 week high of a stock price and its return under different stock market index levels. In addition In this study the relationship between short-term trend of more including 5-day high, 20-day high, and 60-day high are considered under different stock market index levels. For statistical sampling method systematically removed, the sample includes 22 companies accepted The Tehran Stock Exchange was ed and Evaluated. and In order to analyze the data and test the hypotheses Research of regression with the Combined data used is. The results test the hypotheses Research Shows the a stronger positive relationship between 52-week high and return the stock index is greater than the 52-week average, as a weaker positive relationship between 52-week high and return Exists the stock market index is below the 52-week average. Despite the positive relationship between 52-week high and return, This ratio can be used to predict future stock returns. Manuscript profile

Open Access Article

24 - The Impact of Using Dimensionality Trading Strategies on Forecasting the Daily Stock Returns of the Panel Data Method.
Ehteram Rahdarpoor heshmatolah asgari

Earnings forecasting systems provide timely decisions by providing timely information. Earnings forecasting by management is widely used in assessing profitability, profit-related risk, stock price judgments, and valuation models (Manfred & Inky, 2014). Our purpose More

Earnings forecasting systems provide timely decisions by providing timely information. Earnings forecasting by management is widely used in assessing profitability, profit-related risk, stock price judgments, and valuation models (Manfred & Inky, 2014). Our purpose in this study is to investigate and investigate the impact of dimensionality trading strategies on predicting daily stock market returns by the fuzzy logic approach of firms. This study is a library-analytic-causal study based on panel data analysis (panel data). In this study, the financial information of 19 companies listed in Tehran Stock Exchange during the period 2011-2018 was reviewed. The results showed that using stock trading strategy and stock price reduction strategy have significant effect on prediction of daily stock market returns, but trading volume reduction strategy has no significant effect on market forecasting. I hope to accept my article. I suggest the editor remove this restriction on the number of words used in the abstract for the English text. Manuscript profile

Open Access Article

25 - Presentation Optimization portfolio model from market index prediction model despite of the long term memory with neural network
saeed moshtagh Farhad Hosseinzadeh Lotfi Esmail fadayi nezhad

The effect economic variables at investment markets is the important subject in financial theory. Tehran stock exchange to have special position in country financial system and efficiency development investment market is dependent being active this constitution in count More

The effect economic variables at investment markets is the important subject in financial theory. Tehran stock exchange to have special position in country financial system and efficiency development investment market is dependent being active this constitution in country. Two important function Tehran exchange market are gathering small savings and available liquidity in society and guide them to production process in country. In this way presentation optimization portfolio model from market index prediction model and exchange return rate is impact. One of the tools with high accuracy and applicable for predicting was neural network why so accuracy isnot decrease with increasing thesis data and its accuracy was very higher than regeression, linear and non linear for prediction. After some tests from artificial neural network and adaptive neuro fuzzy inference system and support vector regression with matlab software has been done. We design a model with high accurancy for predicting rate of liquidity index and total return index and then we design Ideal optimization portfolio. Manuscript profile

Open Access Article

26 - Long Memory usage in Portfolio Optimization using the Copula‌ Functions: Empirical evidence of Iran and Turkey Stock Markets
Hasti Chitsazan Motahareh Moghadasi Reza Tehrani Mohsen Mehrara

The main objective of this paper is to optimize and manage the portfolio by using copula functions. Copula function has been using as a powerful and flexible tool for the determination of dependency structure. Research data include the Iran stock market index and the Tu More

The main objective of this paper is to optimize and manage the portfolio by using copula functions. Copula function has been using as a powerful and flexible tool for the determination of dependency structure. Research data include the Iran stock market index and the Turkey stock market index. The present study seeks to find the effect of long memory on the structure of dependence between returns and optimal portfolio structure. In the first step, we compare the dependence structure between the net returns and the filter generated from the ARFIMA-GARCH process returns to investigate the impact of long memory on them. In the second step, the influence of the dependence structure between net returns and filtered returns on portfolio optimization has been investigated. The results indicated that the model can be fitted to the return of time series and the best pattern is the frank pattern. The results also indicated the existence of long memory in the mean and variance of stock return on the Iran stock market and the existence of long memory in the variance of the Turkey stock market. All models allocate more percentage of capital to Iran stock market and lower percent to Turkey stock market. Manuscript profile

Open Access Article

27 - Markov switching regime model in order to assess asset pricing and uncertainty in the stock market
Maryam Eydizadeh Hasan Ghodrati Ghazaani Aliakbar Farzinfar Hossein Panahian

The current research has been carried out with the aim of designing the Markov switching regime model in order to evaluate the asset pricing and uncertainty in the stock market in Iran's stock market. In order to estimate the Markov model by systematic elimination metho More

The current research has been carried out with the aim of designing the Markov switching regime model in order to evaluate the asset pricing and uncertainty in the stock market in Iran's stock market. In order to estimate the Markov model by systematic elimination method, 130 companies were selected and based on their performance, 1400 were divided into two categories, the top 50 companies and the lowest companies, and based on random processes to determine Markov regimes, investment portfolios were formed and based on the estimation of the Markov regime were estimated. The regression estimation of the relationship between efficiency and effective factors in the companies under investigation, regardless of the categories, showed that there was an inverse relationship between risk, normal and Laplace uncertainty degrees with efficiency, and the only determining factors were market risk and asset efficiency. , return on capital, profit volatility, cash flows, company value, asset liquidity, growth opportunities, asset turnover and company size have a significant relationship with stock returns. Among top companies, lower additional returns are usually associated with lower risk fluctuations and higher degree of uncertainty, and higher share risk spending is associated with higher risk fluctuations and lower degree of uncertainty. Manuscript profile

Open Access Article

28 - Development of stock portfolio trading systems using machine learning methods
Ali Heidarian Mohadeseh Moradi Mehr Ali Farhadian

Investment portfolio theory is an important foundation for portfolio management, which is a well-studied but not saturated topic in the academic community. Integrating return forecasting in investment portfolio formation can improve the performance of portfolio optimiza More

Investment portfolio theory is an important foundation for portfolio management, which is a well-studied but not saturated topic in the academic community. Integrating return forecasting in investment portfolio formation can improve the performance of portfolio optimization model. Since machine learning models have shown a superiority over statistical models, in this research, a approach of forming the stock portfolio in two stages is presented. first step, by implementing neural network, suitable stocks are selected for purchase, in the second step, using the (MV) model, the optimal weight in investment portfolio is determined for them. In particular, the stages of selecting suitable stocks and forming a stock portfolio are the two main stages of the model developed in this research. first step, a convolutional neural network model is proposed to predict stock buy and sell points for the next period.second step, stocks that are labeled as buys are selected as stocks suitable for buying, and MV model is used to determine their optimal weight in the stock portfolio. The results obtained using 5 shares of Tehran stock market as a study sample show that the efficiency and Sharpe ratio of proposed method is significantly better than traditional methods (without filtering suitable stocks) Manuscript profile

Open Access Article

29 - Investigating The Relationship between XBRL Voluntary Disclosure and Stock Market Valuation and The Role of Corporate Governance of listed companies in Tehran Stock Exchange (TSE)
Javad Hesari Hadi Saeidi

10.30495/afi.2021.1921144.1008

The purpose of present study is to investigate the relationship between voluntary disclosure of extensible financial reporting language and stock market valuation and the role of corporate governance in companies listed on the Tehran Stock Exchange. For this purpose, 14 More

The purpose of present study is to investigate the relationship between voluntary disclosure of extensible financial reporting language and stock market valuation and the role of corporate governance in companies listed on the Tehran Stock Exchange. For this purpose, 140 companies during the period 2014-2019 were surveyed. In this research, the information related to the variables was extracted from Rahavard 3 software and was summarized, classified, calculated by Excel software and finally hypotheses tested by Eviews and stata software at a confidence level of 0.95 . The findings of the first hypothesis showed that there is a significant and positive relationship between voluntary disclosure of extensible financial reporting language and stock market valuation in companies. Also, the findings of the second hypothesis showed that there is a significant and positive relationship between corporate governance and stock market valuation in companies. In addition, the findings of the third hypothesis showed that corporate governance has a positive and significant effect on the relationship between voluntary disclosure of extensible financial reporting language and stock market valuation in companies. Manuscript profile

Open Access Article

30 - Modeling criteria for determining and commercializing the optimal portfolio of agricultural stocks in Tehran Stock Exchange
Sina Shirtavani Mahdi Homayounfar Keyhan Azadi Amir Daneshvar

Investing in financial markets and using investment opportunities in the capital market is clearly one of the most important issues in achieving sustainable economic growth and development, especially in developing countries. Therefore, it is important that the criteria More

Investing in financial markets and using investment opportunities in the capital market is clearly one of the most important issues in achieving sustainable economic growth and development, especially in developing countries. Therefore, it is important that the criteria for determining the optimal stock portfolio in the Tehran Stock Exchange market are specified and researchers use a standard index to determine the optimal stock portfolio so that commercialization patterns of agricultural stocks can be modeled and determined. Based on this, the present study was designed with the aim of answering the question of what are the effective criteria in measuring the risk and return of the portfolio of agricultural stocks in the Tehran Stock Exchange. The method of conducting the current research was a field survey using a survey of 30 managers of companies active in the field of agriculture in the Tehran Stock Exchange market. The data collection tool was a researcher-made questionnaire, and the data analysis tool was Spss version 23, Topsys Fazi and Lisrel version 5.8. The results of the data analysis showed that the most important appropriate criteria in determining the optimal stock portfolio are profitability, growth, risk, liquidity and market criteria in the order of first, second, third, fourth and fifth priority. Also, the appropriate model for determining the optimal portfolio risk of agricultural stocks included: financial and systematic risk, commercial risk, and market price, as well as the appropriate model for determining the optimal portfolio return of agricultural stocks included: profitability, growth, and... liquidity. Manuscript profile

Open Access Article

31 - Criminology of stock market crimes as economic crimes in Iranian law
Mohammad Sadeghi Javad Rajabi Salman Hassan Hajitabar

Criminal protection of the capital market is considered as a separate matter in the rights related to investment. The purpose of this support is to protect the rights of shareholders, to create order in the stock trading market, and also to prevent harmful behaviors. In More

Criminal protection of the capital market is considered as a separate matter in the rights related to investment. The purpose of this support is to protect the rights of shareholders, to create order in the stock trading market, and also to prevent harmful behaviors. In order to achieve these objectives, it is necessary that the determined criminal execution guarantees are appropriate to the committed behaviors and have been formulated and approved in order to achieve these objectives. The 6th and 7th degree punishments, which were modified and suspended in different ways in the reforms of 2019, cannot be considered as a deterrent and, of course, a reformer in the case of harmful stock market behavior. On the other hand, due to the spread of stock market activities at the community level and the involvement of different groups of people in this economic scene, and following the occurrence of some harmful behaviors with a wide range, the proportion between the behavior criminality and determined legal punishments, to be violated in an obvious way. It seems that in order to compensate for this shortcoming in Iran's criminal policy, it is necessary to carry out a fundamental review of criminal behavior and on the other hand, taking into account the amount of damage caused to individuals and the economy as a whole, appropriate crimes should be established that have deterrent power and restorative properties. to have Manuscript profile

Open Access Article

32 - Personality types of stock market investors and their impact on managerial decisions: a study using agent-based simulation.
Seyed Farhad Gooran Heydari Abbas Toloui eshlaghi Ahmad Ebrahimi Mohammad Reza Motadel

Given the complexities of the economy and considering the influential role of financial markets on the economy, as well as the importance of the economy for the country and society, methods and tools that can effectively and efficiently assess, predict, control, and gui More

Given the complexities of the economy and considering the influential role of financial markets on the economy, as well as the importance of the economy for the country and society, methods and tools that can effectively and efficiently assess, predict, control, and guide the market and economy in a manner accessible to policymakers such as the Ministry of Economy and Finance, Securities and Exchange Organization, Central Bank, High Council of Stock Exchange, or Ministry of Industry, will be in a special position. This effectiveness and efficiency are achieved when attention to hidden layers of system relationships such as collective human behavior, which adds to the complexity of the market and economy, is not overlooked. In the present study, by employing the capacities of agent-based simulation in a mixed-method research, human behavior is combined using quantitative and qualitative methods and simulation technology as the third method of scientific research, in addition to comparative and inductive approaches. The research is descriptive and applied, and agent-to-agent simulations of real market players in NetLogo software with modeling the market, validation using Rust and Rand tests, and sensitivity analysis using the Borgonovo approach have been conducted. The results of the study indicate a direct relationship between investors' risk tolerance and stock market returns and the overall stock market index growth. With the prediction made in the designed model, in addition to risk type, the possibility of assessing and monitoring other behavioral characteristics of investors, as well as with consideration of the definition of other factors for other active market players, the study of their behavior's impact on the overall index and other important indicators is also available. Therefore, in this study, for the first time, the influence of the behaviors of macroeconomic variables on the behavior of all players present in the stock market was modeled and simulated using agent-based simulation capacities. Manuscript profile

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