شاخص قیمت

Open Access Article

1 - On the relationship between Tehran stock exchange indexes and capital expenses of government
G. Talebnia N. Jalili

The government investments can have strength role in development activity of stock exchange .Therefor,the aim of this research is survey and studying a bout the relationship and effect of capital expenses ofgovernment on the activity of tehran stockexchange as a mainpar More

The government investments can have strength role in development activity of stock exchange .Therefor,the aim of this research is survey and studying a bout the relationship and effect of capital expenses ofgovernment on the activity of tehran stockexchange as a mainpart of capital market and important part ofeconomics. This stady address the following hypothesis: «there is a meaningful relationship between tehranstock exchang indexs and capital expenses of government.» this hypothesis has six secondry hypotheses inwhich the meaningful relationship between capital expenses of government and six tehran stock exchangindexs such as tehran price index, tehran dividend price index, tehran dividend index, financial, industrialand 50 more activ company index (tse-50) are considersd.The results of this research revealed that: there is a positive and meaningful relationship between capitalexpenses of government and tehran price index, tehran dividend price index and industry index, in period ofsurvey and a not very strong relationship between capital expenses of government and tehran dividend,financial and fifty more activ company indexes, on during five years (1377-1381) has been observed.In the light of these findings, we can utilize government financial policy and specialy capital expenses ofgovernment for predict the changes of tehran stock exchange indexs. Manuscript profile

Open Access Article

2 - Modeling Behavior of Stock Price Using Stochastic Differential Equation with Stochastic Volatility
Saber Molaei Mohammad Vaez Barzani Saeid Samadi

The purpose of this article is modeling the behavior of stock price using stochastic differential equations. The data for this study include daily observations of the total stock market index, the index of the top 50 companies and the index of the 30 largest companies i More

The purpose of this article is modeling the behavior of stock price using stochastic differential equations. The data for this study include daily observations of the total stock market index, the index of the top 50 companies and the index of the 30 largest companies in the Tehran Stock Exchange. The data are daily from March 25, 2006 to April 15, 2015.The geometric Brownian motion and geometric Brownian motion with nonlinear GARCH are used to modeling the behavior of price index. The results of this study includes the following: (1) According to the log likelihood function, geometric Brownian motion with nonlinear GARCH in the three groups studied data has better performance than the geometric Brownian motion. (2) Based on the model of stochastic differential equations with stochastic volatility, the total market index is more influenced by the good news. (3) The impact of the bad news on the index of the 30 largest companies is more than the impact of the good news. (4) The unconditional variance of the total stock market index has two structural breaks; the unconditional variance of index of the top 50 companies has one structural break and no structural breaks in the unconditional variance of index of the 30 largest companies. Manuscript profile

Open Access Article

3 - An Investigation Stock Price Index Convergence in Middle East stock markets: Cluster Analysis Approach
Behnaz Nanavay Sabegh Ali Fegheh Majidi Ahmad Mohammadi

The capital market in each country is considered as the most important part of the economy and its changes and fluctuation can reflect the full-fledged economic structure of each economy. The study of the global trend of convergence of stock markets indicates the interd More

The capital market in each country is considered as the most important part of the economy and its changes and fluctuation can reflect the full-fledged economic structure of each economy. The study of the global trend of convergence of stock markets indicates the interdependence of the economies of each other and the mobility of capital between countries. The stock market index reflects the trend of stock markets movements and it show the changes in the economy. In this study, the hypothesis of the convergence of the index of prices of stock markets in Middle East countries during the period from January 2007 to February 2017 has been investigated using cluster analysis method. The results show that the stock markets do not form a convergent cluster. However, there are two converging clusters between stock markets but the Jordanian stock market is not in any cluster and forms a non-convergent cluster. Manuscript profile

Open Access Article

4 - Predicting Index of Stock Exchange by Hidden Markov Model and K-Mean Algorithm
Saeid Asgari Naser Yazdani Mohsen Nazem Bokaei

Stock price prediction is a classic problem that has been analyzed by different tools and models. Stock market trend changes depends on supply and demand rule and other macroeconomic forces in the market circumstance. Non liner and full swing process makes it hard to pr More

Stock price prediction is a classic problem that has been analyzed by different tools and models. Stock market trend changes depends on supply and demand rule and other macroeconomic forces in the market circumstance. Non liner and full swing process makes it hard to predict future stock price. Traditional statistical techniques and models cannot explain seasonal and non-station time series data in stock markets. Hidden markov model has widely used in the way of predicting statistical time series. It extensively has used in such majors as speech recognition and DNA sequencing and also it can be used in order to next stock price prediction. In this study we tried to use discrete hidden markov model to predict next day’s index in Brussels (Euro Next) and answer the question that “which market will get the more accurate prediction by hidden markov model?. Manuscript profile

Open Access Article

5 - The Role of Inflation Regime in the Exchange Rate Pass-Through to stock price in Iran: Markov-swiching Approach
Maryam Lashkarizadeh Donya Ahadiyanpour Parvin

The main objective of this study was to examine the impact of Inflation Regime on the Pass-Through to stock price in Iran, Using time series data monthly from the march 2009 to feb 2016. Then, we used the Markov-Switching model for extraction of high and low inflationar More

The main objective of this study was to examine the impact of Inflation Regime on the Pass-Through to stock price in Iran, Using time series data monthly from the march 2009 to feb 2016. Then, we used the Markov-Switching model for extraction of high and low inflationary environments and Then we tested the impact of inflationary environments with the influence of liquidity, oil prices and nominal exchange rate impact on stock price index by using co integration Johansen- Juselius method, Results showed that the inflationary environments have the asymmetric impact on the degree of exchange rate crossing over the stock price, so in an environment with high inflation, the Exchange Rate Pass-Through was 89%, and in an environment with low inflation, the exchange rate crossing was 57% Also the results indicated that liquidity and oil prices have significant and positive impact on the stock price index and nominal effective exchange rate has a significant and negative impact on the stock price index. Due to Intensify the degree of crossing the exchange rate of inflation environments and its negative impact on the stock price, especially in high inflationary conditions, it’s not appropriate policy for development and contributes to capital markets. Manuscript profile

Open Access Article

6 - The Designing Early Warning System of Financial Crisis Outbreak in Tehran Stock Exchange by Logit & Probit Model
alireza gholizadeh Mir Feiz Fallah Shams Mohammad Ali Afshar Kazemi

Encountering with financial crises of supervision and predicting such these events which are necessary to decrease their negative effects on finanicial and economical markets. The current paper is aimed to review the designing the early warning system of financial crisi More

Encountering with financial crises of supervision and predicting such these events which are necessary to decrease their negative effects on finanicial and economical markets. The current paper is aimed to review the designing the early warning system of financial crisis outbreak in Tehran stock Exchange. Due to this purpose, it’s used the weekly datas during the years from 1997 to 2019 (1121 weeks). The mean of crises in this present papper is the falling more than 15% of price index (TEPIX) toward last three months. Hence, it’s been used the dummy variable for operating the dependent variable. It’s been used the residual of auto regressive integrated moving average (ARIMA) for measuring the shocks caused by the price of stocks, exchange rate, price of oil and gold. The result is modeled by Logit & Probit model and showed that probability of the crisis outbreak is increased by decreasing the stock price in past period as well as the outbreaking of crisis in past period after reviewing and analyzing the data. While the decreasing of exchange rate, increasing of the gold price, and decreasing of oil price don’t affect on crisis outbreak in current periods as meaningfully. Based on weekly data, 44 crisis has occurred which both models have predicted 36 crisis. The power of crisis predicting is 82% and the power of predicting for total model is about 99%. Manuscript profile

Open Access Article

7 - The Seasons Effect on the Total Stock Prices for 50 Active Companies in Tehran Stoch Exchange
Zohre Hajiha

This research is on a new field of investment management titledbehavioral finance. The research is about one of the anomalies of theinvestment market named “Visceral inferences “, that proposes there aresome differences and anomalies in the basic variables i More

This research is on a new field of investment management titledbehavioral finance. The research is about one of the anomalies of theinvestment market named “Visceral inferences “, that proposes there aresome differences and anomalies in the basic variables in the market likeshare prices ,in different seasons .therefore, investors can obtainabnormal return in certain seasons. In this study total share prices for 50active companies produced by TSE are examined for the period of 1382to 1386 to compare the reasons if there are any differences betweenprices in any season.The results show significant differences between prices of 50 activecompanies in Tehran Stock Exchange for spring and atom and in theatom average of prices are higher than other seasons . Manuscript profile

Open Access Article

8 - بررسی تاثیر متغیرهای خرد و کلان پولی بر شاخص قیمت سهام دوازده گروه شرکتی فعالتر در بازار بورس اوراق بهادار با استفاده از روش داده‌های تابلویی پویا
ویدا ورهرامی رعنا عباسقلی نژاد اسبقی

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Open Access Article

9 - The Effect of Exchange Rate and its Volatility on Stock Price Index in Iran
Azadeh Mehrabian Ilnaz Chegeni

One of the effective factors on stock price index is exchange rate that often its quantities is fluctuating in different domains. In different countries with considering the differences in investment infrastructure and economic situation, the effect of exchange rates an More

One of the effective factors on stock price index is exchange rate that often its quantities is fluctuating in different domains. In different countries with considering the differences in investment infrastructure and economic situation, the effect of exchange rates and its volatility on stock price index can be different. This article uses monthly mean of Tehran price index (TEPIX) and real exchange rate between 1380/M1-1391/M3 with purpose of studying the effect of exchange rate and its volatility on TEPIX. By Using Eviews6 software, at first, volatility of exchange rate is calculated by GARCH method and then the effect of exchange rate and its volatility on TEPIX is estimated by VAR model. The results indicate that in all periods the effect of exchange rate is more than its volatility. Based on the results of Johansen test, exchange rate and its volatility has a significant long-run equilibrium relationship with TEPIX. Exchange rate has negative effect on TEPIX and its volatility has a positive one.   Manuscript profile

Open Access Article

10 - Evaluation the Effect of Exchange Rate Fluctuations on Medical Care Price Indexes in Iran
Hamid Kordbache Zahra Ahmadi

Introduction: Given the importance of medical care on the public health and its high inflation rate relative to the changes in the cost of living in Iran, this research is to study the effects of exchange rates on the inflation of medical care. Methods: In this study, a More

Introduction: Given the importance of medical care on the public health and its high inflation rate relative to the changes in the cost of living in Iran, this research is to study the effects of exchange rates on the inflation of medical care. Methods: In this study, an ARCH model has been used to examine the effects of exchange rate fluctuations on the consumer and producer price indexes of medical care for a quarterly dataset over the period 2004 -2014. Moreover, ECM integration method has been applied to investigate the long-term relationship between the variables. Results: Based on the results of ARCH and ECM models, exchange rate, liquidity and GDP have the significant and positive impact son medical care price index in the short and long-term.  The finding show that the effects of exchange rate changes on medical care price index for consumer price index and producer price index are0/23 and 0/14 in the short-term and 0/327 and 0/256  in long-term respectively. Conclusion: However the finding of this study asserts a stronger relationship between exchange rate and medical care over the consumer price index compare to the producer price index. Manuscript profile

Open Access Article

11 - Impact of cash flow shock and stock prices on stock price forecast In the Tehran Stock Exchange
iraj noravesh narges mohseni اکبر رحیمی پور

The main purpose of this research is to investigate the effect of cash flow shock and stock prices on prediction of stock price index in Tehran Stock Exchange. The study period in this study was seasonal data from the beginning of the year 2011 to the end of 2017 and th More

The main purpose of this research is to investigate the effect of cash flow shock and stock prices on prediction of stock price index in Tehran Stock Exchange. The study period in this study was seasonal data from the beginning of the year 2011 to the end of 2017 and the number of observations for each of the variables examined is 68. To investigate the least squares and all relevant tests were used. After statistical analysis, it is concluded that there is a relationship between stock price deviation with the creation of a bubble in the stock market of Tehran. There is also a relationship between liquidity and price bubbles in the Tehran Stock Exchange. And in the study of the predictive power of the model The regression revealed that the standard deviation of the forecast in high fluctuation periods is high and the regression model introduced in times of crisis and price bubbles calculates the amount of bubbles more than its actual value. In fact, the predicted price is always in the bubble period The price is higher than real prices, and this results in more severe inflationary conditions in the financial market. Manuscript profile

Open Access Article

12 - Simulation of Model Changes by Exchange Rates and Gold Price on the Tehran Stock Exchange Performance with System Dynamics Approach
A. Naghi Mosleh Shirazi M. Hashem Moosavihaghighi Hooman Pashootanizadeh

In this study, after considering the important impact of Stock market on the country’s economy, it will analyze the long-term relationship between Tehran Stock exchange market and the variables of exchange rate and gold’s price. Keeping this in mind, by usin More

In this study, after considering the important impact of Stock market on the country’s economy, it will analyze the long-term relationship between Tehran Stock exchange market and the variables of exchange rate and gold’s price. Keeping this in mind, by using the System Dynamics method and the relationship between Financial, Stock exchange, exchange rate and gold market’s data, it will analyze and simulate the movement of large capitals from the stock market (in this study, Chemical industry) to the currency and gold market and vice versa. The simulation is done with the Vensim DSS Software. The overall result is showing that the change in the Macro Economic variables will increase the value of the stock market. In this study, it has used different scenarios for changing the macro economic variables and the results are showing that decreasing and increasing the interest rate by 5% will increase and decrease the stock market’s value respectively 21.86% and 3.14% on future. Manuscript profile

Open Access Article

13 - The identifying and investigating the factors of not applying inflation Impacts on the financial reporting in Iran
Sadegh Nekooei Mahdi Salehi Yahya kamyabi

In this paper, it has been tried to identify and study the causes of non applying inflation effects on financial reporting in Iran. The current research is a descriptive and Correlational research and through employing questionnaire has offered the required data to rese More

In this paper, it has been tried to identify and study the causes of non applying inflation effects on financial reporting in Iran. The current research is a descriptive and Correlational research and through employing questionnaire has offered the required data to researchers. the hypothesis of the paper has been examined using t-test and the data from 128 questionnaires received from statistical population composed of faculty members of public universities , PhD and MSc students of financial management and accounting , the autonomous auditing enterprises and federal Institutions . the research results analysis indicates that the factors of not applying inflation Impacts on the financial reporting in Iran includes: absent of inflation accounting standard, escape of economical firms from financial regulations and laws as consequence of assets reevaluation, not existing requirement by authorized organizations about complementary reporting of financial statements involving inflation influences, inability of administers at benefits recognition and or inflation accounting disadvantages, not believing of  administers about inflation accounting performance, increase taxes payable on reevaluation assets, not being coordinated and not being adequate of price levels changing indicators. Manuscript profile

Open Access Article

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

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

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

Open Access Article

15 - Price Index Convergence in Iran Provinces
Kiumars shahbazi Frooz fallahi Amir Gholami

Lower level of trade and non-trade barriers between different regions of a country raises the possibility of purchasing power parity theory and the law of one price within an intra-national context. Of course, it is possible due to economic and geographical conditions, More

Lower level of trade and non-trade barriers between different regions of a country raises the possibility of purchasing power parity theory and the law of one price within an intra-national context. Of course, it is possible due to economic and geographical conditions, the prices also be affected by local shocks. Therefore, it leads to the question "whether there is price convergence between different provinces and if any local shocks, what will be the half-life of convergence of provincial price indices? In this paper, we examine the convergence of the consumer price index across Iran provinces using panel unit root test and monthly data during 2002-2011. The results indicate that the convergence of provinces price indices depends on the choice of the numéraire province and by deviations from the law of one price based on a local shock, the convergence of half-life would be about 1.5 years. Manuscript profile

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16 - عملکرد تاثیرگذاری عرضه های اولیه سهام بر افزایش شاخص بورس اوراق بهادار تهران بین تاریخهای 16/09/1387– 16/09/1392
اسماعیل حسن پور قروقچی مرتضی غزنده

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17 - The Impact of Implementing Privatization Program in Tehran Stock Exchange Price Index (TEPIX)
Sohaila Khoshnevis Yazdi Ibrahim Khush Ghamat

In this study, by analyzing the quarterly data of Tehran stock exchange price index, liquidity, the transfer of state-owned enterprises to the non-governmental sector through the stock exchange and the total transfer of shares during the years 2003-2004, and collecting More

In this study, by analyzing the quarterly data of Tehran stock exchange price index, liquidity, the transfer of state-owned enterprises to the non-governmental sector through the stock exchange and the total transfer of shares during the years 2003-2004, and collecting about 48 samples using the Vector Self-Regression Model (VAR), the assumption of the influence of the independent variables on Tehran stock exchange price index has been tested. In addition to the assignment of state-owned enterprises to the non-state sector by the stock exchange, two variables of the liquidity volume and total transfers can also be effective in evaluating these effects on the index.   Manuscript profile

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18 - The Testing of Supply Side and Demand Side at Improving of Financial Markets
Erfan Memarian Mohammadreza Mahjoub Soudeh Hasanpour

In this survey as a case study, the mutual effects of Tehran - Stock Exchange - Price Index (TEDPIX) and Iran's economic growth have been investigated. To do this, the data about the above variables during 1999-2010 has been collected through quarterly data and by econo More

In this survey as a case study, the mutual effects of Tehran - Stock Exchange - Price Index (TEDPIX) and Iran's economic growth have been investigated. To do this, the data about the above variables during 1999-2010 has been collected through quarterly data and by econometric method evaluation, especially Johansson's cointegration test and vector error correction model, the mutual relationship between the variables has been dealt with. The results of Johansson's cointegration test showed that there is a long term balance relation in the above variables. Also the results of the vector error correction method showed that there is a unidirectional relationship between the above variable from economic growth to Tehran - Stock Exchange - Price Index (TEDPIX).and consequently demand side approach was approved in improving fainancial markets. Manuscript profile

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19 - Transitional related to exchange rate changes and the index of export prices: 1385: 4-1369: 1
کریم Emami سیمین Ale ali

Iran due to oil resources is component of indeveloping countries that it’s export is dependent on agricultural products and underground reserves. So starting price fluctuations in world market of these products are caused balance of payment disequilibrium. In this More

Iran due to oil resources is component of indeveloping countries that it’s export is dependent on agricultural products and underground reserves. So starting price fluctuations in world market of these products are caused balance of payment disequilibrium. In this case on way for reducing balance of trade deficit is currency devaluation (increasing in exchange rate) because it is a reason for increasing export. The aim of this article is to analysis exchange rate pass through on the export price index in the long-run. The Johansen-Juselius Cointegration Technique is used to estimate and with using seasonal data over the period spring 1369 till winter 1385 imperical model is estimated for Iran’s economy. The results of estimate show that there is an incompelet relation in domain of taking influence export price index exchange rate changes in long-run. Exchange rate pass through coefficient on export price index is 0.16 in long-run, so according the results, pricing to market is based on local common prices (LCP) in long-run. Manuscript profile

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20 - Mechanism of impact of shocks on oil prices, currency prices and investment, taking into account adjustment costs on the stock price index
Peyman Armagan Manijeh Hadi-Najad Marjan DamnKeshide Masoume Shojaei

10.30495/fed.2022.694712

AbstractThe present article explains the mechanism of the effect of shocks on oil prices, currency prices and investment by considering the adjustment costs on the stock price index using SVAR structural self-regression model for the years 1370-1397. Based on SVAR model More

AbstractThe present article explains the mechanism of the effect of shocks on oil prices, currency prices and investment by considering the adjustment costs on the stock price index using SVAR structural self-regression model for the years 1370-1397. Based on SVAR model estimation results; A shock in oil prices will reduce production by 5 percent and reduce employment in the country by 1 percent. The results also show that a single impulse from the oil price range increases the stock price index by 33%, as well as an exchange rate impulse from the exchange rate increases the stock price index by 7% and an impulse from Taking into account the adjustment cost, the investment area will reduce the stock price index by 40%, as well as a shock from the commercial period and the production gap will reduce the stock price index by 17%. Also based on the results of analysis of variance among the variables of the model; Investing in adjustment costs, oil price shocks, currency shocks, real interest rate shocks and production gaps, respectively, accounted for the largest percentage of explanatory changes in the model during the period under review. Therefore, reducing investment adjustment costs by applying various policies such as; Distributing skills and supporting unemployed workers, developing technical and vocational education, reducing labor costs between industries, using trade liberalization policies can be helpful in ensuring macroeconomic stability and stock market and stock market index.. Manuscript profile

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21 - The effect of manufacturing purchasing managers index on stock market index in Iran
Sakineh Sejoodi Parviz Jafarzadeh Barenji

10.30495/fed.2023.705589

Abstract Considering the increasing development of the stock exchange market and its potential for creating economic growth and development of the country, it is very important to study the factors affecting this market and this issue is very important for all users of More

Abstract Considering the increasing development of the stock exchange market and its potential for creating economic growth and development of the country, it is very important to study the factors affecting this market and this issue is very important for all users of this market. The main purpose of this study is to investigate the effect of the manufacturing Purchasing Managers Index (PMI) on the stock price index in Iran. Therefore, the present study has used the monthly data from 2018:10 to 2022:11 and using the Granger causality method and Johansen co-integration to investigate the relationship between Purchasing Managers Index and total stock price index and manufacturing stock price index. The results indicate that there is a one-way causality from the growth of the manufacturing purchasing managers index to the growth of the total stock price index and the growth of the manufacturing stock price index. Also, based on Johansen's cointegration test, there is a long-term positive relationship between the growth of manufacturing purchasing managers index and the growth of total stock price index, and also between the growth of manufacturing purchasing managers index and the growth of manufacturing stock price index. Given that the increase in PMI indicates economic prosperity in the manufacturing sector, this positive relationship shows that, as expected, stock price indices react positively to improvement signals in the manufacturing sector and negatively to negative signals. Manuscript profile

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22 - برآورد تابع تقاضای بنزین در ایران طی دوره زمانی 1381 تا 1386 با استفاده از تکنیک پنل دیتا*
علی امامی میبدی غلامرضا گرایی نژاد نگین دارابی

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23 - The Study of Chaos Phenomenon in TEDPIX of Tehran Stock Exchange
محمد نمازی زهره حاجیها حسن چناری بوکت

  Abstract Complicated time series such as stock prices and their changes are commonly hypothesized as random and subsequently unanticipated parameters, while probably, these time series could the resultant of a chaos or a regular non–linear active process More

  Abstract Complicated time series such as stock prices and their changes are commonly hypothesized as random and subsequently unanticipated parameters, while probably, these time series could the resultant of a chaos or a regular non–linear active process and consequently they will be anticipatable. This article examines whether TEDPIX of Tehran Stock Exchange (TSE)are following the random walk process or evaluated by a chaotic process in the period of 1380-1392. For analysis of the hypothesis, unit root, BDS, autocorrelation and auto-regression were used. The results of the study indicate that TEDPIX is a chaotic and non–randomized parameter. These results are related to the inefficiency of the TSE market and subsequently showed that the TSE market has the potential of short–time predictability and there is a non–clearance information progress. Manuscript profile

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24 - Predict the effect of macroeconomic variables on stock price index using neural network GMDH
امید Farman ara وحید Farman ara

The economy of every country is composed of different parts, the relationship among which determines the economics direction of that country. The capital market together with money market make up the financial market as the fundamental basics of an economy. Their operat More

The economy of every country is composed of different parts, the relationship among which determines the economics direction of that country. The capital market together with money market make up the financial market as the fundamental basics of an economy. Their operation has significant influence on the growth and development of the economy. In cases there is no constructive relationship between the financial market and other parts of the economy, economic performance might be subject to distortions. The stock market as a fundamental basic of the financial market has a crucial role in facilitation of investments in the capital market. Given the importance of expectations in different economic fields, the main purpose of this study is to project behavior of the Tehran stock exchange price index. Therefore, after a review of dominant economic theories, we use a new method, artificial neural network GMDH, to forecast the impact of macroeconomic variable on the Tehran stock exchange price index. The GMDH Algorithm is a nonlinear model to anticipate complex systematic relationships between variables of the model. The special feature of this deductive algorithm is recognition and screening of the most effective variable to estimate the model with training samples and omit the non-significant ones the simulation process with testing samples. So, we can solve the model via iterative methods to minimize the typical standard Error like RMSE, MAPE, and so on. Manuscript profile

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25 - Predictability Test of Stock Market Price Index in Iran Investment Market and comparing Linear and Nonlinear models predictability potentials
Karim Emami Ghodratollah Emamverdi

Since the highly complicated Time Series such as Stock Market Prices are usually stochastic, their changes are assumed to be unpredictable. Some tests which have been used to study the statistical observations related to the economical variables e.g. Stock Market Price, More

Since the highly complicated Time Series such as Stock Market Prices are usually stochastic, their changes are assumed to be unpredictable. Some tests which have been used to study the statistical observations related to the economical variables e.g. Stock Market Price, are often go wrong while encountering the chaotic data and recognize them as stochastic ones, though these data are actually generated from the deterministic systems which bear few tribulations. For this reason the predictable and non-linear tests such as HURST, BDS, Runs Test, and Correlation Dimension have been used to study the existence of deterministic chaotic trend and non-linear process in Time Series of Daily Stock Market Price Index of TEHRAN STOCK EXCHANGE from 23 rd October, 2000 to 24 th September, 2002. The result of the above mentioned tests shows the predictability and the existence of a non-linear process in the sample data. After the illustration of predictability and the non-linear process in daily stock index data, then the linear time series models (AR), non-linear (GARCH) and Artificial Neural Network (ANN) have been estimated to present a suitable model for predicting the Stock Price Index. Comparing the potential of predictability of these models by such criteria as: CDC, RMSE, MAE, MAPE and U-THEIL inequality coefficient, it has been revealed that there is the highest potential of predictability in Artificial Neural Network models than the other ones Manuscript profile

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26 - برآورد شدت تأثیرگذاری سیاست‌های پولی بر شاخص قیمت سهام در ایران (مطالعه موردی صنایع پتروشیمی فعال در بورس اوراق بهادار تهران)
احمد علی شکوه مرجان دامن کشیده منیژه هادی نژاد

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27 - Demand estimates tourism in selected provinces
هوشنگ Moemeni vesaliyan لیلا GHolami por

As an important economic section of high efficiency, tourism has an excellent position in the modern world called Tourism Industry. According to the Iranian tourism attractions, this industry may be considered for moving out of single-product condition and dependency on More

As an important economic section of high efficiency, tourism has an excellent position in the modern world called Tourism Industry. According to the Iranian tourism attractions, this industry may be considered for moving out of single-product condition and dependency on oil. Therefore, the author intends in this article to show some effective factors on demand of tourism and share of each factor. In this case, 11 tourist provinces in a period of 2005 to 2010 were studied. By linear logarithm function and its estimation in panel data method, it was determined that the traveling costs in destination such as variable of total goods and services used index (SHB) and ratio of price of hotels in that province to the family income of other provinces (NHN), are the most efficient variable in total demands for domestic tourism. In addition, coefficient of variable of total local tourism attractions (TJ) and total tourism and travel agencies (TA) is positive, showing direct relationship of number of domestic passengers and two mentioned variables in that province. Manuscript profile

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

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29 - Evaluation of market efficiency with using advanced econometric models in Tehran Stock Exchange
mohammad jouzbarkand hosein panahian

This study is an attempt to introduce a suitable model to evaluate the efficiency of capital market in Iran. Optimal allocation of resources in micro and macro investments is essential to the capital market. The main task of the capital market is to streamline capital a More

This study is an attempt to introduce a suitable model to evaluate the efficiency of capital market in Iran. Optimal allocation of resources in micro and macro investments is essential to the capital market. The main task of the capital market is to streamline capital and allocate resources effectively. Investigating what factor or factors influence the market price of a share in market and whether there is a systematic pattern of pricing a share is In terms of market efficiency .In this regard, the daily data of the Tehran Stock Exchange Index and Total Price Index during 2008-2018 have been used. ARCH, GARCH and Kalman filters were used to perform the test. The results of the tests show that there is no weak form of market efficiency in the Tehran Stock Exchange. And this inefficiency has not changed significantly since the first period. In other words, it is possible to predict returns in the Tehran stock market. Manuscript profile

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30 - بررسی تاثیرات همزمان نااطمینانی قیمت نفت و قیمت طلا بر شاخص قیمت بورس اوراق بهادار تهران: بر پایه مدل سه متغیره GARCH
حسن حیدری سعید شیرکوند سید رامین ابوالفضلی

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Open Access Article

31 - مقایسه فاکتورهای مهم بازار سرمایه بر اساس مدل شارپ و استردا
نرگس علیزاده علی سبحانی داریوش مختاری

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Open Access Article

32 - Prediction of stock price bubble drop in Tehran Stock Exchange (conditional Volatility approach)
shahrzad kashanitabar Fereydoon rahnamaroodposhti Mirfeiz Fallah Ebrahim Chirani Gholamreza zomorodian

Stock market as a part of the capital market plays a very important role in directing savings to the manufacturing sector in all countries. Today, in the economy of many developing countries, the situation of macroeconomic variables is not consistent with the ascension More

Stock market as a part of the capital market plays a very important role in directing savings to the manufacturing sector in all countries. Today, in the economy of many developing countries, the situation of macroeconomic variables is not consistent with the ascension of stock indices, and in fact the relationship between the economy and the stock has been discontinued. Today, in the economy of many developing countries, the situation of macroeconomic variables is not consistent with the increase in stock indices, and in fact the relationship between the economy and the stock has been discontinued. In the present study, for the prediction of price bubbles, the daily data of 144 companies in the Tehran Stock Center during the period of 1389 (1396) has been analyzed by the generalized autoregressive conditional heteroscedasticity (GARCH). Based on the results of the data analysis, member firms in the stock center in the years under consideration have been priced bubbles that were higher in the first six months of the year. The factors that triggered price bubbles include political shocks, returns in parallel bubbles, such as oil, currency and gold. Manuscript profile

Open Access Article

33 - Effects of Monetary Policy on Gross Development Product and Inflation through House Price Index in Iran
H. Sharifi-Renani S. Ghobadi F. Amrollahi N. Honarvar

The purpose of this research was to analyze the effect of monetary policy on gross domestic product and inflation via house price index as a proxy for other assets in Iran in 1989-2008. For the analysis time series data and vector error correlation method were used. The More

The purpose of this research was to analyze the effect of monetary policy on gross domestic product and inflation via house price index as a proxy for other assets in Iran in 1989-2008. For the analysis time series data and vector error correlation method were used. The results showed that in the pattern 1 the positive monetary shocks in the short run increased the product and decreased the prices but, in the long run it decreased the product and increased the prices. The debt shocks of the banks to the central bank in the short run had little effect on the product and the prices. In the intermediate run these shocks had decreased the product and increased the prices. And in the long run it increased the product and decreased the prices. In pattern 2 positive shock of the legal deposits ratio leads to decrease in the production and increase in the inflation in the short, intermediate and the long run, through the banking lending. Results shoed also that money policy instruments (banks loan to the central bank and the rate of legal deposits) had a little effect on the granted facilities of the banks. Manuscript profile

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