بازار سهام

Open Access Article

1 - The effect of implementing web-based financial reporting model on stock market and tax avoidance
Sara Makvandi Bahareh Banitalebi Dehkordi Hamid Reza Jafari

Purpose: The purpose of this research is to first provide a comprehensive index to measure the implementation of financial reporting on the web and then to examine the effect of the present model. Methodology: This research is developmental-applicative in terms of resu More

Purpose: The purpose of this research is to first provide a comprehensive index to measure the implementation of financial reporting on the web and then to examine the effect of the present model. Methodology: This research is developmental-applicative in terms of results and on the stock market and tax avoidance among 167 companies admitted to the Tehran Stock Exchange during the years 2009 to 2020. The components of the web-based financial reporting implementation model were determined through interviews and distribution of questionnaires among experts, and the weights and importance of the criteria were determined using Shannon's entropy multi-criteria decision-making method. The relationship between the implementation of online financial reporting as a hidden variable and its measurement items was also measured through confirmatory factor analysis. Findings: Based on the findings of the research, the components of the presented model include 8 indicators of organizational factors, financial, economic, social, political, human, technology and finally the cultural factor along with 67 sub-factors. Also, the findings of the quantitative section based on structural equations show web-based financial reporting improves stock market efficiency and reduces tax avoidance. Originality: A web-based financial reporting system is one of the new approaches whose implementation and implementation plays an influential role in the growth and development of financial markets and consequently tax avoidance, because through the reduction of information processing costs, the possibility of better tax supervision and by increasing the quality of information, it leads to stronger corporate governance and less information asymmetry. Manuscript profile

Open Access Article

2 - The predictive ability and information content of aggregate earnings beyond disaggregate earnings
R. Shabahang Z. Lashgari

The predictive ability and explanatory power of an aggregate model of reported earnings is compared to adisaggregated model of reported earnings by examining their associations with contemporaneous stockreturns and future earnings. The change in annual reported earnings More

The predictive ability and explanatory power of an aggregate model of reported earnings is compared to adisaggregated model of reported earnings by examining their associations with contemporaneous stockreturns and future earnings. The change in annual reported earnings is disaggregated into changes in revenue,operating margin, and other expenses in order to examine whether they individually and jointly conveyinformation about future earnings that is not reflected in aggregate earnings and whether this incrementalpredictive ability is reflected in security prices.This study contributes to the information content literature in two ways. First, it examines the informationand valuation link between the operating income components of reported earnings and future earnings andstock returns. Second, the empirical analysis is conducted on an industry basis and over a eight-year periodto examine how the predictive ability and information content of earnings and its components vary acrossindustries and over time.The results indicate the following. First, changes in revenue, operating margin, and other expenses (thedisaggregated model) jointly have not predictive ability and information content beyond the change inaggregate reported earnings with respect to one-year ahead annual earnings and contemporaneous annualstock returns. Second, the predictive ability and, information content of these earnings components as well asaggregate earnings varies across industries and varies over time Manuscript profile

Open Access Article

3 - Designing a smart algorithm for determining stock exchange signals by data mining
pantea maleki-moghadam akbar alem-tabriz esmael najafi

One of the most important problems in modern finance is finding efficient ways to summarize and visualize the stock exchange market. This research proposes a smart algorithm by means of valuable big data that is generated by stock exchange market and different kinds of More

One of the most important problems in modern finance is finding efficient ways to summarize and visualize the stock exchange market. This research proposes a smart algorithm by means of valuable big data that is generated by stock exchange market and different kinds of methodology to present a smart model.In this paper, we investigate relationships between the data and access to their latent information with an enormous amount of data which has a significant impact on the investor’s decisions. First, extracting technical indicators from different point of the charts based on two groups of stock exchanges like petrochemical and automotive during 1387 to 1396, then analyzing clusters by means of k-means algorithm and data mining methodology. The contributions of this paper are: 1. To create a model with twenty technical indicators in different stock exchange companies and industries.2. To evaluate the proposed model and finally to predict the sales signals at the maximum points which has significant performance and can be predicted with acceptable accuracy. Manuscript profile

Open Access Article

4 - Introducing an Early Warning System for High Volatility in Tehran Stock Exchange: Markov Switching GARCH Approach
Younes Nademi Esmaeil Abounoori Zahra Elmi

The goal of this paper is to introduce a new model to predict the high volatility of Tehran Stock Exchange. For do it, a Markov switching GARCH models was modeled. With Estimating this model, the transition probability matrix of two states of high and low volatility, wa More

The goal of this paper is to introduce a new model to predict the high volatility of Tehran Stock Exchange. For do it, a Markov switching GARCH models was modeled. With Estimating this model, the transition probability matrix of two states of high and low volatility, was calculated. Using this matrix, we can forecast the probability of market fluctuations in the each period ahead and we can obtain a suitable model for forecasting high volatility. According to the model selection criteria consist of AIC and BIC, the Markov regime switching GARCH model with GED distribution is the best model for forecasting volatility in Tehran Stock Exchange. Based on this model, in this paper, an Early Warning System has been introduced in Tehran Stock Exchange. This model can be used for policy makers to prevent the occurrence of high volatility and to increase the security of investors in Tehran Stock Exchange. Manuscript profile

Open Access Article

5 - Investigation of the Factors Affecting the Deviation of Stock market Prices from the Present Value of Future Cash Flows in Companies Listed on Tehran Stock Exchange
S. Yousef Ahadi Serkani1 Elnaz Omrani

Today, stock valuation is one of the most important matters in the field of financial research, because by investing in the stocks of other companies, assuming that optimal portfolio are selected, the investors Constantly seek maximum return based on a given level of ma More

Today, stock valuation is one of the most important matters in the field of financial research, because by investing in the stocks of other companies, assuming that optimal portfolio are selected, the investors Constantly seek maximum return based on a given level of market risk or minimum risk based on a given level of return, and project the future stock prices according to the daily exchange of many stocks. Financial researchers, propose various methods for projecting the value of companies and make comparisons between them. The present study compares the stock market price of 80 companies listed on the Tehran Stock Exchange with the discounted model of Free Cash Flow For The Firm (FCFF), over a 10-year period (2002-2011) and calculates the difference between them to investigate the effect of factors such as financial leverage, inflation, the amount of fixed and intangible assets on the difference. The findings from the analysis of combined data using multivariate regression models show that inflation and amount of fixed assets from Among the factors investigated in this study, have a significant negative relationship with the difference, deviation of the prediction value based on discounted model of Free Cash Flow For The Firm (FCFF), from the stock market price. Financial leverage and the value of intangible assets had no significant relationship with the deviation of the prediction value from the stock market price. Manuscript profile

Open Access Article

6 - The Design and Calibration of a New Keynesian DSGE Model with Stock Market Dynamics in Iran Economy
Ahmad Salahmanesh Seyed Aziz Arman Ebrahim Anvari Abdollah Pourjavan

Financial markets especially capital market can make strong connections with other parts of the economy. After 2007/2008 financial crisis and global extensive economic recession, the economists show interest in the financial markets function again. The purpose of this s More

Financial markets especially capital market can make strong connections with other parts of the economy. After 2007/2008 financial crisis and global extensive economic recession, the economists show interest in the financial markets function again. The purpose of this study is to design and calibrate a Dynamic Stochastic General Equilibrium new Keynesian model with Stock market dynamism to investigate the stock market channal effectiveness mechanism on macroeconomics variables. So an open DSGE model containing households, firms, banks, government and central bank was designed and after log-linearization, then the model’s parameters were calibrated using quarterly data 1996:3-2013:2 and experimental studies results. This study shows that a negative shock to stock price index in the DSGE model via financial accelerator and bank capital channel will result in decrease production, consumption, investment, deposits and inflation and therefor the macroeconomic variables such as consumption, investment and production have stronger relationship with stock market dynamism Manuscript profile

Open Access Article

7 - Non-classical oscillator model in stock market for selected companies: An approach of quantum mechanics
Sahar Behjat Hashem Zare Ladan Rezaei

The analysis of fluctuations of stock market indexes is one of the favorite topics for econophysics experts. The present study in the framework of quantum mechanics from the non-classical oscillator model is conducted an analysis of stock market fluctuations in Iran. Th More

The analysis of fluctuations of stock market indexes is one of the favorite topics for econophysics experts. The present study in the framework of quantum mechanics from the non-classical oscillator model is conducted an analysis of stock market fluctuations in Iran. This study has been conducted it’s analysis in different groups in the stock market about six active firms. In general, by calibrating the pattern and taking into account the different energy levels (higher energy indicates more information transparency), the results point to the fact that by increasing the level of information in the companies surveyed, it can lead to faster price adjustments and a lowering of the proposed bid and sale price. In other words, with the increase in the energy level, which indicates a decrease in information asymmetry, we can expect that the speed of the attract of news in the market will be slowly and so Transactions and liquidity in stock market increase. Manuscript profile

Open Access Article

8 - سیاستهای پولی و مالی و کارایی بازار سهام: شواهد تجربی در ایران
کیومرث شهبازی ابراهیم رضایی ابوالفضل عباسی

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Open Access Article

9 - Stock prices and exchange rates in Tehran stock market
مانی موتمنی فائزه آریانی

This paper investigates the linkage between total index of Tehran stock exchange(TSE) and non-official exchange ratesby daily data from May 2011 to May 2013. In thisperiod, exchange rate tripled and TSE doubled. Johansen Cointegration test and VECMmodel applied to speci More

This paper investigates the linkage between total index of Tehran stock exchange(TSE) and non-official exchange ratesby daily data from May 2011 to May 2013. In thisperiod, exchange rate tripled and TSE doubled. Johansen Cointegration test and VECMmodel applied to specify this linkage. Exchange rates and TSE found to be Co-integrated.TSE has positive response to exchange rates but exchange rate has negative response toTSE and it is weak exogenous. Manuscript profile

Open Access Article

10 - Using multi-fractal method in ranking portfolio efficiency
Mahnaz Doosti Morteza Rahmani

10.30495/jfksa.2022.19837

Investors around the world are always looking for safe investments in the capital markets of countries or the stocks of their companies. Therefore, finding a practical and scientific way to identify the best investment opportunity will have a very positive impact on the More

Investors around the world are always looking for safe investments in the capital markets of countries or the stocks of their companies. Therefore, finding a practical and scientific way to identify the best investment opportunity will have a very positive impact on the choice of an investor. An efficient stock is a stock whose price information is reflected in the market and the use of past stock prices over a period of time to analyze future trends and fluctuations in stocks leads to correct and citationable results. In this study, assuming poor performance, a stock portfolio consisting of 11 shares accepted in the Iranian capital market has been examined. In the sense that through the stock price information from 95 to 99 years, the trend and intensity of fluctuations have been examined. Because the liquidity of stocks has increased and it will be safe to invest. The results of this research using multi-fractal method show more detailed details of the efficient stock ranking steps in a portfolio. Manuscript profile

Open Access Article

11 - 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

12 - The Effect of Exchange Rate Volatility on the Iran Stock Market Exchange
مهدی پدرام

This paper looked at the relationship between Stock Markets and ForeignExchange rates, and determined whether movements in exchange rates had an effecton stock market in Iran. The Exponential Generalized Autoregressive ConditionalHeteroskedascity (EGARCH) model was used More

This paper looked at the relationship between Stock Markets and ForeignExchange rates, and determined whether movements in exchange rates had an effecton stock market in Iran. The Exponential Generalized Autoregressive ConditionalHeteroskedascity (EGARCH) model was used in establishing the relationship betweenexchange rate volatility and stock market volatility. It was found that there waspositive relationship between exchange rate volatility and stock market returns.Additionally, there is volatility persistence in most of the macroeconomic variables. Itwas also revealed that an increase (decrease) in trade deficit and expectation in futurerise in trade deficit would decrease (increase) stock market volatility. In addition, theconsumer price index has a significant relationship with stock market volatility. Manuscript profile

Open Access Article

13 - Dependency structure between the markets of Iran, Turkey, China and the United Arab Emirates, according the approach of Copula – Markov Switching
S. Mozaffar Mirbargkar Maryam Sohrabi

Studying, and analyzing the dependency structure between the markets at the economic boom and bust have been suggested by the researchers and theorists of different areas. Furthermore, there have been various models to explain the correlation between the financial marke More

Studying, and analyzing the dependency structure between the markets at the economic boom and bust have been suggested by the researchers and theorists of different areas. Furthermore, there have been various models to explain the correlation between the financial markets. Among them, the Copula model has a high ability to recognize the asymmetric dependence structure. The present research is going to study the dependency structure in the financial markets of four countries; Iran, the United Arab Emirates, Turkey and China at the boom and bust cycling in the period of 2014-2017, applying conditional heterogeneity variance model (GARCH), the Markov switching approach, and the Copula functions. The results illustrate that there is an asymmetric structure in every regime, as at the recession time, the correlation between these markets and Iranian market would be higher than the boom time. Manuscript profile

Open Access Article

14 - 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

15 - Uncertainty in macroeconomic Assets Market: An Approach of Stochastic Portfolio
Hashem Zare Zeinab Rezaei Sakha Mohammad Zare

Inferring and inducing among the relations for many of the phenomenas is common in most of sciences. Accordingly, econophysics experts are trying to fill the gap between microeconomics and macroeconomics to explain complex financial systems, using the statistical physic More

Inferring and inducing among the relations for many of the phenomenas is common in most of sciences. Accordingly, econophysics experts are trying to fill the gap between microeconomics and macroeconomics to explain complex financial systems, using the statistical physics tools. Using a dynamic econometric model, the impact of exchange and gold markets shocks on the stock market is studied. The results show the more significant contribution of the foreign exchange market shocks than the gold market shocks on the fluctuations of stock market. Furthermore, this study forms an assumptive portfolio consisting of three assets including stock, exchange and gold and use random portfolio theory to analyze the risks and uncertainty. The level of uncertainty and risk is studied by using the characteristics of the Castaing, Gagne & Hopfinger distribution functions. The results indicate a high level of uncertainty and risk in the macroeconomic assets portfolio. In other words, the occurrence of financial crises in these markets is expected. Manuscript profile

Open Access Article

16 - The impact of stock market pressure on tax benefits based on the Ming-Chin Chen model (2015)
Hosein Norouzizadeh M. Reza Setayesh M. Hasan Janani

The main aim of this study was to investigate the impact of stock market pressure on tax benefits based on the Ming - Chin Chen model (2015). Using screening method, 113 companies were selected as sample. This retrospective research investigated the impact of the indepe More

The main aim of this study was to investigate the impact of stock market pressure on tax benefits based on the Ming - Chin Chen model (2015). Using screening method, 113 companies were selected as sample. This retrospective research investigated the impact of the independent variable of “ stock market pressure ” on tax benefits of studied companies . This was a semi - experimental applied descriptive - correctional study . It analyzed the financial statements of companies during 2010 - 2015 . A panel data analysis with random effects was used to analyze the data .A multivariate regression analysis was used to analyze the data . The results at a 95% confidence interval showed that there was a significant positive (direct) relationship between stock market pressures and tax benefits of companies listed in Tehran Stock Exchange. Manuscript profile

Open Access Article

17 - بررسی اثرنقدشوندگی بازار سهام بر نرخ فقر (منتخبی از کشورهای در حال توسعه و توسعه یافته)
زینب مریدی شهرام فتاحی کیومرث سهیلی

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Open Access Article

18 - بررسی تأثیر شوک های جهانی قیمت نفت خام و قیمت طلا بر بازار سهام ایران
لیلا جمالی جلیل خداپرست شیرازی

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Open Access Article

19 - Variables affecting the volatility of Tehran Stock Exchange Price Index (TEPIX)
عزت اله عباسیان سامان فلاحی حبیب سهیلی احمدی

The uncertainty and volatility of the stock market is peculiar features of capital markets. This paper examines the volatility of Tehran Stock Exchange Price Index (TEPIX) due to the degree of uncertainty in the relevant macroeconomic variables. To analyze the relations More

The uncertainty and volatility of the stock market is peculiar features of capital markets. This paper examines the volatility of Tehran Stock Exchange Price Index (TEPIX) due to the degree of uncertainty in the relevant macroeconomic variables. To analyze the relationship, we have used Vector Auto Regressive (VAR) and Conditional Variance Models (CVM) with quarterly data for the period of 1373-1388. Our findings show that a significant share of unpredictability in the TEPIX is due to its own endogenous variables. Moreover, the results indicate that price fluctuations in the parallel markets including housing and gold market also play an important role in the degree of the volatility. Manuscript profile

Open Access Article

20 - بررسی رابطه علیت بین رشد اقتصادی، تورم و توسعه ‏بازار سهام در ایران
راضیه گردشی الهام غلامی

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Open Access Article

21 - A review of information content between difference definite tax and declaration tax
احمد مدرس حمید زارعیان برجی

Among the topics which have been neglected or paid less attention in our country, is theconsideration of relative information resulted from the difference between the expressive anddefinite taxes of the companies. This research intends to investigate the scale of correl More

Among the topics which have been neglected or paid less attention in our country, is theconsideration of relative information resulted from the difference between the expressive anddefinite taxes of the companies. This research intends to investigate the scale of correlation ofthe difference related to expressive and definite tax of the companies and the value of thestock market and the output of the stocks. Also in this research the scale of correlation of thedifference related to expressive and definite tax of the companies with the low earning qualityand the value of its stock market are going to be examined. The research results show thatthere is not a significantly relation in this regard. Also in the companies with the low earningquality, the reason of difference related to expressive and definite tax does not play animportant role in the judgment of the companies’ work.The reason which can be mentioned for this lack of impression on the value of the stockmarket is that between the expressive interest by the tax clients and the income inclusive taxdesignated by tax foundation Manuscript profile

Open Access Article

22 - Investigation of the accounting conservatism effect on decision usefulness
Hashem Nikoomaram Hamidreaza Vakilifard Roohallah Dehghan Banadaki

This study analyzes the impact of accounting conservatism on decision usefulness.The hypothesis of the study were tested by making use of the mixed data of thecorporations accepted into the Securities Market from years 1381 to 1386. Thefindings of the study show that ac More

This study analyzes the impact of accounting conservatism on decision usefulness.The hypothesis of the study were tested by making use of the mixed data of thecorporations accepted into the Securities Market from years 1381 to 1386. Thefindings of the study show that accounting conservatism has no decision usefulness inthe Iranian Securities Market. In other words, against the given theory in the sharedconceptual framework, there were not observed any relations between conservatismand decision usefulness in Iran. It is possible that this issue is affected by theinefficiency of the Iranian market, which is dependent on some information other thanthe accounting and financial information, and is less affected by the financial andaccounting information. Manuscript profile

Open Access Article

23 - The Relationship between Exposing Business Model to Corporate Stock Market Value
Gholamreza Kurdestani Hossein Rastgouian

The purpose of this research is to investigate the relationship between disclosure of business model and market value of the company based on the components of business model over the period of 2009- 2018. for this purpose, the data of 140 accepted companies in tehran s More

The purpose of this research is to investigate the relationship between disclosure of business model and market value of the company based on the components of business model over the period of 2009- 2018. for this purpose, the data of 140 accepted companies in tehran stock exchange have been selected and tested.to measure the disclosure of business model from a checklist with five dimensions: company nature, strategy and objectives, resources and risks and relationships with relevant persons, outcomes and perspectives, firm performance, which is the were collected through the financial statements and reports of the corporate board of directors. in this study,we tried to enhance financial reporting by reporting business model and to provide adequate accountability from the management and finance sectors and in addition to the combination of two accounting disciplines and industrial management of other types of innovation results show that in total , disclosure of business model has no positive effect on stock market value. Manuscript profile

Open Access Article

24 - impact of corporate governance strength on stock market liquidity: Emphasizing criteria Amihud, transaction volume and bid-ask spread
Allah Karam Salehi

Researchers previous research show that the existence of appropriate corporate governance mechanisms increases the quantity and quality of information disclosed by the company and, as a result, reduces information asymmetry. Foreover, as information asymmetry decreases, More

Researchers previous research show that the existence of appropriate corporate governance mechanisms increases the quantity and quality of information disclosed by the company and, as a result, reduces information asymmetry. Foreover, as information asymmetry decreases, market liquidity increases. Accordingly, the purpose of this study is the impact corporate governance strength on stock market liquidity in listed companies on Tehran Stock Exchange. For this purpose, a sample of 120 companies during 2011-2017 was selected by systematic elimination sampling. The research method is library and correlation. Following Al-Jaifi et al. (2017), eight corporate governance features are used to measure corporate governance power and three different indicators (including Amihud’s measure, transaction volume, and bid-ask spread) are used to measure stock liquidity. Analysis and testing of hypotheses have been done with the help of generalized least squares regression (EGLS) and with panel data approach. The results show that there is a positive and significant relationship between corporate governance strength and stock market liquidity based on triple criteria, Amihud, Share turnover ratio and bid-ask spread. Manuscript profile

Open Access Article

25 - 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

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26 - 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

27 - Investigating the Impact of Stock Market Liquidity on Income Distribution (Selected from Developing and Developing Countries)
zeynab moridi shahram fatahi Kiomars Sohaili

Fair distribution of income is one of the concerns of policymakers in developing and developed countries, and despite the economic growth of world countries and the implementation of various policies to combat it, remains one of the most important goals of economic poli More

Fair distribution of income is one of the concerns of policymakers in developing and developed countries, and despite the economic growth of world countries and the implementation of various policies to combat it, remains one of the most important goals of economic policymakers in the world. One of the important and influential factors in any society for econoears. Capital market liquidity enables long-term investment by raising small and large funds and providing them to business owners, so stock market liquidity can be a good platform for attracting micro and large capital by reducing the risk of liquidity.According to macroeconomic theories, capital accumulation resulting from capital market liquidity is one of the conditions for economic growth, thereby increasing the income of those who are risk averse and more willing to invest in the stock market and those who are risk averse. And it relies solely on wages and salaries from work The results show that liquidity of the stock market as a financial market increases income inequality and in developed countries and decreases income inequality and increases in developing countries. Manuscript profile

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28 - Spillover between OPEC oil Price and Equity Markets Considering Business Cycles and Structural Breakdown (Case study; GCC Countries and Iran)
morteza bavaghar Mahdi faghani Mohammad Hossein Ranjbar

Studying the spillover between markets is an important and controversial topic in the financial field. The purpose of this study was to investigate the spillover between OPEC oil prices and the stock market of Iran and GCC countries considering trade cycles and structur More

Studying the spillover between markets is an important and controversial topic in the financial field. The purpose of this study was to investigate the spillover between OPEC oil prices and the stock market of Iran and GCC countries considering trade cycles and structural failure. The data were collected monthly through the OPEC official web site and the archives of each of the countries listed on the stock exchange index from the beginning of 2012 until the end of the first half of 2018, using bivariate GARCH-BEKK, correlation models and Granger Causality test. The results show that the spillover of OPEC oil price volatility without affecting structural breakdown affects the stock markets of the target countries. But when it comes to structural failure, the results will be different. The results of Granger Causality test also show that there is no causal link between OPEC oil price and Tehran Stock Exchange index, but in some of GCC countries such as Saudi Arabia and Bahrain, oil prices at different intervals is due to changes in the stock market index. Manuscript profile

Open Access Article

29 - Designing a model for forecasting the return of the stock index (with emphasis on neural network combined models and long-term memory models)
Reza Najarzadeh Mehdi Zolfaghari Samad Golami

This study presents the new hybrid network of GARCH family and an artificial neural network to predict the Tehran Stock Exchange index during the period of 2008-2017. The existence of long-term memory in the conditional variance of the Tehran stock returns causes use in More

This study presents the new hybrid network of GARCH family and an artificial neural network to predict the Tehran Stock Exchange index during the period of 2008-2017. The existence of long-term memory in the conditional variance of the Tehran stock returns causes use in addition GARCH and EGARCH models with short- memory, long-term memory models. In addition to long-term memory models, considering the better performance of hybrid models in predicting financial data of the Garch family models (short and long-term) are combined with the artificial neural network. Using hybrid models the return of stock index was forecast for the next 10 days and its accuracy was evaluated using the evaluation criteria. The results showed that the hybrid FIEGARCH with the student-t distribution model was more efficient in forecasting return of stock and had a lower forecast error than others models Manuscript profile

Open Access Article

30 - Investigating the Asymmetric Relationship between Oil Price and the Covid-19 Pandemic with Trading Value on the Stock Exchange
masoumeh dadgar vida varahrami

Forecasting the stock market in each period has been difficult and the value of stock trading has been affected by various factors. Among these factors have been the oil and gas sector, especially in countries that depend on the revenue from their sales. On the other ha More

Forecasting the stock market in each period has been difficult and the value of stock trading has been affected by various factors. Among these factors have been the oil and gas sector, especially in countries that depend on the revenue from their sales. On the other hand, the outbreak of Covid-19 pandemic has led to profound changes in both areas. Therefore, in this article, the relationship between oil prices and the Iranian stock market is examined with respect to the prevalence of the Corona pandemic. Understanding the behavior dynamics of the stock exchange value index can help to more accurately predict the future behavior of this variable. Accordingly, the main purpose of this paper is to analyze the asymmetric relationship between oil prices, as well as the simultaneous impact of the corona pandemic news and the rate of corona virus infection on the value of the Iranian stock exchange. In the present paper, nonlinear Autoregressive Distributed Lag (NARDL) in the time period (1399: 05: 15-1398: 11: 30) has been used. The results show that in the long run, rising oil prices have a significant asymmetric effect on stock exchange value. On the other hand, in the short run, the rate of Covid-19 patients has a positive relationship without meaning and the Covid-19 media index has a negative relationship with meaning with the value of stock exchange trading. Manuscript profile

Open Access Article

31 - Contagious topological dynamics in the Iranian stock market
samad sedaghati Ruhollah Farhadi Mir Feyz Fallashams

Contagion in financial markets takes place both because of fundamental or non-fundamental reasons like herd behaviors that can increase market risk levels and even end in inefficient allocation of financial resources. Thus, understanding the contagion and its dynamics w More

Contagion in financial markets takes place both because of fundamental or non-fundamental reasons like herd behaviors that can increase market risk levels and even end in inefficient allocation of financial resources. Thus, understanding the contagion and its dynamics will be critical for the participants of financial market. Hence, using network-based epidemic modeling, the study examined the dynamics of contagion in the Iranian stock market from 2011 to 2019 and short-term and long-term scales. To this end, first the correlation network of 46 Iranian stock market groups was developed and then analyzed using short-term and long-term contagion dynamics simulations. The results showed that the extent and speed of contagion is much higher in the short-term than in long-term and in long-term a significant number of groups can be immune to the contagion. However, in long-term the rate of return to pre-contagion status is shorter than in short-term Manuscript profile

Open Access Article

32 - Calculating Tail Value at Risk Using a EGARCH-Extreme Learning Machine Model And The long-term forecast approach in the insurance industry
reza raei Azam Honardoust ezzatolah abbasian

One of the most important methods for market risk measurement is Value-at-risk (VaR) that financial institutions such as banks, insurers and investment funds use them extensively. VaR as a risk measure is heavily criticized for not being sub-additive, thus the researche More

One of the most important methods for market risk measurement is Value-at-risk (VaR) that financial institutions such as banks, insurers and investment funds use them extensively. VaR as a risk measure is heavily criticized for not being sub-additive, thus the researchers focuses on the assessment of the Tail value-at-risk (TVaR), and this measure is using on the Basel Committee on Banking and Solvency II of Europe and Swiss Solvency Test (SST). this paper focuses on TVaR to measure the risk of the stock market. Considering that the time horizon of the risks of an insurer unlike banks is annually. thus, to calculate the TVaR, we use of the two methods of the variance-covariance approach with the EGARCH-Extreme learning Machine model to volatility forecasting and use of square-root-of-time rule; and Filtered Historical simulation model. The results of using the daily returns of the Tehran Stock Exchange Index for 1388 to 1396 confirm that the EGARCH-Extreme learning Machine model with use of square-root-of-time rule performs better in TVaR calculation in terms of efficiency and accuracy. Manuscript profile

Open Access Article

33 - Investigating the Effect of Investors' Behavioral Tendencies on Stock Market Liquidity: (Quantile Regression Approach)
Ebrahim Asghari Mohammad Mehdi Abbasian Fredoni Seyedhossein Naslmosavi

Behavioral financial theory shows that changes in securities prices have no fundamental reason and the behavioral tendencies of investors play an important role in determining prices.In recent studies, the rationality of investors has been seriously challenged, and the More

Behavioral financial theory shows that changes in securities prices have no fundamental reason and the behavioral tendencies of investors play an important role in determining prices.In recent studies, the rationality of investors has been seriously challenged, and the results of studies suggest that prices are determined more by psychological attitudes and factors than fundamental variables, so the study of stock market psychology has become more important. Therefore, the purpose of this study is to Investigating the effect of investors' behavioral tendencies on stock Market liquidity in the capital markets of selected Islamic countries. The statistical sample consists of the capital markets of 14 selected Islamic countries during the period 2008 to 2020.Quantile regression method was used to estimate the research model using Eviews 9.0 software. The results show that the behavioral tendencies of investors have a positive and significant effect on stock market liquidity. Also, among the macroeconomic variables, the growth rate of money supply and the growth rate of industrial production have a positive and significant effect on stock market liquidity and the inflation rate has a negative effect on stock market liquidity. Based on the results, investors' behavioral tendencies increase the volume of transactions and stock market liquidity. In fact, the results of the research reinforce the argument that the behavioral tendencies of investors can be the source of changes in liquidity. Manuscript profile

Open Access Article

34 - The impact of government expenditure and stock market on income distribution in selected MENA countries
behnaz noroozi Mehdi Taghavi Ebrahim Rezaee

In this study, the effect of government and stock market expenditures on income distribution has been investigated. The countries studied in this study are the selected countries of Mena (Iran, Algeria, Egypt, Tunisia and Jordan). 2018. The data panel method has been us More

In this study, the effect of government and stock market expenditures on income distribution has been investigated. The countries studied in this study are the selected countries of Mena (Iran, Algeria, Egypt, Tunisia and Jordan). 2018. The data panel method has been used to estimate the research model. The results of this study show that the logarithm of the ratio of the volume of transactions in the stock market to GDP with a coefficient of -0.02 has a negative and significant effect on the Gini coefficient. The volume of exchanges in the capital market increases the working capital of companies and ultimately their production. With the increase and prosperity of production, the total production increases and this issue increases the national income and as a result the government can Improve income distribution. Also, the logarithm of the ratio of consumption expenditures to GDP with a coefficient of 0.03 has a negative and significant effect on the Gini coefficient. Increasing government spending can have different effects on income distribution in two ways. In the direction of transfer payments to the people, so the distribution of income is improved No, they are not transferable, so the distribution of income does not improve. Manuscript profile

Open Access Article

35 - Price Limit Effects on Stock Prices Behavior: A Contrarian Investment Strategy Approach
Hamid Reza Vakili fard Jalal Seifoddini Arash Abjadpour Hossein Maghsoud

Price limit is a kind of circuit breaker which is used in developing stock exchanges and futures markets to prevent extreme price volatility, price manipulation, and financial crashes. Generally speaking, researchers and market participant usually disagree about price More

Price limit is a kind of circuit breaker which is used in developing stock exchanges and futures markets to prevent extreme price volatility, price manipulation, and financial crashes. Generally speaking, researchers and market participant usually disagree about price limit application, its efficiency, and optimum range. Pros believe although price limit may delay price discovery, it prevents extreme price volatility and overreaction. On the other hand, cons assert that price limit causes price volatility spillover and intensify investor’s overreaction. Since there is no consensus over the price limit application and efficiency, it is recommended to study this issue using different methods. Therefore, we are trying to study price limit effects in Tehran Stock Exchange using Contrarian Investment Strategy. Our results show that price limit application in Tehran Stock Exchange delays price discovery but has nothing to do with investor’s overreaction. Consequently, it seems that regulators have prevented extreme volatility, although this constraint delays price discovery and reduces market efficiency. Manuscript profile

Open Access Article

36 - Examining and Comparing Security of Investment in the Stock, Gold, Exchange and Housing Market of Iran using Value at Risk (VaR) Criteria
Gholam Reza Zomorodian Mahdi Shabanzadeh. Valiollah . Faryadras

Investment in each country is subject to a set of variables that Security of Investment is one of the most them.Official statistics show that in the recent decades, on average, only about 12‌% of the country's real GDP has been allocated to investment in the manufacturi More

Investment in each country is subject to a set of variables that Security of Investment is one of the most them.Official statistics show that in the recent decades, on average, only about 12‌% of the country's real GDP has been allocated to investment in the manufacturing sector, including the production of goods and services and a considerable portion of it has been absorbed into unproductive speculative activities.Accordingly, this study with purpose to examining and comparing security of investing in different markets has evaluated the risk of investing in four market including stocks, gold, currency and Iran's housing using the Value at Risk (VaR) Criteria. Also in this study to providing a more accurate analysis of the security investment based on investors' attitudes TOPSIS method has been used.All information required for the study was collected on a monthly basis for during 2002 - 2013.The result of this study showed based on VaR Criterion, the security of investment in the stock market is much lower than other markets, so investors in this market face higher risk of investments relative to other markets.Also, the result of this study showed based on TOPSIS method (according to risk and return critrias) risk averse and risk neutral Investors have the Similar behavior, So that the two groups prefer The investment in the housing market and then investment in the gold market on the parallel markets including exchange and stock. However, unlike the aforementioned groups, risk-taking investors prefered investing in the stock market and then investing in the housing market on the investment in the gold and currency markets. Manuscript profile

Open Access Article

37 - Investigate the Relationship between Financial Development and Cost of Equity
Mohammad Hossein Ranjbar Hossein Badie Mojtaba Yarahmadzadeh

The present research with goal of survey the relationship between financial development and cost of equity in companies accepted in Tehran Stock exchange has been done. For this purpose, financial information of 118 companies that were selected through a systematic remo More

The present research with goal of survey the relationship between financial development and cost of equity in companies accepted in Tehran Stock exchange has been done. For this purpose, financial information of 118 companies that were selected through a systematic removal procedure during the period 2010 to 2015 was investigated. To measuring of financial development, stock market and banking development and for cost of equity Gordon Growth model has been used. In order to analyze the data and test the hypotheses, multivariate regression models with panel data were used. The results of the research indicate that there is a negative and significant relationship between development of the stock market and development of banking with cost of equity.   Manuscript profile

Open Access Article

38 - Evaluation Fundamental based risk model in predicting stock prices
Ehsan kamali Seyyed Abbas Hashemi Dariush Foroughi

How to measure the risks is one of the most challenging issues in the stock valuation models. This study is designed based on a new methodology for risk measurement in valuation models based on fundamental factors related. Therefore beta of excess equity returns and bet More

How to measure the risks is one of the most challenging issues in the stock valuation models. This study is designed based on a new methodology for risk measurement in valuation models based on fundamental factors related. Therefore beta of excess equity returns and betas of size and book-to-market based on earnings, as the risk adjustment was combined to the present value based on risk-free rate in valuating model. Evaluation process was conducted in two stages, first during the period 2002 to 2011 using short time-series regressions, risk-adjustment coefficients were calculated at three levels: firm, industry and selected portfolios and the coefficients in the second stage along with other required data in the research model used to predict the stock price for the year 2012. The results show good performance of applying the model to predict the stock price of listed companies in Tehran Stock Exchange. Manuscript profile

Open Access Article

39 - The effect of fluctuations of the Tehran Stock Exchange index (TEDPIX) on return of investment in gold
Eftekhar Sadat Kafash Hoseini Ali Rostami

The purpose of this paper is to examine the relation between gold return and stock market Return (TEDPIX) and whether its relation changes in times of consecutive negative market returns for an indeveloping  market, Iran. The paper applies the autoregressive dist More

The purpose of this paper is to examine the relation between gold return and stock market Return (TEDPIX) and whether its relation changes in times of consecutive negative market returns for an indeveloping  market, Iran. The paper applies the autoregressive distributed model to link gold returns to stock returns with TGARCH/EGARCH error speciﬁcation using daily data from 6, th Farvardin 1390 to 24, th Shahrinar 1391, a total of 341 observations. Findings show A signiﬁcant positive but low correlation is found between gold and once-lagged stock returns that was not significant in 5% level. Moreover, consecutive negative market returns do not seem to intensify the co-movement between the gold and stock markets as normally documented among national stock markets in times of ﬁnancial turbulences. Indeed, there is some evidence that the gold market surges when faced with consecutive market declines. Based on these results, there are potential beneﬁts of gold investment during periods of stock market slumps. The ﬁndings should prove useful for designing ﬁnancial investment portfolios. Originality value of this paper is to evaluate the role of gold from a domestic perspective, which should be more relevant to domestic investors in guarding against recurring heightened stock market risk. Manuscript profile

Open Access Article

40 - Linear and Nonlinear Response of Stock Market Segments to Gold, Currency and Oil Price Movements
Shahnaz mashayekh tayebeh jamshidi

10.30486/fbra.2021.1932596.1011

The purpose of this study is to investigate the linear and nonlinear response of stock market segments to gold, currency and oil price movements. The statistical population of the study is the companies that are listed in the Tehran Stock Exchange. Research data are rev More

The purpose of this study is to investigate the linear and nonlinear response of stock market segments to gold, currency and oil price movements. The statistical population of the study is the companies that are listed in the Tehran Stock Exchange. Research data are reviewed during the years 2010 to 2020. The research data is time series and linear and nonlinear regression methods are used to test the research hypothesis. The results show that in the short run, stock prices in intervals 1, 3 and 7 have a positive effect and in intervals 2, 4, 6 and 8 have a negative effect on stock prices in the current period. According to the parent test, overall stock prices are positively affected by their breaks. Also, in the long run, both positive and negative shocks of oil prices have a significant effect on the stock index, the elasticity of the index to world oil prices is about 70%. Unlike oil prices, the exchange rate and gold have a positive effect on stock prices in Iran. According to the results of the estimated coefficients of the nonlinear pattern, the stock price as a whole is positively affected by its intervals Manuscript profile

Open Access Article

41 - A Study of the Relationship between Change in Productivity indices and Change in Financial Variables among Accepted Companies in Tehran Stock Market
Farhad Shahvaise Peyman Akbari Mehrdad Ghanbari

Productivity is one of the most important objectives of organizations and institutes in the recent world. Increasing the productivity level can guarantee the stage development of the organization in the competitive market. Productivity as a prominent index determines ac More

Productivity is one of the most important objectives of organizations and institutes in the recent world. Increasing the productivity level can guarantee the stage development of the organization in the competitive market. Productivity as a prominent index determines accurately the efficiency of labor power, investment and other resources of an organization. It also shows a clear situation of the company in the future.  A company can achieve sustainable profits in the future if it does not ignore the productivity issue. The aim of this study is to determine if there is any significant relationship between Change in Productivity indices (labor and capital productivity) as independent variables and change in financial variables (profit of each portfolio, Book value of the portfolio, Market portfolio value) as dependent variables. To do so, 102 companies accepted in Tehran Stock Market were selected based on screening (systematic deletion) in a five-year period between 2004-2009. The required data were gathered from the basic financial statement, committee reports, and other available documents in Tehran Stock Market. Step by step regression and Pearson correlation were used to analyze the data. The results of the study revealed that there is a significant relationship between the variables.   Manuscript profile

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42 - بررسی رابطه بین ارزش افزوده اقتصادی و میزان نگهداری وجه نقد شرکتهای پذیرفته شده در بورس اوراق بهادار تهران
تورج بهرامی سعید جبارزاده کنگرلوئی جمال بحری ثالث محسن حق ویردیزاده

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43 - اثرات خصوصی سازی بر توسعه بازار
محمد مشهدی تفرشی مجید جهانگیرفرد

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44 - بررسیرابطه سود خالص وROEبا ارزش بازار سهام و نسبت های P/EوP/B
افسانه توانگر محمد اسمعیل خباززاده، محمد رضا شاهد صادق

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Open Access Article

45 - Evaluation of relationship Between stock Market Development and Economic Growth in IRAN: nonlinear approach
Zahra Sadeghi Kelidsar Akbar Mirzapour Babajan

Given the importance of economic growth and development in a country, recognizing the factors affecting growth is of great importance. Among the factors affecting economic growth and development, the development of the stock market has attracted the attention of most sc More

Given the importance of economic growth and development in a country, recognizing the factors affecting growth is of great importance. Among the factors affecting economic growth and development, the development of the stock market has attracted the attention of most scholars and statesmen and efforts have been made to develop the stock market in different countries. Given the controversial views in this regard, the impact of stock market development on economic growth in each country should be made according to the country's information. Therefore, the purpose of this study was to investigate the effect of stock market development on world economic growth and modeling the relationship between them. For this purpose, linear and nonlinear regression model of generalized torque panel was used. The dependent variable of gross domestic product growth and independent variable included the development of the stock market and control variables including foreign direct investment, total investment, free trade, and inflation. The results showed that the effect of financial development on economic growth depends on the country under study and the model used. Manuscript profile

Open Access Article

46 - 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

47 - The Effect of financial and trade liberalization on stock market volatility in Selected Developing Countries: dynamic data panel approach
sirvan aghaie Mohammad Sokhanvar tahereh akhoondzadeh

10.30495/eco.2022.1933433.2540

   Abstract: The purpose of this paper is to investigate the effect of financial and trade liberalization on stock market fluctuations in 25 selected developing countries between 2001-2019 using a multivariate mushroom model to calculate fluctuations and gener More

   Abstract: The purpose of this paper is to investigate the effect of financial and trade liberalization on stock market fluctuations in 25 selected developing countries between 2001-2019 using a multivariate mushroom model to calculate fluctuations and generalized torque method. Based on the findings of the multivariate mushroom approach, there is a positive and significant relationship between financial and trade liberalization and the stock market fluctuations in this group of countries. Investigating the effect of financial and trade liberalization on stock market volatility using the generalized dynamic torque panel regression model shows a positive relationship between financial and trade liberalization and inflation with stock market volatility and also shows an inverse relationship between per capita income and financial liberalization and trade with it. Based on the results, it is suggested that economic policymakers, when implementing financial and trade liberalization policies, should take it into account that this liberalization is both an opportunity and a threat to domestic capital markets. Accordingly, imposition of financial and trade liberalization measures are recommended simultaneously and in a regulatory context. Manuscript profile

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48 - 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

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49 - Long-run Relationship between the Volatility of Effective Real Exchange Rate and Industrial Return Index in Tehran Stock Exchange Market (Multivariate GARCH Approach)
Esmaeil Aboonouri AmirMansour Tehranchian Mostafa Hamzeh

This paper, empirically, analyzes dynamic relationship between real effective exchange rate and industrial index in Tehran Stock Exchange market using VAR and Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH), by monthly time series data du More

This paper, empirically, analyzes dynamic relationship between real effective exchange rate and industrial index in Tehran Stock Exchange market using VAR and Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH), by monthly time series data during 2001-2011. The results represent that there is no long-term significant relationship between effective real exchange rate and industry index. Furthermore, the paper examines the cross-volatility effects between foreign exchange and stock markets. There is a bidirectional volatility spillovers effects between two markets. This indicates that previous innovations in stock market affects on the future volatility in foreign exchange market, and vice versa. Manuscript profile

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50 - The Effect of Financial Liberalization on the Stock Market in Iran
mirhosein mousavi masoumeh nematpour

The purpose of financial markets liberalization followed by most developing countries in recent decades is to improve the efficiency of financial markets and financial resources. This paper examines the relationship between share prices index and financial liberalizatio More

The purpose of financial markets liberalization followed by most developing countries in recent decades is to improve the efficiency of financial markets and financial resources. This paper examines the relationship between share prices index and financial liberalization index in Iran during 1373-1387 using quarterly time series data. It uses more comprehensive and recent technique, Vector Autoregressive and Co-integration approach to determine the short run and long run linkages between share prices Index and financial liberalization. The findings indicate that financial liberalization index has a positive impact on share prices Index in long run, but no impact in short run. Financial liberalization and reforms started in early 1990s, as part of economic reforms, has a very strong direct effect on the stock market. It means that stock market is too much sensitive and volatile to financial liberalization in emerging economies. Manuscript profile

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51 - Tehran Securities Exchange's leading stocks in currency crisis: minimum spanning tree
Mostafa Baratpour Ghodratollah Emamverdi Mahmoud Mahmoudzadeh Parvaneh Salatin

his study was conducted with the aim of identifying the leading companies in the stock market and the impact of the currency crisis on the change of these companies, using the spanning tree model. For this purpose, the daily price returns of 50 selected stocks from the More

his study was conducted with the aim of identifying the leading companies in the stock market and the impact of the currency crisis on the change of these companies, using the spanning tree model. For this purpose, the daily price returns of 50 selected stocks from the Iranian stock market and in two time periods were used to form the stock network. The period from March 24, 2016 to March 20,2018 was determined as the period before the currency crisis, and by identifying the currency event on April 4, 2018, using the ICSS model, the period from April 4, 2018 to July 21,2020 was determined as the period after the exchange rate crisis. According to the findings of the research, in the period before the exchange rate crisis, the symbols of Khepars, Foulad and Kegol have the highest correlation with other stocks. In other words, these stocks have been able to play a leading role. After the jump in the exchange rate, Veghdir and Foulad were identified as the leading stocks. According to the results, export-oriented industries have been able to maintain their leading role after the exchange rate crisis, and import-oriented industries such as automobiles have lost their leading role. Manuscript profile

Open Access Article

52 - Investing Neural Network Trianing with Metaheuristic Algorithms in order to Prediction of Iran Stock Index
Seyed Ahmad Mirzaei Zakiyeh Nikdel Zahra Nikdel

Prediction and analysis of stock market movements are an important topic for researchers, traders and have got an important role in today’s economy. Variety in policies, such as government policies and economic policies affect the stock market and cause stock pric More

Prediction and analysis of stock market movements are an important topic for researchers, traders and have got an important role in today’s economy. Variety in policies, such as government policies and economic policies affect the stock market and cause stock price changes. The predicting stock price movement on a daily basis due to the non-linear and chaotic stock price movements is a difficult task. There are several ways for predicting in stock market. Artificial intelligence techniques have been widely used to predict data with nonlinear and chaotic structure. One of these techniques is neural network. If neural network is trained correctly, then it has minimum error in predicting. In this research, we will train the multi layer perceptron neural network with 8 meta heuristics algorithms and we predict Tehran Exchange Dividend Price Index (TEDPIX). The Results show that grey wolf optimization has the minimum error in training of neural network. Manuscript profile

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53 - The analysis of relationship between economic uncertainty shock and stock market illiquidity using Time-Varying Structural VAR Model (TVSVAR)
seyed hamed poorhosseini Hossein Sharifi Renani Saeed Daie-Karimzadeh

Uncertainty can have profound consequences for both companies and individuals hoping to make optimal decisions for their benefit. Economic agents in financial markets are generally concerned about uncertainty in the political, economic and environmental spheres. When pr More

Uncertainty can have profound consequences for both companies and individuals hoping to make optimal decisions for their benefit. Economic agents in financial markets are generally concerned about uncertainty in the political, economic and environmental spheres. When prior expectations are compromised by the increased likelihood of uncertain outcomes, agents must wait for the waves of uncertainty to dissipate before making sound financial decisions. In this research, the relationship between economic uncertainty shock and illiquidity of the stock market has been analyzed using the Time-Varying Structural Vector Auto-regressive model TVSVAR during the years 2008:4-2020:3. The obtained results indicate that the effect of the economic uncertainty shock on illiquidity was positive and increasing in most of the periods and years under investigation, and the effect of the shock of liquidity volume growth on illiquidity had a decreasing effect in most of the periods and years. The effect of inflation shock on illiquidity increased in all the studied periods and years, but in 2016 and 2020, it had a decreasing effect in the final period. Manuscript profile

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54 - Damping Controller Design in Offshore Wind Power Plants to Improve Power System Stability Using Fractional Order PID Controllers Based on Optimized Exchange Market Algorithm
Naser Taheri Hamed Orojlo Faramarz Ebrahimi

In this paper, the design of damping supplementary controller in VSC HVDC transmission systems, which is the interface of Offshore Wind Power Plant (OWPP) with the main power system, is studied. First, it is shown that the speed-power curve in a wind turbine affects the More

In this paper, the design of damping supplementary controller in VSC HVDC transmission systems, which is the interface of Offshore Wind Power Plant (OWPP) with the main power system, is studied. First, it is shown that the speed-power curve in a wind turbine affects the damping of oscillation and electromechanical modes of the power system, and depending on the operating conditions of the turbine, the extent of this effect varies. Then, to improve the dynamic stability of the power system, the use of an optimized supplementary controller in the VSC HVDC system will be proposed. The proposed controller is added as an additional loop to the converter control circuits in VSC HVDC and will amplify the damping torque in the generators by correcting the damping coefficient of the system oscillation modes. In addition, a solution is provided to use the supplementary controller in the most optimal path, so that the most controllability on the oscillation modes and the least interference with other channels between the input-output signals are provided. To design the proposed controller, a fractional order PID controller will be used whose coefficients are adjusted through an optimized exchange market algorithm. The optimization of the algorithm is done by using mutation and crossover operators in the genetic algorithm with the aim of avoiding bats being trapped at local extremum. The simulation results show that the method proposed in this paper not only improves the dynamic stability of the power system but also strengthens the voltage profile. Manuscript profile

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55 - Investigating the impact of risk incentives on the strength of the market value of banks' shares admitted to the stock exchange
fatemeh Sehbaradaran Reza Rahimi Hadi Mohamadi mohamadi

Some market participants believe that with the increase in market volatility and the decrease in the number of small shareholders, a type of stability will be created in the decision-making process of bank management that only considers the interests of majority shareho More

Some market participants believe that with the increase in market volatility and the decrease in the number of small shareholders, a type of stability will be created in the decision-making process of bank management that only considers the interests of majority shareholders. This disrupts market activities and reduces the cash asset reserves of banks based on optimal risk incentives. The aim of this study is to investigate the effect of risk incentives on the market value of banks. This research is a library-based analytical study based on panel data analysis. Financial information from 10 accepted banks in Tehran Stock Exchange during the period from 2016 to 2021 was examined. The results showed that liquidity fluctuations as one of the risk incentives had a positive and significant effect on the market value of banks during the studied period. Financial performance fluctuations also had a positive and significant effect on the market value of banks. Manuscript profile

Open Access Article

56 - Investigating the Relationship between Oil Prices and Stock Markets in Oil Exporting and Importing Countries by Using Quantile Regression
Abouzar Gandomkar Seyyed Nematollah Mousavi Abbas Aminifard

10.30495/ECOMAG.1402.1045597

Extended Abstract Considering the great importance of exchange rate fluctuations in various sectors of the macro economy, the issue of exchange rate fluctuations and its control has always been discussed in the framework of currency regimes in most countries. Conside More

Extended Abstract Considering the great importance of exchange rate fluctuations in various sectors of the macro economy, the issue of exchange rate fluctuations and its control has always been discussed in the framework of currency regimes in most countries. Considering that in recent decades, the managed floating system is one of the systems of interest in the world's economies, therefore, the level of involvement in this market and its measurement has played a very important role and has attracted the attention of model makers and economists. In oil-exporting countries, because the economy of these countries is dependent on oil, currency fluctuations and the level of intervention of the monetary authority in these countries are always very important. Most of these studies have identified and explained the paths and quantitative estimation of the effect of oil price on the macroeconomics of countries separately, and very few studies have examined the indirect channels of the effect of oil price shocks on the economy of countries. The point that this study emphasizes is that there is a relationship between oil prices and stock markets in oil importing and exporting countries, which has been neglected in many studies. Purpose In this study, the relationship between oil prices and stock markets in major oil-exporting countries (Russia, Norway, Canada, Iran) and oil-importing countries (USA, India, Japan) has been investigated. For this purpose, quantile regression and weekly data from January 2010 to June 2022 have been used. Methodology Different phenomena in the science of statistics appear in the form of random variables and it will be possible to investigate these phenomena by determining their distribution. In this regard, there are various statistical measures, each of which provides researchers with different information from the random variable distribution. Quantile or quantile regression is a statistical method for estimating and inferring conditional quantile functions. As linear and classical regression methods are based on minimizing the sum of squared errors and can estimate a model for conditional mean functions, quantile regression methods provide a mechanism for estimating models for the conditional mean function and a wide range of other conditional quantile functions. Quantile regression is able to provide a more complete statistical analysis of random relationships between variables. While standard regression methods show how the value of a dependent variable reacts to the change of an explanatory variable; Quantile regression shows the predicted changes for the entire distribution of the dependent variable and is used for the separate effects of the explanatory variable at different points of the distribution of the dependent variable. Of course, it should be acknowledged that one of the shortcomings of standard OLS regression is that the obtained estimate is a number that is used to summarize the relationship between the dependent variable and each of the independent variables. Findings Knowing the common movement between oil and stock markets is of great importance for investors and policy makers. In this context, there is a lot of empirical literature that shows the complexity of oil price dynamics and stock indices and then the relationship between them. In this study, using the quantile regression method, the relationship between oil price and stock index in oil exporting and importing countries in the period of 2010-2022 has been investigated. The results of the study showed that the price of oil has a positive and significant effect on the stock index in Russia, Norway, Canada, America and India in all deciles and the first 4 deciles in the Japanese stock index. Also, the price of oil has had a positive and significant effect on the stock index in Iran in 6 deciles (first 5 deciles, seventh deciles), and in the last two deciles. Also, by examining the R2adj statistic, it can be said that in all the investigated stock exchanges, except for Russia and Iran, 50 to 70% of the stock index changes are explained by the oil price, which shows the importance of the oil price on the stock index in these countries. In other words, the stock value can be considered equal to the sum of the discount of the future liquidity flows, and since these flows are directly affected by macroeconomic events, therefore, these flows can easily be affected by negative impulses. In addition, oil price volatility also has significant effects on stock market returns. The three categories of capital, manpower and oil can be considered as the most important factors that are used in the production of most goods, therefore, changes or fluctuations in each of these three factors will affect the cash flow. Conclusion Depending on whether they are oil importers or exporters, countries have different effects on oil price changes. According to the opinion of many economists, the price increase will bring a decrease in economic growth as well as an increase in inflation for the economy of oil importing countries. But if the oil importing countries have a strong and suitable economic structure, these fluctuations will have a less destructive effect on their economic conditions. In oil exporting countries, it is expected, of course, that the increase in the price of oil will increase their income, which will lead to an increase in their liquidity in the future, which will have a direct and positive impact on the capital market and the stock index. Now, if these incomes are used to buy domestic products, this increase in income leads to an increase in production and economic growth, and consequently to an increase in investment, which leads to an increase in stock prices. Therefore, according to oil price fluctuations in recent years, investors and policymakers should consider market conditions in their decisions based on modeling the relationship between oil and stock markets. Also, considering the changes that will happen over time in relation to the price of oil and the stock market, investors and policy makers should pay attention to this dynamic behavior of stock markets. Manuscript profile

Open Access Article

57 - 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

58 - The effect of governance quality on stock market value
BAHMAN khanalizadeh Farid Asgari

Financial markets, including the stock market, with all the positive characteristics they have on the economic growth and development of countries, are influenced by micro and macro factors that increase the inherent risk of this market and affect the assets of investor More

Financial markets, including the stock market, with all the positive characteristics they have on the economic growth and development of countries, are influenced by micro and macro factors that increase the inherent risk of this market and affect the assets of investors. These factors in the theoretical literature include a wide range of variables, recently the quality of governance has been added to the sum of these variables, so that its effects are far more destructive than other factors. For this reason, increasing the governance quality of governments as economic trustees will be able to strengthen the financial markets, including the stock market and securities market, which is one of the important means of financing economic institutions and enterprises. Therefore, in this research, by using the ARDL test, long-term and short-term relationships between the variables of current stock market value (SMV) and governance quality (voice and accountability (VOA), political stability without violence (PON), government effectiveness (GOE), supervisory quality ( REQ), Rule of Law (RUF) and Corruption Control (COC)) in the period of 1374-1399 and using annual data were investigated in Iran. The results indicate that in the short and long term, the impact of governance quality on the value of the Iranian stock market is positive, so that among the governance quality indicators, the most impact is related to the regulatory quality variable (REQ) and the least impact is related to the rule of law variable (RUF). Manuscript profile

Open Access Article

59 - Effect of Stock Market Volatility on Banks Performance Accepted in Tehran Stock Exchange
Hoda Hemmti Abdorrahman Abbasifar

In this research bank performance was measured, using variables of: economic value added (EVA), average return on assets (ROAA),  and average return on equity (ROAE).This study was causal comparative research (using past data) and the aim is classified on the basis More

In this research bank performance was measured, using variables of: economic value added (EVA), average return on assets (ROAA),  and average return on equity (ROAE).This study was causal comparative research (using past data) and the aim is classified on the basis of the nature of the correlation method on the combined data. The population of the study consisted of all member banks at Tehran Stock Exchange for the period of 1387- 1392. Research findings indicates that 95% variable stock market development and competitiveness of banking, with the dependent variable EVA significant relationship is between the Mean monthly returns of stocks and the development of the banking sector with the dependent variable EVA direct link is established. With95% of all variables except for "the development of the banking sector" have a significant relationship with the dependent variable ROAA. Also there is a positive relationship between monthly returns stocks and market development relationship with the dependent variable ROAA. There is also a significant correlation between all variables except "banking competition" with the dependent variable ROEA. There is a negative correlation between stock market development and the dependent variable ROEA. There is a positive and significant relationship between Mean of monthly returns stocks and the development of the banking with the dependent variable ROEA. Manuscript profile

Open Access Article

60 - Evaluation of the Dynamic Relationship between Foreign Exchange Market, Stock Market and the Housing Market in Iran Using a Multivariate GARCH Model
Oranus Parivar Mahbobeh hassani

This paper analyzes the dynamic relationship between housing market, stock market’s           general index and real effective exchange rate of Iran using VAR and MGARCH models. For this purpose, monthly data of ti More

This paper analyzes the dynamic relationship between housing market, stock market’s           general index and real effective exchange rate of Iran using VAR and MGARCH models. For this purpose, monthly data of time period between Farvardin 1383 till Ordibehesht 1395 (Persian calendar) have been used. Based on the obtained results, there is no significant effect of other markets’ returns on housing market returns, while there is a significant and negative effect of stock market and housing market returns on foreign exchange market returns. In addition, in this study, the effect of simultaneous fluctuations of the housing market, foreign exchange and stock markets have also been evaluated. The results show that each market is not independent from other markets and a single market fluctuations will affect on the other markets. Because of the degree of simultaneous fluctuations among three markets, in order to make decision in one market and reduce the errors in decision making, policy makers can also consider political tools in other markets. Furthermore, investors may allocate their assets to these three markets in order to reduce the risk of investment Manuscript profile

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61 - Effects of Intellectual Capital and Tangible Assets to create Value Added and Performance of Companies listed in Tehran Stock Exchange
Farzaneh Eftekharnejad yadollah Nourifard Hossein Karbasi yazdi

  According to the role of operating performance in economical entities and importance of intellectual capital and capital employed effects on value creation, the purpose of this paper is to analyze the role of intellectual capital and tangible assets on firm`s fi More

  According to the role of operating performance in economical entities and importance of intellectual capital and capital employed effects on value creation, the purpose of this paper is to analyze the role of intellectual capital and tangible assets on firm`s financial, operating and stock market performance. To conduct the relevant analysis in the present study, three dependent variables of operating income/sales (OI/S), return on assets(ROA) and MB were used as proxy measures for economic, financial and stock market performance, respectively. The sample consists of 80 firms from Tehran stock exchange for the period 2006-2010 by applying VAIC pulic`s model.The results show that companies’ IC has a positive impact on operating, financial and stock market performance. This result supports the importance role of intellectual capital in value creation. The results also indicate that capital employed remains a major determinant of operating, financial and stock market performance although intellectual capital has more effects on stock market performance than capital employed Manuscript profile

Open Access Article

62 - ارائه شاخصی جدید برای انعکاس رفتار بازار سهام با استفاده از رویکرد تحلیل شبکه‌های پیچیده
هادی اسماعیل پور تیمور محمدی محمد فقهی کاشانی عباس شاکری

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63 - Hedging stock price of listed industries with exchange rate (Multidisciplinary industry, banking and investment)
مریم بذرائی صالح قویدل قدرت اله امام وردی محمود محمودزاده

This study investigates hedging stock price of the selected industries listed in stock exchange with exchange rate, in order to manage risks of investors in capital market. To do se, the ADCC and DCC models are used. The data for this investigation includes daily stock More

This study investigates hedging stock price of the selected industries listed in stock exchange with exchange rate, in order to manage risks of investors in capital market. To do se, the ADCC and DCC models are used. The data for this investigation includes daily stock return of the listed industries and exchange rate during 2008-2020. The results suggest that there exists symmetric correlation between stock price of these industries and exchange rate in both currency crises. Moreover, in both crises, the highest hedging effectiveness is associated with multidisciplinary industry and investment, whereas the lowest effectiveness is for banking. On the other hand, the biggest rate of hedging in the first and second currency crisis belongs to multidisciplinary industry and banking, respectively. The lowest rate of hedging in both crises belongs to investment industry and the highest weighted mean of optimal portfolio in both crises is found in banking industry. The results of this study provide the investors the opportunity to use hedging and asset allocation strategies in optimal way.  Manuscript profile

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64 - همبستگی شرطی پویای نوسانات قیمت نفت و بازار سهام کشورهای حوزه خلیج فارس با تاکید بر سرایت بحران مالی
مجتبی کریمی فاطمه صراف قدرت اله امام وردی علی باغانی

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65 - Presentation of Smart Money Model in Iranian Stock Market Based on Grounded Theory
خدیجه عیدان ترک زاده فرزین رضایی محسن صیقلی

10.30495/fed.2021.687922

The purpose of the present study is to present a smart money model in the Iranian stock market given its conditions and structure, so that all individuals active in the capital market can act more consciously and more professionally.The method based on this theory is ba More

The purpose of the present study is to present a smart money model in the Iranian stock market given its conditions and structure, so that all individuals active in the capital market can act more consciously and more professionally.The method based on this theory is based on data Which is collected through regular interviews with experts and have been analyzed and its purpose, making a theory that is honest and enlightening in the field under study. The statistical population includes capital market experts and academic experts in the field of finance and investment. The sample consisted of 12 semi-structured interviews with snowball sampling Open, axial and selective coding was used to analyze the data. The results showed that the obtained model includes causal conditions (macroeconomic factors, global market situation, country's political climate, industry and corporate factors), context conditions (laws and regulations issued by the government and organization, trading infrastructure).Intervening Conditions (Legal and Real Investor Behavior, Parallel Markets Behavior), Entering smart money into Iranian stock market. Strategies conditions include (market entry strategy, return strategy) and (micro and macro)  as consequences were defined, which increased liquidity, the value of transactions and to some extent the index are also micro-consequences and at the macro level it leads to the development and expansion of the market. Manuscript profile

Open Access Article

66 - 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

67 - Selection of Stock Asset Portfolio Based on Behavioral Economics Method: A Case Study of Tehran Stock Exchange
لیلا آسیابی اشکان رحیم زاده نعمت فلیحی یدالله رجایی

The main purpose of this paper is to investigate selection of stock asset portfolio based on behavioral economics method (case study: Tehran Stock Exchange). Regarding method, this research is applied and in terms of time it is cross-sectional. In order to test the rese More

The main purpose of this paper is to investigate selection of stock asset portfolio based on behavioral economics method (case study: Tehran Stock Exchange). Regarding method, this research is applied and in terms of time it is cross-sectional. In order to test the research hypotheses, one-sample t-test was used and Friedman test was used for ranking. The statistical population of this research includes two classes; the first class is related to high-ranking experts and officials of Tehran Stock Exchange and the second is related to the statistical population of brokers and investors active in the stock market of Tehran Stock Exchange. The sample size in the first part was selected non-randomly including 20 people and in the second part, considering that the number of statistical population was unknown, the number of sample size selected was 384 people. Field method of research and a researcher-made questionnaire were used to collect the questionnaire data. The face validity of the questionnaire was examined by experts and the content validity of the questionnaire was assessed using the Delphi method. It was shown the validity of the questionnaire’s questions is acceptable. Then, the reliability of the questionnaire was evaluated using Cronbach's alpha coefficient. The obtained results indicated that the research questionnaire has the required reliability. Then, the collected data were analyzed in two sections of descriptive and inferential statistics. The results of one-sample t-test showed that selection of stock asset portfolio based on behavioral economics method (psychological factors), loss aversion of individuals, mass behavior of individuals, conservatism (bias), accessibility of information and excessive self-confidence affect the decision of investors in the stock market of Tehran Stock Exchange. Friedman's ranking showed that loss aversion is placed in the first place, mass behavior of individuals in the second place, and conservatism (bias) in the third place. Manuscript profile

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68 - Asymmetric oil price shocks, tax revenues, resource curses, stock markets and trading cycles in oil-exporting economies
Hamidreza Modiri Marjan Damankeshide

10.30495/fed.2023.705597

Abstract The present study uses the PVAR model to investigate the impact of asymmetric oil price shock, tax revenues, resource curse, stock market and business cycles in oil exporting economies during the period 2000-2019. According to the estimation results; the respo More

Abstract The present study uses the PVAR model to investigate the impact of asymmetric oil price shock, tax revenues, resource curse, stock market and business cycles in oil exporting economies during the period 2000-2019. According to the estimation results; the response of the output gap to the shock of oil prices and exchange rates is a downward trend for up to 3 periods, after which it rises and in the long run this shock is gradually adjusted, but the problem that exists and the response of the output gap to liquidity also show this. is. Revenues from oil sales and foreign exchange earnings are not well managed in oil-rich countries, and the amount of liquidity injected into the market is spent on imports, which are generally done to combat inflation. In this case, many production sectors will be seriously damaged and will be taken out of the production cycle, and therefore part of the investments made in the economy will be unused and the amount of production will decrease, and on the other hand, when foreign exchange earnings decrease, the amount of imports. It has been reduced that part of the decrease in imports will be directed to capital goods and production machinery, leading to a decrease in investment and an increase in the production gap. Sectors that were taken out of production as a result of massive imports of consumer goods during the period of increasing oil revenues will not be revived in this period, which requires more attention of the country's officials to macroeconomic indicators. Manuscript profile

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69 - تبیین نقش ناهنجاریهای بازار سهام در قیمت‌‌‌‌‌‌‌‌گذاری دارایی‌های سرمایه‌ای Explain the role of stock market anomalies in the pricing of capital assets
علی کیا مهر محمد حسن جنانی محمود همت فر

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70 - چگونگی اثرگذاری نوسانات شاخص قیمت سهام بر تغییرات رشد اقتصادی در ایران ( 96-1371)
منصوره علیقلی سید مهدی حسینی

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71 - 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

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72 - 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

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73 - Company value prediction based on deep learning methods
Seyedeh Maryam Babanezhad Bagheri Abbasali PourAghajan M. Mehdi Abbasian Feridoni

10.30495/fed.2023.705603

Abstract Prediction and clear understanding of the behavior of a phenomenon plays a major role in adopting strategies and decisions. All-round development and deepening of the capital market as the driving engine of economic development requires the public trust of par More

Abstract Prediction and clear understanding of the behavior of a phenomenon plays a major role in adopting strategies and decisions. All-round development and deepening of the capital market as the driving engine of economic development requires the public trust of participants in its efficiency and correctness in determining the fair price of securities. On the other hand, predicting company value, price fluctuations, or stock returns is very important in portfolio selection, asset management, and even stock pricing of newly listed companies.In this research, using the data of 159 companies during a 10-year period including 2011-2020 and the factors affecting the company's value, including financial ratios, corporate governance mechanisms, macroeconomic factors, and the stock market, the company's value has been predicted. In this research, two structures of deep learning methods including GRU and BLSTM are used for better evaluation. The results of examining the data collected using deep learning techniques indicated that the combined model with a lower RMSE error than the GRU model predicted the value of the company. Manuscript profile

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74 - The effect of currency shock on the occurrence of anomalies in the Tehran Stock Exchange The effect of currency shock on the occurrence of anomalies in the Tehran Stock Exchange
marzieh ghalandari Mirfeiz Fallah

The main subject of this research is the experimental study of the use of currency shock on the stock market anomalies of Tehran Stock Exchange companies. For this purpose, a sample of 70 companies listed on the Tehran Stock Exchange during the period 2012 to 2019 was e More

The main subject of this research is the experimental study of the use of currency shock on the stock market anomalies of Tehran Stock Exchange companies. For this purpose, a sample of 70 companies listed on the Tehran Stock Exchange during the period 2012 to 2019 was examined quarterly. For stock market anomalies, ten separate variables (momentum, abnormal stock returns, gross profitability, specific risk, liquidity, net operating assets, asset growth, return on assets, investment in assets and accruals) have been used as representatives. Multivariate regression was used to test the hypotheses and the relationship between the variables was addressed by forming an optimal model. The results show that currency shock has a positive and significant relationship with abnormal stock returns, special risk, gross profitability, stock liquidity, asset growth, accruals and return on assets of the company. The findings also did not show a relationship between currency shock and momentum, net operating assets and investment in assets. Manuscript profile

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75 - تاثیر رشد شرکت بر رابطه بین ارزش بازار، ارزش دفتری و سود
عباس افلاطونی

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76 - رابطه بین ارزش افزوده اقتصادی تعدیل شده ، سود قبل از کسر بهره و مالیات و جریان نقدی فعالیتهای عملیاتی با ارزش بازار سهام شرکتهای صنایع مواد غذایی پذیرفته شده در بازار اوراق بهادار تهران
رویا دارابی ابراهیم اسفندیاری

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77 - 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

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78 - The Relationship between Stock Returns and Return Fluctuations with the Liquidity of the Stock Market of Companies Listed on the Tehran Stock Exchange during the Outbreak of the Corona Virus
Zahra Hooshmand Naqabi Hossein Eslami Mofid Abadi Mohammed Aghasi

10.30495/faar.2022.698386

Abstract The current research was conducted with the aim of investigating the relationship between stock returns and volatility with the liquidity of the stock market during the outbreak of the Corona disease in companies listed on the Tehran Stock Exchange. The resear More

Abstract The current research was conducted with the aim of investigating the relationship between stock returns and volatility with the liquidity of the stock market during the outbreak of the Corona disease in companies listed on the Tehran Stock Exchange. The research method is descriptive, in terms of practical purpose and in terms of the type of post-event information collection. The statistical population of this research includes all the companies admitted to the Tehran Stock Exchange, which have been determined using the systematic sampling and elimination method for the period between 2018 and 2019, which is 133 companies. Multivariate regression analysis and statistical tests such as Durbin-Watson, Shapiro, Dickey and variance inflation factor have been used to analyze the data and test the research hypotheses. Finally, Fisher's test was used to check the significance of the regression line equation, and Student's t-test was used to check the significance of the coefficients. The data related to research variables after being collected in Excel software have been analyzed using the statistical software Eviews. The results of the hypothesis test showed that there is a significant direct relationship between stock returns and fluctuations with the liquidity of the stock market during the outbreak of the Corona disease. Manuscript profile

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79 - روابط پویای حسابداری و مالی بین بازارهای کامودیتی، بازارهای مالی و ارزهای دیجیتالبا رویکرد مدل خود همبسته با وقفه‌های توزیعی
حمید محمدی شاد امیررضا کیقبادی مهدی معدنچی زاج

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Open Access Article

80 - Decision Usefulness evaluation of risk factor disclouser
Akbar Khayampour Sina Kheradyar Farzin Rezaei Mohammadreza Vatanparast

The disclosure of risk elements contained effective messages in assessing the impact of future events in the company. Therefore, the conscious judgment of consumers is the usefulness of providing supplementary information from the risk elements of categorized factors on More

The disclosure of risk elements contained effective messages in assessing the impact of future events in the company. Therefore, the conscious judgment of consumers is the usefulness of providing supplementary information from the risk elements of categorized factors on the different functions of firms and improving the quality of accounting information . thus , the purpose of this study is to evaluate the usefulness in decision makers with disclosure of risk elements and economic consequences of companies performance . for this purpose , the research with 87 sample companies and in the 7 - year period of 1396 - 1390 in the descriptive - correlation method showed that the disclosure of data elements of firm - level risk elements contained useful information in predicting the risk of fall of stock market prices but no significant relationship was found at the industry level . The disclosure of risk elements at the firm level of the industry contains useful information in predicting the synchronization behavior of firms ' stock market prices. The greater the disclosure of the risk elements has greater advantage, making a greater impact on the prediction and explanatory power of stock price and stock price appreciation. Manuscript profile

Open Access Article

81 - 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

82 - Modeling and predicting stock market volatility using neural network and conditional variance patterns
ali rastinfar mahmood hematfar

abstractModeling and predicting stock market volatility using neural network and conditional variance patternsThe fluctuation forecast is one of the most important issues in the financial markets, which attracted the attention of many academic researchers and experts in More

abstractModeling and predicting stock market volatility using neural network and conditional variance patternsThe fluctuation forecast is one of the most important issues in the financial markets, which attracted the attention of many academic researchers and experts in the field over the past few decades. In this study, considering this necessity, we examine the modeling and prediction of stock market volatility using the combination of artificial neural networks and conditional variance patterns.In this research, multi-layer perceptron nerve networks (MLP), conditional variance heterogeneity models (ARCH) and self-regression model and conditional variance (GARCH) (P, Q) have been used. The statistical population of the study is the Tehran Stock Exchange index for the period of April 2008 to April 2018 . The research seeks to reject or confirm the hypothesis that "the use of an artificial neural network and conditional variance models increases the accuracy of the forecast of stock market fluctuations in the Tehran Stock Exchange relative to the conditional variance model" . The results, confirm the validity of the above hypothesis. Manuscript profile

Open Access Article

83 - Nonlinear Dynamic Modeling of Factors Affecting the Stock Market: Baysian Quantile Threshold Regression - GARCH approach
Reza Tehrani Mohammad Osoolian Saeed Bajalan Vahid Abbasion

During the last decade, studies on the factors affecting stock market returns have reached a peak with the advances of financial economics in the field of statistics and mathematics, and modeling is of great importance in this regard. Accordingly, this study seeks to pr More

During the last decade, studies on the factors affecting stock market returns have reached a peak with the advances of financial economics in the field of statistics and mathematics, and modeling is of great importance in this regard. Accordingly, this study seeks to present a new approach to modeling the nonlinear relationship between financial variables and stock returns.This paper employs Bayesian Markov chain Monte Carlo (MCMC) sampling methods for updating the estimates and quantile threshold regression with heteroscedasticity. To study and model this approach, we used returns of the Tehran Stock Exchange, Coin Price, Oil, and Gold Price from 2011 to 2019. The results show that these variables have different effects under low and upper quantile levels. Also, the impact of the financial variables on the stock returns is different under higher and lower threshold amount for each quantile levels. Based on the result, we can say that stock returns have a nonlinear relationship with other markets in the bullish and bearish market. Manuscript profile

Open Access Article

84 - Comparison of different machine learning models in stock market index forecasting
maryam sohrabi Seyed Mozaffar mirbargkar Ebrahim Chirani SINA KHERADYAR

Predicting time series of financial markets is a challenging issue in the field of specialized studies of time series and has attracted the attention of many researchers. Due to the presence of big data, this issue has led to the growth of developments in the field of m More

Predicting time series of financial markets is a challenging issue in the field of specialized studies of time series and has attracted the attention of many researchers. Due to the presence of big data, this issue has led to the growth of developments in the field of machine learning models. Due to the importance of this issue, in this study, by using the comparison of different machine learning models such as random forest approaches, support vector machine, artificial neural network and deep learning-based recurrent neural networks to investigate the ability of different machine learning models in prediction. The total index of Tehran Stock Exchange during the period 2013 to 2020 has been discussed. The prediction results of 1, 3 and 6 day courses for the out-of-sample period show that the machine learning method based on the long short-term memory (LSTM) network, a recurrent neural networks, has a better result compared to other models. Manuscript profile

Open Access Article

85 - An investigation of stock market liquidity, ownership, and capital structure choices using Panel VAR
zahra ghorbani alireza daghighiasli marjan damankeshideh roya seifipour hooshang momeni vesalian

This research investigates stock market liquidity, ownership, and choices of capital structure using the Panel VAR model for 50 companies listed in the stock exchange over 2013-2019. According to the results of Panel VAR estimates, a one standard deviation shock to owne More

This research investigates stock market liquidity, ownership, and choices of capital structure using the Panel VAR model for 50 companies listed in the stock exchange over 2013-2019. According to the results of Panel VAR estimates, a one standard deviation shock to ownership structure caused the capital structure to increase in terms of companies’ debts, and this effect continued by increasing debts. Also, after some periods, the impact of the shock to corporate ownership structure on capital structure in terms of debts achieved its highest point and was followed by a decreasing trend..Analysis of variance showed that 0.03% of the impacts were caused by shocks in ownership structure, 0.5% was related to liquidity shocks, 0.09% was related to shocks in the corporate size, 0.005% was related to shocks in sale growth rate, 0.02% was related to shocks in fair value of assets, 0.08% was related to shocks in profitability, 0.51% was due to shocks in the consumer price index, and 3.93% was related to shocks in exchange rate volatility. Among the variables considered, exchange rate volatility, inflation, liquidity, and ownership structure, respectively, had the most impact on the capital structure for companies listed in the stock exchange over annual periods. Manuscript profile

Open Access Article

86 - Analysis of Comovement between Tehran Stock Market and Global Macroeconomic Indicators Using a Time-Frequency Analysis
Khadijeh Dinarzehi Mohammad Nabi Shahiki Tash Gholamreza Zamanian

Study of the comovement between financial markets plays a crucial role in increasing the performance of trading strategies. Due to the strong dependence of Iran economy on oil prices and the fluctuation of the dollar exchange rate in the open market, it is very importan More

Study of the comovement between financial markets plays a crucial role in increasing the performance of trading strategies. Due to the strong dependence of Iran economy on oil prices and the fluctuation of the dollar exchange rate in the open market, it is very important to study these macroeconomic level factors on stock market performance for portfolio management. In this research, using time-frequency domain analysis, while discovering the interdependence between financial markets, capital turnover trends in Tehran stock exchange are analyzed and the effect of exchange rate fluctuations and the price of the OPEC oil basket on the indices including TEPIX, industry, banking, automobile, and oil products are studied. The results show that the longer the investment horizon, the stronger this effect is, and the increase in the exchange rate causes the index to increase in order for the market to prosper more, while there is a weak interdependence between TEPIX and oil price. During the investment horizon of 4 to 9 months, any increase in USD encourages shareholders to trade more, while in similar conditions, the increase in oil prices, except in the banking and the petroleum sectors, cause money to flow out of the market in other sectors. Manuscript profile

Open Access Article

87 - The influence of the Iranian stock market on the volatility of the stock market of trading partners in the MENA region
Seyed Mohammad Reza Khatami Gholam Reza Zomorodian Mir Feiz Fallah Mehrzad Minouei

Trade and relations between countries are a necessary condition for the financial convergence. With this approach, the present study investigated the impact of the Iranian stock market on the stock market of Iran's trading partner in the MENA region. for this purpose, i More

Trade and relations between countries are a necessary condition for the financial convergence. With this approach, the present study investigated the impact of the Iranian stock market on the stock market of Iran's trading partner in the MENA region. for this purpose, information about the total stock market index of selected countries was collected during September 2015 to June 2022 and index fluctuations calculated using wavelet analysis. Next, the VAR model was estimated and the Granger causality test was performed. Finally, the effect of the news on the country's stock market was investigated using GARCH models. The results of wavelet analysis showed that, the range of stock market fluctuations in MENA countries has increased. Based on the results of the VAR model and Granger causality test, Iran's stock market is unilaterally affected by fluctuations in the stock market of trading partner and OPEC member countries, including Kuwait, Oman, Qatar, Saudi Arabia, the United Arab Emirates, and Lebanon. However, there was no sign of Iran's stock market being affected by fluctuations in the stock market of Jordan, Bahrain, Egypt, Tunisia, and Morocco. Finally, the results of the conditional variance models indicate that the selected countries follow a similar asymmetric fluctuation pattern. Manuscript profile

Open Access Article

88 - Investigating and analyzing the spillover effects of stock market in interaction with currency, gold-coin, crude oil and housing markets: VARMA-BEKK-AGARCH Approach
mohammadbagher mohammadinejad pashaki seyed jalal sadeghi sharid Mohammad Eqbalnia

One of the most important issues in financial knowledge which is related to portfolio selection, efficiency market and asset allocation is spillover effect between markets and this effect includes return, volatility and shock effect. These days every shock or volatility More

One of the most important issues in financial knowledge which is related to portfolio selection, efficiency market and asset allocation is spillover effect between markets and this effect includes return, volatility and shock effect. These days every shock or volatility in one market effect on other markets. Correct identification of spillover effect is very important. This paper aims to measure and analysis spillover effect between stock, currency, gold-coin, oil and housing markets. For these purposes we collect daily data of stock, currency, gold-coin, oil and housing for the time period of 2009 to 2020.we used VARMA-BEKK-AGARCH model for estimation. Results show return spillover from currency to stock and from stock to housing and shock spillover from currency, gold-coin and oil to stock and also volatility spillover from currency and gold-coin to stock and from stock to housing. Besides result show leverage effect of shocks from stock to housing market.so we suggest in order to minimize investment risk we had better to evaluate the spillover effects in selecting markets(assets)for our portfolio. Manuscript profile

Open Access Article

89 - Deep learning for stock market forecasting using numerical and textual information (Long-Short Term Memory approach)
seyyedeh mozhgan beheshti masalegou Mohammad ali Afshar kazemi jalal Haghighat monfared Ali Rezaeian

Stock prices are influenced by many factors, making forecasting challenging. This prediction is often ineffective if it only considers numerical data or textual information. This research aims to provide a method of forecasting the future price of stocks based on the st More

Stock prices are influenced by many factors, making forecasting challenging. This prediction is often ineffective if it only considers numerical data or textual information. This research aims to provide a method of forecasting the future price of stocks based on the structure of a deep neural network using price data, a set of technical indicators, and news headlines as input to the model. For this purpose, Dow Jones stock data and Reddit channel news data have been used. Technical features are extracted from the stock data, and the news data are converted into a feature vector by the Bag of Words method and fed into the Long-Short term memory network for prediction. Accuracy is used as a performance evaluation measure and experiments on two data sets. The only numerical and only text has been used to evaluate the simultaneous use of two information sources. Also, three networks, SVM, MLP, and RNN, have been used to evaluate the model. The results show that the LSTM model achieved the highest prediction accuracy of 69.19% using news and financial data. News data is 65.62% accurate, and numerical data is 51.89%. Also, the LSTM model performs better than SVM, MLP, and RNN neural networks. Manuscript profile

Open Access Article

90 - 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

91 - A trading algorithm to establish a suitable investment system with a reasonable return (Case study: Tehran Stock Exchange)
Hassan Torabi Mehdi Bararnia firouzjaei

One of the most important issues in modern financial markets is finding efficient ways to summarize and visualize stock market information. The purpose of this paper is to discover a method to reduce risk and increase investment returns. By analyzing the mass volume of More

One of the most important issues in modern financial markets is finding efficient ways to summarize and visualize stock market information. The purpose of this paper is to discover a method to reduce risk and increase investment returns. By analyzing the mass volume of Tehran stock market data as a case study, and finding the relationships between the data and the discovery of their hidden information that has a significant impact on investors' decisions; an algorithm was designed. Moreover, the data from the automobile industry and oil products and the index of various industries were utilized from 2018 to 2022, and modeling was done by twenty technical indicators. The results of this research showed that mentioned model has a significant performance in identifying and predicting the sales signals issued at the maximum points and the prediction is done with acceptable accuracy. Portfolio management and capital supply companies can use this trading algorithm to make decisions regarding the sale, purchase or holding of securities. Manuscript profile

Open Access Article

92 - تاثیر سرمایه گذاران مومنتوم بر رفتار بازار سهام بر اساس مدل
فریدون رهنمای رودپشتی زهرا شیرازیان

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93 - بررسی وجود حباب قیمتی در بازار سهام تهران
حجت اله عبدالمالکی شاپور محمدی ساجده کمالی رضا وزیری

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94 - The role of privatization in Iranian economy on the deepening of the stock market (with an emphasis on the liquidity ratio)
MohammadEbrahim mohammadPourzarandi masoomeh torkaman ahmadi

One of the main goals of governments in privatization implementation, along with goals such as increasing revenues and improving economic efficiency, is the development of stock markets. In this study, using the Bay and Peron technique, structural break is observed in t More

One of the main goals of governments in privatization implementation, along with goals such as increasing revenues and improving economic efficiency, is the development of stock markets. In this study, using the Bay and Peron technique, structural break is observed in the liquidity variable as one of the signs of the stock market depth. The model implies the existence of at least two effective and valid structural breaks and shows that in many related events, the implementation of privatization led to increased market liquidity as one of the principles of market development and led to a stock market has more depth. Also, using the MRS-GARCH method, it was determined that privatization on the emergence of regime change in the yield variables of stock market index has affected the duration of the third, fourth and fifth development plans in the form of dynamic models. Manuscript profile

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95 - بررسی رابطه بین ارزش افزوده بازار و پاداش پرداختی به مدیران در شرکتهای پذیرفته شده در بورس اوراق بهادار تهران
بهروز لاری سمنانی سپیده جعفری زاد

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96 - The Mechanism Explaining the Volatility Spillover Among Stock Markets; (Case of New York, London, Tokyo and Tehran Stock Markets)
A. Talebpour Abasabad A. Satari

Markets are not limited to a specific geographic location. This leads to better decisions marketing by active economic indiviuals. World markets are valuable for guiding local markets. In this paper, the effect of the interaction among stock matkets of New York, London More

Markets are not limited to a specific geographic location. This leads to better decisions marketing by active economic indiviuals. World markets are valuable for guiding local markets. In this paper, the effect of the interaction among stock matkets of New York, London and Tokyo on Tehran stock market in January 15, 1999 to January 15, 2015 will be investigated. For the analysis, multivariable asymmetric variances model was used. The result showed that the effects of New York, Tokyo and London stock market on Tehran stock market were statistically significant. Also, all of the stock markets under study were affected by their lagged volatilities Manuscript profile

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97 - 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

98 - نقش ادوار سیاسی و تجاری بر تحولات بازار سرمایه در ایران
هاشم زارع حسین مرزبان

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