List of Articles شاخص کل بورس

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  1 - The effect of foreign exchange policies to reduce the current account deficit (with emphasis on the financial crisis of 2008)
  Samira Najafi Estamal Seyed Shamseddin Hosseini Abbas memarnejad Farhad Ghaffari
  10.30495/ijpa.2022.68048.10938
  Background: Exchange rate fluctuations and its deviation from the equilibrium path is one of the most important macroeconomic variables that affects different sectors of the economy from various aspects.   Objective: This study was conducted with the aim of invest More

  Background: Exchange rate fluctuations and its deviation from the equilibrium path is one of the most important macroeconomic variables that affects different sectors of the economy from various aspects.   Objective: This study was conducted with the aim of investigating the effect of foreign exchange policies during the existence of a trade deficit in the financial crisis (crisis of 2008) on the total index of the stock exchange. Method: The present study was conducted using ARDL and VCEM approaches in terms of purpose, application and development. This study examines the relationship between exchange rates (as a control policy to reduce the current account deficit due to the 2008 crisis) and the overall index. Examines the Iranian Stock Exchange. To reduce the effect of the omitted potential variable, interest rates and external reserves are also included in this analysis. In this study, the self-return approach with distributive interrupt (Pesaran, 2001) has been used to investigate the long-run relationship between variables.        Findings: Among the actions of governments in times of crises and deficits in the current account balance is the use of foreign exchange controls. Explaining the effects of the exchange rate due to the dependence of the stock market industries on the import of raw materials as well as the export of products on the overall index of the stock exchange is very important for policymakers and activists in this field.                                                                                                                                                      Conclusion: The results indicate that there is more compatibility between exchange rates and stock prices in critical periods than in quiet periods, in terms of integration in the long run and short-term causality. Also, the results of the implementation of foreign exchange policies, in order to improve the current account, confirm the J-curve.                                                                                                         Manuscript profile
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  2 - Presenting a model for predicting the Tehran Stock Exchange Index using ANFIS and fuzzy regression
  Mohammad Hossein Keshavarz Mohammad Reza Feylizadeh Ayad Hendalianpour
  The purpose of this study is to provide a prediction model for the Tehran Stock Exchange Index using Adaptive Neuro-Fuzzy Inference System (ANFIS) and fuzzy regression analysis. The behavior of this index is nonlinear and chaotic that traditional methods do not predict More

  The purpose of this study is to provide a prediction model for the Tehran Stock Exchange Index using Adaptive Neuro-Fuzzy Inference System (ANFIS) and fuzzy regression analysis. The behavior of this index is nonlinear and chaotic that traditional methods do not predict accurately. Hence, using the above two tools and identifying three macroeconomic variables including inflation rate, exchange rate and crude oil price as independent variables, we predicted the index of the total stock index for the next week. Then, the modeling was performed using the above three variables. By comparing the results, ANFIS performance was better than fuzzy regression. The Root Mean Square Error Performance criterion was obtained for the ANFIS output of 0.021248. The prediction of the next week showed an error reduction for both tools and ANFIS again with an error value of 0.007933, yielded superior performance of the study. Also, the model with four inputs was more accurate compared to the model with three inputs. The emphasis on using macroeconomic variables, predicting the next week's index number, using the two tools mentioned, analyzing the sensitivity of the models during the research are the characteristics of this research. This research can be used by all companies in the stock exchange, investors, brokers, and individuals and legal entities dealing in any way with the stock market. Manuscript profile
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  3 - Forecasting Total Index of Tehran Stock Exchange Using Geometric Brownian Motion Model
  Maryam Davallou Alireza Varzideh
  The use of models based on stochastic differential equations has attracted the attention of financial researchers in recent years and one of the most famous models is the Brownian Geometric Motion model. The purpose of this study is to predict the Tehran Stock Exchange More

  The use of models based on stochastic differential equations has attracted the attention of financial researchers in recent years and one of the most famous models is the Brownian Geometric Motion model. The purpose of this study is to predict the Tehran Stock Exchange total index, one of the important economic indicators for investors, using the geometric Brownian motion model. For this purpose, the total index of Tehran Stock Exchange was investigated in the period from the beginning of 1380 to the end of 1395. Finally, the results showed that the model was able to predict the 1 day horizons with high accuracy. Also, by increasing the length of the prediction horizon, the accuracy of the predicted values by the model is reduced, and the GBM model's ability to simulate the total index value of the stock exchange decreases Nevertheless, the predicted values are still high accurate until the 90-day forecast horizon. Manuscript profile
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  4 - Developing a model for predicting the Tehran Stock Exchange index using a combination of artificial neural network and Markov hidden model
  Leila Talaie Kakolaki Mehdi Madanchi Taghi Torabi Farhad Ghaffari
  The purpose of this study was to design a new model for predicting the Tehran Stock Exchange index using pattern recognition in a combination of hidden Markov model and artificial intelligence. The present study is an applied type and mathematical analytical method. Its More

  The purpose of this study was to design a new model for predicting the Tehran Stock Exchange index using pattern recognition in a combination of hidden Markov model and artificial intelligence. The present study is an applied type and mathematical analytical method. Its location is the Tehran Stock Exchange and during the years 2010 to 2020. Findings showed that the prediction error rate with artificial neural network has a higher accuracy than Markov's hidden model. Also, the prediction error of the hybrid model is much lower than the other two models for predicting the total stock index of Tehran Stock Exchange, so it has higher accuracy for forecasting stocks. According to the MAPE index, the hybrid model method could improve the predictive power of the artificial neural network by 0.044% and also improve the predictive power of the hidden Markov model by 0.70%. Manuscript profile
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  5 - Correlation Analysis of Stock Exchange Index, Oil price, Exchange Rate and Gold price: A Wavelet Decomposition Method
  Nima Pazoki Akram Hamidian Shapour Mohammadi Vahid Mahmoudi
  One of the important issues in the financial markets topic is the relation between the prices of valuable commodities like oil and gold and the various exchange rates. Wavelets are mathematical functions for analyzing the time series into their components in various tim More

  One of the important issues in the financial markets topic is the relation between the prices of valuable commodities like oil and gold and the various exchange rates. Wavelets are mathematical functions for analyzing the time series into their components in various time scales. In this paper firstly the time series of oil price, various exchange rate & gold price are analysis to their components in various time scales by wavelet transform and then the correlation between these components are studied. The results showed that the correlation between these variants are different in the various time scales and also is different from the direct correlation of them. In the case that the direct correlation between the variants is not meaningful we can get valuable correlation in various time scales. Manuscript profile
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  6 - Investigating the relationship between oil price and Iran's stock market index with an emphasis on political uncertainty and the Corona pandemic: Using wavelet transform approach
  nasim amin kharazian roya aleemran Rasoul baradaran hassanzadeh Amir Ali farhang
  10.30495/eco.2022.1964414.2676
  The purpose of this research is to investigate the relationship between crude oil prices and the stock market index of Iran in the period from September 2009 to December 2020. For this purpose, by using wavelet coherence approach based on continuous wavelet transform, t More

  The purpose of this research is to investigate the relationship between crude oil prices and the stock market index of Iran in the period from September 2009 to December 2020. For this purpose, by using wavelet coherence approach based on continuous wavelet transform, the relationship between the yield pair series of Brent crude oil price-total stock index, WTI oil price-total stock index and OPEC oil price-total index of Tehran Stock Exchange has been investigated .The results of this research show that the dependence between the above pair of time series increases with the increase of uncertain conditions such as the increase of sanctions, the withdrawal of the United States from the JCPOA, and the corona pandemic in the medium and long term. Therefore, investors can adjust their investment portfolio in the long and medium term based on the conditions governing the country and their investment goals. Manuscript profile
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  7 - اثرات متغیرهای کلان اقتصادی بر شاخص کل بورس اوراق بهادار تهران
  اسماعیل فدایی نژاد رضا فراهانی
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  8 - Investigating the Mechanism of Fluctuation Exchange Rate, Oil Price and Economic Growth on the Tehran Securities Exchange
  ناصر سیف اللهی حامد سیف اللهی انار
  The overall stock market index of listed companies is one of the important criteria in assessing macroeconomics. Among the factors affecting the stock price index are the exchange rate, oil prices and economic growth. In this study, the effect of exchange rate fluctuati More

  The overall stock market index of listed companies is one of the important criteria in assessing macroeconomics. Among the factors affecting the stock price index are the exchange rate, oil prices and economic growth. In this study, the effect of exchange rate fluctuations, crude oil price and economic growth rate on the total index of Tehran Stock Exchange, during the period of 2009-2018 using monthly data has been studied. Then, to calculate exchange rate fluctuations, oil prices and economic growth, the regression method of conditional variance variance was used and then it was estimated through the generalized model torque model. The results of the model estimate showed that the fluctuations of the total index of Tehran Stock Exchange are affected by exchange rate fluctuations, crude price and economic growth, and among them the total index of a previous period and the exchange rate have a greater impact on the overall stock market index. Leaves securities. Manuscript profile
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  9 - Study in order to measure nexus and spillover effects from world commodities to Tehran overall stock index: A VAR-BEKK-GARCH Approach
  mohammadbagher mohammadinejad pashaki seyyed jalal sadeghi sharif Mehdi Zolfaghari Mohammad Eqbalnia
  In recent years increase in the speed of information transfer and market connectedness caused markets to convergence and affect each other. Today every shock or volatility from one market affect the other markets. This paper investigates nexus and spillover effect betwe More

  In recent years increase in the speed of information transfer and market connectedness caused markets to convergence and affect each other. Today every shock or volatility from one market affect the other markets. This paper investigates nexus and spillover effect between commodity and Tehran stock index. Time periods of this paper is 12 years starting from the first of 1388 to the last of 1399. We used VAR-BEKK-GARCH Model to measure correlation and spillover effect from two groups of commodities: the first group includes precious metals (gold, silver, platinum and palladium) and second group includes base metals (copper, aluminum, zinc, tin and nickel) toward Tehran overall stock index. Results for the first group (precious metals) show spillover from gold to Tehran overall stock index and volatility spillover from palladium to Tehran overall index. for the second group (base metals) return spillover from copper, tin and zinc to overall index and volatility spillover from aluminum to overall index was revealed. shock spillover was not seen for any groups of precious metals and base metals to overall index. Manuscript profile
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  10 - Simulate the Model of the Effects of Alternative Assets Volatility on Overall Index of Tehran Stock Exchange and Housing Prices with Using System Dynamics
  habibollah Ranaei Kordsholi abbas abbasi Hooman Pashootanizadeh
  According to the importance of effectiveness and influence of alternative assets in the portfolio theory framework and proportional to the fluctuation of these assets in our country, predicting the probable changes in the price of these assets and their influence on the More

  According to the importance of effectiveness and influence of alternative assets in the portfolio theory framework and proportional to the fluctuation of these assets in our country, predicting the probable changes in the price of these assets and their influence on the Tehran Stock Exchange's index and the price of real estate proportional to the changes on the international price of oil, is vital to get analyzed from different angles. The purpose of this research is to present a model to predict the influence of the alternative assets on the Tehran Stock Exchange's index. This model is built with the factors including system dynamics, currency rate, gold price, international price of oil and real estate's price. The virtual model is built with Vensim DSS software. The conclusion is that on the long run, the changes of gold price and currency rate have a reverse effect on the Tehran Stock Exchange's index and real estate's price. Considering that the Iran's economy is factor based and is mostly dependent on the oil's price, increasing the price of oil will cause the Tehran Stock Exchange's index and real estate's price to increase on the long run Manuscript profile
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  11 - بررسی روند زمانی قطعی و تغییر در پایداری شاخص کل بورس اوراق بهادار تهران، مبتنی بر تحلیل بیزین و با مدل تعمیم یافته ریشه واحد تصادفی (GSTUR)
  رسول سجاد محسن عسگری
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  12 - اندازه گیری خطای پیش بینی شاخص کل بورس تهران با استفاده از روش‌های سری زمانی فازی مرتبه چندگانه و آرما
  ابراهیم عباسی محسن دستپاک
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  13 - Tehran Stock Exchange Overal Index Prediction using Combined Approach of Metaheuristic Algorithms, Artificial Intelligence and Parametric Mother Wavelet
  Alireza Saranj Madjid Ghods reza tehrani
  Understanding and the investigating the behavior of stock prices, has always been one of the major topics of interest to the investors and finance scholars. In recent years, various models for prediction using neural network and hybrid models have been proposed which ha More

  Understanding and the investigating the behavior of stock prices, has always been one of the major topics of interest to the investors and finance scholars. In recent years, various models for prediction using neural network and hybrid models have been proposed which have a better performance than the traditional models. Here a hybrid model of neural network and wavelet transform is proposed in which genetic algorithm has been used to improve the performance of wavelet transform in optimizing the wavelet function. Daily stock exchange rates of TSE from April 21, 2012 to April 19, 2017 are used to develop a prediction model. The results show that it is possible to find a wavelet basis, which will be appropriate to the intrinsic characteristics of time series for prediction and the prediction error in this model is reduced comparing to the neural network and hybrid neural network and wavelet models. Manuscript profile
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  14 - Dynamic GAS Based Modeling for Predicting and Assessing the Value at Risk of Tehran Stock Exchange Index and Bitcoin
  Mohammad Ebrahim Samavi Hashem Nikoomaram Mahdi Madanchi Zaj Ahmad Yaghoobnezhad
  10.30495/afi.2022.1956046.1119
  Purpose: This research has been written with the aim of modeling a new criterion for measuring risk in order to eliminate the shortcomings of traditional models in the field of investment risk management.Methodology: In the present study, with a practical purpose, to es More

  Purpose: This research has been written with the aim of modeling a new criterion for measuring risk in order to eliminate the shortcomings of traditional models in the field of investment risk management.Methodology: In the present study, with a practical purpose, to estimate the value at risk of daily bitcoin price data (2,707 views) in the years 2013 to 2020 and the data of the total stock exchange index (2,753 views) 2011 to 2020 has been used in two groups of education and test (500 views). In order to estimate the value at risk using the nonlinear method and the generalized variable self-fitting time (GAS) method, modeling was performed by learning from the data of the training group and the accuracy of the model was determined by the data of the experimental group.Findings: The results showed that for the total stock index, only two models, GAS and GARCH, are suitable risk estimators. On the other hand, for Bitcoin cryptocurrencies, only two models, GAS and GARCH, are suitable risk estimators, which GARCH model is more preferable.Originality / Value: Findings showed that the new GAS model is a preferential estimator for the total stock market index than other nonlinear models. This is due to the variable time feature as well as the dynamics of the GAS model, which is able to respond to market turbulence conditions unlike traditional models in the short run. These results also help investors and active financial institutions to manage risk in their trading systems. Manuscript profile