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  1 - شناسایی عوامل و ارزیابی تأثیر آنها بر دقت پیش بینی سود و ارتباط آن با نوسانات قیمت سهام شرکت های پذیرفته شده در بورس اوراق بهادار تهران
  هاشم نیکو مرام منصور گرکز
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  2 - The Investigation of Cash Flow Volatility on Systematic Risk in Accepted Companies in Tehran Stock Exchange
  Younes Badavar-Nahandi Hossein Bevrani Hamzeh Abravan
  Evaluation of utility of a platform investment in uncertain status is based on its risk andreturn values. In other words, awareness from risk of companies, especially the systematic riskcan play an important role in decision-making. The main purpose of this research is More

  Evaluation of utility of a platform investment in uncertain status is based on its risk andreturn values. In other words, awareness from risk of companies, especially the systematic riskcan play an important role in decision-making. The main purpose of this research is study ofeffects of volatility in cash flows on systematic risk. In this study the effect of volatility in cashflows related to each of the sections of Cash Flow Statements (accounting standards of Iran) onsystematic risk of listed companies in Tehran Stock Exchange has been studied. The aim ofthis research is Applied Research and research method is causal or post facto method. In thisstudy, financial information of 73 companies listed in Tehran Stock Exchange during the period2004 to 2008 were investigated. In order to test the hypotheses, statistical techniques ofcorrelation and regression analysis and test of significance for the Pearson model, T and F hasbeen used.The results show that volatility in cash flows from operating activities, volatility incash flows related to income tax, volatility in cash flows from investment activities andvolatility in cash flows from financing activities have positive effect on systematic risk, whilevolatility in cash flows related to investments returns and interest and dividend paid forfinancing activities has no impact on systematic risk. Manuscript profile
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  3 - Asymmetric effects of financial conditions on the growth of GDP in Iran (Quantile regression analysis)
  shirin aminian zohre tabatabaienasab Sayed yahya Abtahi Mohammad Ali dehghantafti
  10.30495/jfksa.2023.73226.12688
  In this study, the asymmetric effects of financial conditions on the growth of GDP in Iran are investigated. For this purpose, in the first stage, to extract the weights; It includes 12 variables for the construction of Iran's financial conditions index (IFCI) in order More

  In this study, the asymmetric effects of financial conditions on the growth of GDP in Iran are investigated. For this purpose, in the first stage, to extract the weights; It includes 12 variables for the construction of Iran's financial conditions index (IFCI) in order to investigate the current issue in the form of the final quantile model for the period of 1991-2021. Based on the results; in the first and second (lower) quadrants; Financial condition indicators (IFCI) have a negative effect on GDP growth, and in the third and fourth quarters, the intensity of its impact on GDP growth increases. In other words, the financial condition indices (IFCI) of the first (Q1) and second (Q2) quarters have a strong negative temporal correlation with the GDP growth. The fluctuations of downside risks are more severe than those of upside risks, especially in bad financial conditions. According to the chart trend of forecasting the GDP growth of the last quarter, the financial shocks are affected by the first, second and third order shocks. As the financial conditions worsen, the average GDP has decreased, and finally the costs have increased despite a financial crisis. These fluctuations affect the amount of investment by affecting the indicators related to production. Due to the different infrastructures, a separate study of how production is influenced by the uncertainty of the government's monetary policies, government's financial policies, and government's currency policies can provide a correct view of how Iran's financial market changes due to these fluctuations in the macro decisions of the country. Manuscript profile
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  4 - Investigating effect of mean residence time on herd behavior on Tehran stock exchange index volatility by Heston model
  Zahra Shirazian
  In this article investigate the herd behavior of stock prices inTehran stock exchange with the Heston model. Basing on parameter estimation of the Heston model obtained by minimizing the mean square deviation between the theoretical and empirical return distributions, w More

  In this article investigate the herd behavior of stock prices inTehran stock exchange with the Heston model. Basing on parameter estimation of the Heston model obtained by minimizing the mean square deviation between the theoretical and empirical return distributions, we simulate mean residence time of positive return.Plots of mean residence time of positive return against the amplitude or mean reversion of volatility demonstrate a phenomenon of herd behavior for a positive cross correlation between noise sources of the Heston model. Also, for a negative cross correlation, a phenomenon of herd behavior is observed in plots of mean residence time of positive return (MRTPR) against the long-run variance by increasing amplitude or mean reversion of volatility. From the simulating results of MRTPR, we observe that (i) when MRTPR is regarded as a function of the amplitude of volatility fluctuation c, there is a phenomenon of the herd behavior for a positive cross correlation between two Wiener processes of stock price and volatility (i.e., λ > 0); (ii) when MRTPR is regarded as a function of mean reversion a, there is a phenomenon of the herd behavior for our considered values of b and c under λ > 0; (iii) increasing a or c induces a phenomenon of the herd behavior under λ < 0 when MRTPR is regarded as a function of mean reversion b. Manuscript profile
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  5 - An Investigation & Comparison between Accounting Measures of Performance Evaluation & value-Based Measures in Estimating the Companies’ Economic Rate of Return
  فریدون رهنمای رودپشتی محمد حامد خان محمدی
  Economic performance assessment of companies has been always of interest for stakeholders. In addition to accounting based evaluation model, there is an economic model, which focuses on cash flows rather than profit. One of these models is the “cash recovery rate& More

  Economic performance assessment of companies has been always of interest for stakeholders. In addition to accounting based evaluation model, there is an economic model, which focuses on cash flows rather than profit. One of these models is the “cash recovery rate” based on which the economic rate of return can be estimated. In this article, the relationship between accounting measures of performance evaluation(Return On Assets, Return On Equity, Return on Sales) and value-based measures(Economic Value Added and Market Value Added) in relation to cash recovery rate, which is as proxy of economic performance of companies, has been investigated. As many as 60 sample companies between the periods of 1382 to 1386 have been selected. The achieved results from empirical tests indicate that the return on assets, return on equity, return on sales and market value added are positively and directly related to the cash recovery rate. They can be used as a reliable measure in the performance evaluation in spite of economic value added which lacks information content.   Manuscript profile
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  6 - E-Garch and Modeling of Market Volatility Based on Noise Trading
  Abdolmajid Abdolbaghi Siavash Sbour Maryam Bagheri Rafi
  The presence of noise traders with fanatical attitude in financial markets is considered as a reason for the divergence of price and risk from predicted levels, but on the other hand the absence of noise traders might cause dwindling of market volatility. Generally, tho More

  The presence of noise traders with fanatical attitude in financial markets is considered as a reason for the divergence of price and risk from predicted levels, but on the other hand the absence of noise traders might cause dwindling of market volatility. Generally, those who execute their trades based on market noise have poor understanding of the validity of receiving information, nevertheless a major part of traders falls into this category. The following study evaluated fluctuation of noise trading, using EGARCH (exponential general autoregressive conditional heteroscedastic) model for the price index of the Tehran stock exchange market from 2012 to 2016. There was a meaningful relation between the noise and market return, so that an increase in noise trading resulted in market return growth and a decline in noise trading altered fluctuation to a smoother trend. Furthermore, the growth of trade value, turnover and number of trades was related to the rise in noise trading. Manuscript profile
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  7 - The effect of Overconfidence on Investors Behaviors: Evidences from Tehran Stock Exchange
  S. Morteza Mousavi M. Ebrahim Aghababaei
  In its most basic form, overconfidence can be summarized as unwarranted faith in one’s intuitive reasoning, judgments, and cognitive abilities .The objective of this study is to examine the effects of this important bias on decisions of investors. Here, besides me More

  In its most basic form, overconfidence can be summarized as unwarranted faith in one’s intuitive reasoning, judgments, and cognitive abilities .The objective of this study is to examine the effects of this important bias on decisions of investors. Here, besides measuring various aspects of overconfidence(mis calibration, illusion of control, optimism about future, better than average effect, volatility estimation), the relation between individual overconfidence aspects and three performance measures including trading volume of individual investors, number of orders and individual returnhas been tested. The result shows correlation coefficient of 0.747 with99 percent confidence level between overconfidence and number of orders. Also correlation coefficient of 0.695 with99 percent confidence level exists between overconfidence and order volume and finally more overconfidence does not result in more individual returns. Manuscript profile
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  8 - 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
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  9 - Modelling the Price bubble warning system and financial crisis in the stock market
  Mahdieh Norozi Mohammadebrahim Mohammadporzarandi mehrzad minouei
  10.30495/jfksa.2022.20588
  The purpose of this study is to design a warning system for price bubble and financial crisis in the Iranian stock market. In this study, the statistical information of the seasonal data of the period 1990-2019 and the MGARHC have been used to extract and identify the v More

  The purpose of this study is to design a warning system for price bubble and financial crisis in the Iranian stock market. In this study, the statistical information of the seasonal data of the period 1990-2019 and the MGARHC have been used to extract and identify the variable of financial crisis and price bubble in the capital market. The results of this study showed that variables such as production, inflation rate, exchange rate, total stock market index, etc. have a significant impact on the occurrence of financial crisis and the possibility of price bubbles in financial markets. Based on the estimation, it can be stated that the effect of the shocks of the research variables on the occurrence of the price bubble in the stock market leads to an increase in the instability of the variables. This can be due to the dependence of the economic structure on its markets, and this can have heavy consequences due to a shock on the country's structure. Manuscript profile
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  10 - The Relationship between Holding Periods for Common Stocks with Bid-Ask Spread, Market Value of the Firm and Return Volatility in Tehran Stock Exchange
  علی جعفری مهسا هنرمند حمید ذوالفقاری امیر رسائیان
  It is of crucial importance to identify and measure the factors influencing theholding period in order to examine the various structures of the capital market. Theresults of some foreign studies indicate that there is a relation between stock returnvolatility, market va More

  It is of crucial importance to identify and measure the factors influencing theholding period in order to examine the various structures of the capital market. Theresults of some foreign studies indicate that there is a relation between stock returnvolatility, market value, bid-ask spread and the holding periods. The present study alsoaims at surveying the relation between stock return volatility, market value, bid-askspread and the holding periods in Tehran Stock Exchange.To do so, among the companies which were accepted in Tehran Stock Exchange andwhose required data during a nine years period of research (1381-1389) were available,110 companies were chosen. In the present study, the holding period is dependantvariable and bid-ask spread, Stock return volatility and market value are independentvariables. The hypotheses were examined using multi-variable regression and the datawere analyzed using the panel data method.The results of the study indicate a positive correlation between market value, and theholding periods. The results also indicate that there is no significant relationship betweenstock return volatility, bid-ask spread and the holding period of the selected companies. Manuscript profile
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  11 - Momentum, Origin of Specific Volatility
  Maryam Davalo
  Current paper is aimed to investigate origin of expected return explanation by volatility of specific volatility through momentum strategy return. In other words, one of the explanations presented for profitability of investment strategy based on specific volatility is More

  Current paper is aimed to investigate origin of expected return explanation by volatility of specific volatility through momentum strategy return. In other words, one of the explanations presented for profitability of investment strategy based on specific volatility is tested in this paper that is founded by investors' under-reaction to firm specific information and ultimately momentum appearance. So the relation between momentum and specific volatility of CAPM and Fama-French three factor model is tested using portfolio study approach and Fama-Macbeth regression.This research that is performed in sample composed of 130 listed firms in Tehran Stock Exchange, shows return of investment strategy based on specific volatility is higher for stocks having high momentum. If momentum effect is included, explanatory power of the specific volatility is not omitted. So it cannot be claimed that the origin of relation between model specific volatility and expected return is momentum Manuscript profile
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  12 - Investigation of relation between the currency rates of volatility on open position of Tejarat bank
  H. Ebrahimi
  This research, Investigate the relation between the currency rates ofvolatility on open position Tejarat bank and its effects of the impulsesfrom the exchange rate volatility and other variables on open position. Inorder to do this , we have utilized open position items More

  This research, Investigate the relation between the currency rates ofvolatility on open position Tejarat bank and its effects of the impulsesfrom the exchange rate volatility and other variables on open position. Inorder to do this , we have utilized open position items, reference rates ofCentral bank , Stock price index , Money supply and Balance ofcountry’s monthly payments over a six-year period from 1381 to1386.Foreign exchange position as it’s name signifies , shows the state ofbeing long or short in position. In other words, the differential of theassets and the liabilities of the bank in one foreign exchange is calledforeign exchange position.For this purpose, the new econometric procedures have been used.Vector Auto Regressive model has been used for variables which are inthe augmented level (Japan’s Yen and Swiss Frank) and Vector ErrorCorrection Model has been used for variables which became augmentedby a differential.(based on Dollar , Euro , Pound , and sum of foreigncurrencies).In the meantime , as per the standard pattern of SchwarzBayesian ,Akaike , and Hannan Quinn , Quantity 2 has been selected asthe optimum degree for VAR.Surveys in this research show that the reaction of open position offoreign currency against the impulse from the currency rate varianceinfluence the value of the foreign currency assets and the liabilities of thebank , and make the bank confront with the considerable risk in the valueof the foreign currency assets and liabilities. Manuscript profile
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  13 - Forecasting Petroleum Futures Markets Volatility with GARCH and Markov Regime-Switching GARCH Models
  مرتضی بکی حسکوئی فاطمه خواجوند
  In this paper we compare a set of different standard GARCH models with a group ofMarkov Regime-Switching GARCH (MRS-GARCH) in terms of their ability to forecastthe petroleum futures markets volatility at horizons that range from one day to onemonth. To take into account More

  In this paper we compare a set of different standard GARCH models with a group ofMarkov Regime-Switching GARCH (MRS-GARCH) in terms of their ability to forecastthe petroleum futures markets volatility at horizons that range from one day to onemonth. To take into account the excessive persistence usually found in GARCH modelsthat implies too smooth and too high volatility forecasts, MRS-GARCH models, wherethe parameters are allowed to switch between a low and a high volatility regime, areanalyzed. Both gaussian and fat-tailed conditional distributions for the residuals areassumed, and the degrees of freedom can also be state-dependent to capture possibletime-varying kurtosis. The forecasting performances of the competing models areevaluated with statistical loss functions. Under statistical losses, we use both tests ofequal predictive ability of the Diebold-Mariano-type and test of superior predictiveability, such as White􀀀s Reality Check and Hansen􀀀s SPA test. The empirical analysisdemonstrates that MRS-GARCH models do really outperform all standard GARCHmodels in forecasting volatility at shorter horizons according to a broad set of statisticalloss functions. At longer horizons standard asymmetric GARCH models fare the best.All this tests reject the presence of a better model than the MRS-GARCH-t in thisresearch Manuscript profile
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  14 - Modeling daily price fluctuations, liquidity and the effect of magnetism on the temporary cessation of trading on the Tehran Stock Exchange
  saeed gholami seyed yahya abtahi gholamreza askarzadeh hamid khajeh mahmood
  10.30495/jfksa.2023.22613
  The importance of volatility in financial markets is that sharp price fluctuations in markets lead to a decrease in public confidence and, as a result, reduce the demand for investors in the market, and this will reduce economic growth in the future. Had. The purpose of More

  The importance of volatility in financial markets is that sharp price fluctuations in markets lead to a decrease in public confidence and, as a result, reduce the demand for investors in the market, and this will reduce economic growth in the future. Had. The purpose of this study is to investigate the effect of daily price fluctuations, liquidity and the effect of magnetism on the temporary cessation of trading on the Tehran Stock Exchange. In this study, to test the relative effectiveness of the symbol stop and the price fluctuation limit, the changes in the mean from the pre-event period to the post-event period have been investigated. 600 trading interruptions and 1149 price fluctuations of 120 selected companies by elimination sampling method during the period 2010-2020 have been investigated. The statistical test of the research performed using SPSS software. The results show that the factor of daily price fluctuations, liquidity and the effect of magnets on the stoppage of trading and the development of research models with this factor and the formation of corresponding modified models, improves the performance of those models in explaining stock stops. Manuscript profile
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  15 - Analysis of the the Impact of Symmetric and Asymmetric Shocks of Oil Price on Investor Sentiment in IRAN: Markovs-Switching Approach
  Maryam Yosofinezhad Hossein Sharifi-Renani Saeed Daei-Karimzadeh
  10.30495/jfksa.2022.19838
  According to the special role of oil in the international economy and also the effect fluctuations of this global variable on the performance of financial market and its role in financial dicisions always has been considered by investors.Therefore, the role of oil in th More

  According to the special role of oil in the international economy and also the effect fluctuations of this global variable on the performance of financial market and its role in financial dicisions always has been considered by investors.Therefore, the role of oil in the economy is not only for macroeconomic indicators, rather it has affected on the stock market indicators and variables. Also, according to the special role of oil in the economy of Iran and foreign exchange earnings, the stock market can be affected by fluctuations of oil price. Therefore, determining and recognizing the impact of stock price has played a significant role in forcasting and the overall market trend. And it should also be considered important in the level of investor sentiments and desire to invest. One of the components that always fluctuate the investor sentiments is oil price. In countries such as Iran , Which are heavily dependent on oil revenues the effects of oil price fluctuations are also more sever.Considering that the result of oil exports is the entry of currency in to the country and these currencies are used by the government to developthe country.So the exchange rate is one of therelated  categories with investor sentiments.According to the description provided to achieve prosperity and stability development ,studing and recognizing the investor sentiments and the effective factors are special important.Accordingly , in present study using the monthly data for the years from 1391 to 1398 with the approach of markovs swiching  identify the factors affecting the investment.Research results show that fluctuation in oil prices, exchange rate , money supply and consumer price index can be effective on the investor sentiment. Manuscript profile
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  16 - Testing the transmission of price fluctuations of physical assets to selected industries (Application of state space approach and ARDL model)
  mahdi shaban habibollah nakhaei ghodratollah talebnia nazanin bashiri manesh
  The purpose of this study is to test the transmission of price fluctuations of physical assets to the returns of selected industries including the chemical, pharmaceutical, food, construction and basic metals industries. For this purpose, the data of selected industries More

  The purpose of this study is to test the transmission of price fluctuations of physical assets to the returns of selected industries including the chemical, pharmaceutical, food, construction and basic metals industries. For this purpose, the data of selected industries return index, dollar rate, Bahar Azadi coin price (representative of gold market), Iranian crude oil price and housing price from mid-December 2008 to March 2019 were prepared with daily frequency and using conditional heterogeneity variance method and state space approach and Kalman filter, conditional standard deviation of returns is considered as a measure of fluctuations. Then, using the ARDL method, how the fluctuations in the price of physical assets are transmitted to the index of returns of selected industries is described. The results show that the chemical industry from the fluctuations of the foreign exchange market, housing and gold, the pharmaceutical industry from the fluctuations of the oil, foreign exchange and housing markets, the construction materials industry from the fluctuations of the foreign exchange market, the food industry from the fluctuations of the oil market and the basic metals industry from the market fluctuations gold has a contagious linear system that provides evidence of information inefficiency in the Tehran Stock Exchange industry. Manuscript profile
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  17 - The study of popularity theory in Iran's financial market and its relationship with stock returns and stock returns volatilities in Tehran Stock Exchange
  S. Alireza Mirarab baygi Hashem Mokari Mohsen Nazarizadeh
  Considering the importance of stocks in financial and accounting literatures, and investors’ reactions to company stocks during different periods, the present study investigates popularity theory in Iran's financial market and its relationship with stock returns a More

  Considering the importance of stocks in financial and accounting literatures, and investors’ reactions to company stocks during different periods, the present study investigates popularity theory in Iran's financial market and its relationship with stock returns and stock return volatilities in Tehran Stock Exchange. A total of 179 companies are analyzed during 2010 to 2015. This is an applied study with post-hoc design. Moreover, it is considered a descriptive - inductive study based on methodology. Linear regression models are applied to examine hypotheses using Eviews8 software. The results show there is a positive and significant relationship between stock popularity and stock returns, stock return volatility and beta coefficients. In other words, stock popularity can increase stock returns, stock volatility, and beta coefficient Manuscript profile
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  18 - The impact of gold prices on global exchange rate fluctuations and ounces
  behzad fakari Ameneh Anooshehpour Hossein Hossein Abadi
  10.30495/jfksa.2022.21089
  The impact of gold on other economic and non-economic variables, as well as the impact of gold prices on other financial and investment markets, has made planning and policy-making in this area difficult. One of the common mistakes in the same policy is to consider the More

  The impact of gold on other economic and non-economic variables, as well as the impact of gold prices on other financial and investment markets, has made planning and policy-making in this area difficult. One of the common mistakes in the same policy is to consider the degree of impact and the impact of the price of gold on other variables. For this purpose, in this study, using Markov switching method and with daily data from August 2013 to August 1400, excluding non-common days, the main variables affecting the price of gold in Rials were investigated. The results of the study showed that there are two regimes in the study period, the point of separation of these two regimes was the withdrawal of the United States from the UN Security Council. The elasticity of the rial price of gold to the exchange rate fluctuations in the second regime compared to the first regime has increased sixfold. The elasticity of the rial price of gold to the dollar price in the second regime compared to the first regime has increased 1.6 times. The pull of gold prices to exchange rate fluctuations has replaced its pull against the exchange rate in the second regime. According to the results of the study, it is suggested that policy makers in the decision for parallel gold markets, pay attention to its different tendencies to different variables in different regimes Manuscript profile
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  19 - Trading Behavior of Institutional Investors in Volatile Markets
  Ali Ebrahimnejad hamidreza ahrabi mahdi heydari
  10.30495/jfksa.2023.22616
  We examine the behavior of institutional investors in response to extreme market fluctuations in the Iranian stock market. Specifically, we examine whether institutional investors engage in herding and follow the market, or are contrarian traders and provide liquidity d More

  We examine the behavior of institutional investors in response to extreme market fluctuations in the Iranian stock market. Specifically, we examine whether institutional investors engage in herding and follow the market, or are contrarian traders and provide liquidity during market turmoil. We examine the relationship between institutional investors' ownership percentage, stock returns, and volume in severe market fluctuations. We also explore the relationship between institutional ownership and stock returns for different types of institutional investors, including insurance, mutual fund, and investment companies. Using the daily data of listed companies from 2009 to 2019, we find that institutional investors trade against the direction of the market during market turmoil and provide liquidity for stocks in which they are a blockholder or the controlling owner. We find no evidence of herd behavior among institutional investors. Manuscript profile
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  20 - Analyzing the structural breaks and the exchange market turbulence on volatility spillovers between exchange rates and Tehran Stock Exchange
  alireza Erfani Mohammadmehdi Gholizadeh
  This article has studied several fluctuations in the Iranian currency market and multiple turmoils in the economy that have not only wiped out Iranians private savings but also affected financial market activists to provide a better understanding of fluctuations' moveme More

  This article has studied several fluctuations in the Iranian currency market and multiple turmoils in the economy that have not only wiped out Iranians private savings but also affected financial market activists to provide a better understanding of fluctuations' movement between markets. To doing so, we used the exchange rate in the open market (in some periods, the black market) as one variable and the Tehran Stock Exchange Index (TEDPIX) as a second in the form of multivariate conditional heterogeneity variance (MGarch) model. According to the results, the time series suggests multiple structural breaks from Dec. 2018 to Jan. 2020. Using the so-called GLS-Based unit root test, we observed five structural breaks that produced stationary problems at the level and no evidence of stationary problems at the return of the data. Also, by using DCC and FDCC models we confirm that there is a fluctuation between the two markets during the period. This overflow shows a different performance if structural failures are considered. Manuscript profile
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  21 - “Iran Export Engineering &Technical Services” (Identifying Barriers & Offering Suggestions)
  H. Nezakati Alizadeh, F. Farzm
  According to the performed research in the field of engineering & technical services export in Iran .And with consideration of existing problems in this section, 4 effective categories has been identified in main activities with their relevant sub-cat More

  According to the performed research in the field of engineering & technical services export in Iran .And with consideration of existing problems in this section, 4 effective categories has been identified in main activities with their relevant sub-categories including: Bank activities; Financing methods; Presenting exchange facilities; Exchange bank guarantee issuing conditions; Establishing international bank relationships; Insurance coverage, Companies capabilities, Machineries & equipments conditions, specialized humans resources abilities; attendance of Iranian consultant companies in target countries; Marketing techniques & approaches used by Iranian exporters; Economic environment (exchange); Exchange rate fluctuation, Internal inflation rate, Government activities; political supports by Government; Cooperation & expediting the administrative affairs by relevant organizations; Governmental rules & regulation stability; Export promotions & awards. And each subcategory has been specified on the basis of testing according to priority. Manuscript profile
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  22 - Investigation the sudden volatility of stock value of the Tehran stock exchange relying on preferences of investors and quality of accounting information
  Mohammad Kheiry Hadi Esmaeilpour Moghadam Vahid Dehbashi
  Nowadays, investors consider different factors to choose for investment. The goal of this research is the investigation the influence of the preferences of the investors and the quality of the accounting information on the sudden volatility of the stock market value in More

  Nowadays, investors consider different factors to choose for investment. The goal of this research is the investigation the influence of the preferences of the investors and the quality of the accounting information on the sudden volatility of the stock market value in the Tehran stock exchange. The related community in this research are the companies that are membership of the stock market of Tehran on during the period 2004_2014. The analysis of the data was done by using the logit panel econometrics approach. Results show that the quality of the accounting information has a positive and a significant effect on the future sudden volatility of the stock market. Also the results of the research emphasize that significant effect of the preferences of investors on the future sudden volatility of the stock market. In fact the information quality and the preferences of the investors can forecast the future sudden volatility of the stock market value. Manuscript profile
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  23 - Studying the Pricing of Earnings Components During Corporate Life Cycle
  Freydoon Rahnamaye Roodposhti Farid Gholami Hassankiadeh Sara Karimpour
  Many studies have shown that users of financial statements are not able to correctly price the components of earnings. Based on competitive and signalling theories, firms’ reporting and earnings quality vary in different stages of the life cycle. Therefore, in thi More

  Many studies have shown that users of financial statements are not able to correctly price the components of earnings. Based on competitive and signalling theories, firms’ reporting and earnings quality vary in different stages of the life cycle. Therefore, in this research, we try to study the pricing of earnings components over the life cycle of firms. This study was conducted through the mishkin test expanded by the model of Allen et al (2013). In order to implement this plan, data of 78 companies accepted on the Tehran Stock Exchange during the years 2004 to 2014 were collected from CODAL and TSE-Client. The evidence suggests that cash component and accruals components are respectively underpriced and overpriced by market in growth stage. In addition, there was no evidence of mispricing of accruals related to the growth of the company at the maturity stage. Evidence also showed that these items are underpriced in the declining stage. The pricing of other components of earnings was similar in three stages. Given that the smallest and largest amount of absolute value of the difference in the coefficients of earnings components was respectively observed in the maturity and the declining stages, it can be concluded that earnings at the maturity and the declining are respectively the lowest and the most misleading. Manuscript profile
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  24 - بررسی ناهنجاری‌های اقلیم با استفاده از مدل ریز مقیاس نمایی SDSM در شهرستان طبس
  رضا قضاوی سید محمد مهدی موسویان
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  25 - Drought Monitoring and Trend Analysis by Using Rainfall Products ERA5, CHIRPS, and PERSIANN-CDR Rainfall Products in Iran
  Milad Nouri Shadman Veysi
  10.30495/wsrcj.2023.73616.11381
  Background and Aim: The scarcity of data poses a significant challenge for drought studies. Alternative datasets are created to supplement existing data sources. Despite the inherent uncertainties associated with alternative datasets, the gridded datasets provide long-t More

  Background and Aim: The scarcity of data poses a significant challenge for drought studies. Alternative datasets are created to supplement existing data sources. Despite the inherent uncertainties associated with alternative datasets, the gridded datasets provide long-term, spatially-continuous weather data, making them suitable for drought assessment under climate changes. Several studies have been conducted to characterize dry spells across Iran using both point datasets and gridded products. However, most of these studies have focused primarily on identifying errors in absolute values of drought indices and drought detection.Method: In the present study, we evaluated the performance of three gridded datasets in characterizing droughts across different climatic conditions in Iran. The datasets under consideration were the fifth generation of the European Centre for Medium-Range Weather Forecasts (ERA5), Climate Hazards Group InfraRed Precipitation with Station data (CHIRPS), and Precipitation Estimation from Remotely Sensed Information using Artificial Neural Networks-Climate Data Record (PERSIANN-CDR). The Standardized Precipitation Index in 3-, 6-, and 12-month scales (i.e., SPI3, SPI6, and SPI12) was applied. The precipitation observations were obtained from the Iran Meteorological Organization (IRIMO) for 35 sites spanning the period from 1988 to 2017. The با توجهstudy sites covered a range of climatic conditions, including hyper-arid, arid, semi-arid, and humid/semi-humid regions. To analyze the long-term trend in precipitation, two statistical methods, namely, the Sen’s slope estimator (SSE) and the Mann-Kendall non-parametric test (MKZ) were employed.Results: Results revealed that the gridded datasets performed poorly in detecting dry months and estimating SPI values in humid/semi-humid regions. However, ERA5 estimated SPI3, SPI6, and SPI12 with sufficient accuracy in more than the two-third of arid and semi-arid areas. Moreover, ERA5 detected dry months accurately based on SPI12 in the majority of arid and semi-arid cases. Specifically, ERA5 accurately detected severe and long-lasting dry events that occurred in drylands during the periods of 1998-2001 and 2007-2009. These intense dry epochs detected by ERA5 have had significant negative impacts on the agricultural sectors in the Middle East, highlighting the critical need for accurate drought monitoring and management. However, CHIRPS and PERSIANN-CDR performed poorly in estimating SPI and detecting dry months in arid and semi-arid regions. Furthermore, ERA5 provided reliable estimates of the significance and direction of the slope of SPI3, SPI6, and SPI12 in more than half of arid and semi-arid regions, while CHIRPS and PERSIANN-CDR yielded inaccurate estimates in most areas. However, in some cases where SPI values and drought months were not accurately modeled, the significance and direction of slopes were estimated accurately. These findings suggest that while inaccurate SPI estimates from gridded datasets may indicate limitations in their skill to characterize drought; they do not necessarily imply their unsuitability for trend analysis and climate change assessments.Conclusion: The results suggest that ERA5 outperformed the other alternate datasets evaluated in terms of estimating SPI values, detecting drought events, and estimating the significance and slope of SPI in drylands. As such, ERA5 precipitation products may be suitable for drought characterization and monitoring under climate change in drought-prone arid and semi-arid regions of Iran. Manuscript profile
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  26 - The effect of roughness in pressure fluctuations in the stilling basin with sudden expansion
  Mahnaz Karimi Seyed Habib Musavi Jahromi Mahmood Shafai-Bajestan
  Stilling basins with sudden expansions are one of the energy dissipater structures. This structure has many applications downstream of hydraulic structures, such as spillways, sluice gates and chutes. In the jump, the pressure fluctuations resulting from intense macro-s More

  Stilling basins with sudden expansions are one of the energy dissipater structures. This structure has many applications downstream of hydraulic structures, such as spillways, sluice gates and chutes. In the jump, the pressure fluctuations resulting from intense macro-scale turbulence must be carefully considered during the design of the structure. Roughness can also cause changes in the behavior of stream line and vortices. So far its effects on the hydrodynamic characteristics of the jump have not been studied. In this study many tests are conducted in a relatively large flume size of 0.8 meter wide and 12 meter length. Channel expansions ratio (B1/B2) was 0.33 and data are presented for Froude numbers from 4-9.2. Measurements were conducted in the bed of flume by means of pressure transducers systems. The final results of this study show that roughness decreases Intensity of fluctuating pressure in sudden expansion stilling basin. Test results were compared with those of smooth sudden expansion jump and classical jump which indicates that the peak values of RMS dimensionless pressure fluctuations (Cp'), are 53% lower than smooth sudden expansion jump and are reduced 70% compared with classical jump. Intensity of fluctuating pressure at the position of about (0.15-0.3) Lj, can reach the maximal value. Peak values of RMS dimensionless pressure fluctuations C'p max up to 0.023 and maximum positive (negative) deviation Cp-and Cp-values up to 0.08 were obtained. In addition to dimensionless coefficients of pressure fluctuations, the longitudinal distribution of pressures and determined pressure fluctuations and extreme values occurring during flow are obtained. Manuscript profile
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  27 - Estimation of Joint Uncertainties Due to Natural Climate Variability and Emission Scenarios in Climate Change Assessment on Precipitation and Temperature in Zanjan
  Mohammad Reza Khazaei Motalleb Byzedi Iman Babaeian
  10.22034/jest.2020.12355.2091
  Background and Objective: In this paper climate change impacts on daily precipitation, daily maximum, and daily minimum temperature are estimated, while joint uncertainties due to natural climate variability and emission scenarios are estimated. By considering these unc More

  Background and Objective: In this paper climate change impacts on daily precipitation, daily maximum, and daily minimum temperature are estimated, while joint uncertainties due to natural climate variability and emission scenarios are estimated. By considering these uncertainties, the results incorporate a wide range of future possible situations which is a great importance in increasing the reliability of the results. Method: For downscaling of future GCM scenarios, Weather Generator method is used using LARS-WG model. CGCM3 outputs for based on three emissions scenarios, medium (A1B) and high (A2), low (B1), are downscaled for Zanjan. Uncertainty due to natural climate variability is estimated by comparison of 90% limits of 100 LARS-WG generated series for historic and for each future climate scenarios. Findings: The results of this research show that the daily minimum and maximum temperature will increase in the future. Despite the Uncertainty due to natural climate variability, if is expected that the monthly means of daily minimum and maximum temperature will increase for the entire calendar months. Moreover, the uncertainty of emission scenarios is low in comparison with the future increase in temperature. It is expected that the average of monthly precipitation will decrease for the most of the calendar months; although, there is a little possibility for increase in precipitation due to natural climate variability. Discussion and Conclusion: In result of climate change, temperature and precipitation of the Zanjan will change in the future and uncertainties due to natural climate variability and emission scenarios are important in climate change impact assessment on precipitation and temperature. Manuscript profile
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  28 - Clustering of volatility and its asymmetry in Tehran Stock Exchange
  زهرا شیرازیان hashem NIKOUMARAM Taghi´´´ TORABI
  The purpose of this study is to investigate the clustering of fluctuations and its asymmetry in Tehran Stock Exchange. Large changes in prices tend to be large changes and small changes tend to be small changes that are called clustering of fluctuations. On the other ha More

  The purpose of this study is to investigate the clustering of fluctuations and its asymmetry in Tehran Stock Exchange. Large changes in prices tend to be large changes and small changes tend to be small changes that are called clustering of fluctuations. On the other hand, higher volatility fluctuations, They tend to form more clusters than small fluctuations, which are referred to as clustering oscillations of oscillations. The volatility of return on assets can directly affect the price of transaction options and the risk of stocks and portfolios. This research is a practical and quantitative research. The statistical society of the time series of the index of Tehran Stock Exchange and the sample used in the time series of return on the total index in the period from the beginning of 2008 to August 2012 is. The index values are extracted from the new rational software and then the logarithmic yield is calculated and analyzed with the Eviews software. Based on the Box and Jenkins approach, the mean ARMA equation was obtained and ARCH test confirmed the existence of clustering fluctuations. The TGARCH model showed asymmetry in volatility and leverage effect. According to the AKIC statistic, the best GARCH model was used for extraction of fluctuations, ETGARCH was introduced. Manuscript profile
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  29 - Latent Volatility Modeling and Bayesian Analysis of stochastic Volatility of Intraday Data of Tehran Stock Exchange Index Based on Markov Monte Carlo Chain
  Saeed Shahriyari Peyman Iman zadeh Mehdi Khoshnood
  In this study, latent volatility modeling and Bayesian analysis of stochastic Volatility of intraday data of Tehran Stock Exchange index based on Markov Monte Carlo chain in uncertainty conditions (downward crisis of stock market index) have been developed. The method o More

  In this study, latent volatility modeling and Bayesian analysis of stochastic Volatility of intraday data of Tehran Stock Exchange index based on Markov Monte Carlo chain in uncertainty conditions (downward crisis of stock market index) have been developed. The method of the current research is a correlational description. For this purpose, at first, the distribution of the logarithm of the squared return as a measure of the realized volatilities was simulated using the stochastic Volatility model to obtain the latent volatilities, and then by using the hybrid MCMC-Copula model, the parameters affecting the stochastic Volatilities were identified and estimated in the training phase. Finally, using the results obtained from the training phase, in the test phase, the comparison of Copula and GARCH models was done. The results showed that the Copula Gumble, Galambos, Joe, Clayton and Frank provide similar and lower MSE and RMSE indices than the GARCH base model, and therefore the model based on copula provides the possibility of serial dependence in the latent volatility process. The findings of the current research can be useful for financial and investment companies for portfolio management and portfolio management in different conditions of market volatilities in order to achieve the investor's goals and increase the value of the portfolio. Manuscript profile
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  30 - Idiosynchratic Volatilities and Future Stock Return based on Asset Pricing Model: an Attitude toward Risk Tolerance of Return
  Fatemeh Zamani Masoumeh Latifi Benmaran Roya Darabi
  The main purpose of this study was to evaluate the tolerance of returns to the variations of stocks idiosynchratic volatilities, in order to present an explicit response to previous empirical evidences that documents existence of positive or negative relationship betwee More

  The main purpose of this study was to evaluate the tolerance of returns to the variations of stocks idiosynchratic volatilities, in order to present an explicit response to previous empirical evidences that documents existence of positive or negative relationship between idiosynchratic volatilities and stock returns. The statistical population of study is all active listed firms in Tehran stock exchange during years 2013 to 2018, which among them, 155 firms were active in market in whole period of research and were studied. The data of research were analyzed through regression models with approach of panel data. The results of regression models in testing hypotheses of study showed that the general relationship between stock idiosynchratic volatilities and future stock returns is in a negative direction. But, the more accurate evaluations under second model showed that this relationship is affected by risk tolerance of return and there is a U-shape relationship between idiosynchratic volatilities and future stock returns. Manuscript profile
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  31 - 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
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  32 - Volatility of financial stress index on consumer overflow check indicator, the Producer Price Index and Consumer Price Index, with an emphasis on models GARCH-BEKK, VAR and Granger causality
  rohollah rezazadeh hashem nikomaram Mirfeiz Falah Shams
  During financial stress, the impact of financial stress shocks on economic activity may be different from what is usually observed at normal times. Therefore, it is appropriate to examine how the effects of the strategic impact on economic activity are investigated duri More

  During financial stress, the impact of financial stress shocks on economic activity may be different from what is usually observed at normal times. Therefore, it is appropriate to examine how the effects of the strategic impact on economic activity are investigated during the period of financial instability. In this paper, considering the above discussion, the effect of the deteriorating financial conditions of the Iranian economy and its impact on macroeconomic variables during the years1391 to 1396 has been investigated. For this purpose, in this research, we intend to study the impact of fluctuations of financial stress index fluctuations on consumer price index, producer price index and consumer price index by constructing financial stress index using representatives of different markets. Therefore, using the GARCH two-variable BEKK model and also the VAR model, the effects of shock and fluctuations between them were tested and then the relationship between them was investigated by Granger's causality test. The results indicate that there is a two-way relationship between the financial stress index with the consumer index in the short run, but in the study of the causality relationship between the financial stress index and the price index producing the causality tests and var indicate that the relationship They do not exist between them, but the results of the garch test indicate a meaningful relationship between these two indices Manuscript profile
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  33 - Earning Downside Risk and Market-based Characteristics Earning Attributes
  Mehdi Dasineh Farzaneh heidarpoor Yadollah Tariverdi
  According to modern approaches, the risk was defined as loss probability. In fact, rather than taking into account desirable and undesirable changes, only undesirable changes are considered as risks. On the other hand, measuring downside risk using earning rather than r More

  According to modern approaches, the risk was defined as loss probability. In fact, rather than taking into account desirable and undesirable changes, only undesirable changes are considered as risks. On the other hand, measuring downside risk using earning rather than return is considered a new issue. The purpose of the present study is to measure the Earning Downside Risk using earning and to evaluate its effectiveness from market-based criteria of earning characteristics. Earnings downside Risk Index, with a new approach, has been evaluated as an index of risk assessment and the characteristics of relevance, timeliness and conservatism as market-based indicators of earnings characteristics.Using the data of 110 selected companies listed in Tehran Stock Exchange from 2012 to 2017 and multiple regression tests, the relevance and conservatism indices have an adverse and negative effect on the earning downside risk and between factor of the timeliness and downside risk no significant relationship was found. Manuscript profile
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  34 - 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
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  35 - Explain the role of investors with long-term / short-term investment horizons, monitoring different perspectives of managerial decisions
  majid kalantari javad ramezani mehdi khalilpour yahya kamyabi
  In this study, we investigate the role of investors with long-term / short-term investment horizons, supervise management decisions in terms of characteristics of financing decisions, dividend payout decisions and volatility variables. This research is based on the publ More

  In this study, we investigate the role of investors with long-term / short-term investment horizons, supervise management decisions in terms of characteristics of financing decisions, dividend payout decisions and volatility variables. This research is based on the published data of listed companies in Tehran Stock Exchange during 2008-2009 with a sample of 99 companies selected. Hypotheses were tested using multivariate linear regression model and econometric models. The research hypotheses are based on the combined / hybrid data and the partial least squares approach of the hypothesis test. The results show that, in companies with long-term, short-term investment horizons, management decisions are monitored from the perspective of financing decisions. In companies with long-to-short-term investor horizons, monitoring of managerial decisions is from the perspective of dividend payout decisions. In companies with long-term short-term investment horizons, monitoring of managerial decisions is a profitable variable. In companies with long-term-short-term investor horizons, monitoring of management decisions is from the perspective of volatility variables. Manuscript profile
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  36 - Integrated Optimal Risk-Based Liquidity Management Model Design in Specialized Holdings of Social Security Investment Corporation (SHASTA)
  Gholamreza Zomorodian Mohammad Reza Rostami Robabeh Bahramian
  The purpose of the present research is to design a seamless optimized risk-based liquidity management model. The statistical population of this research is in the special holdings of social security investment company (SHASTA), Due to the limited statistical population, More

  The purpose of the present research is to design a seamless optimized risk-based liquidity management model. The statistical population of this research is in the special holdings of social security investment company (SHASTA), Due to the limited statistical population, the total statistical society including the company holdings in the period 1391-1396 was considered as an example. The method of collecting information is library and field. Data analysis was performed using the multivariate regression model presented in the study using Eviews software. The results of the hypothesis test showed that there is a significant relationship between risk sensitivity, price fluctuations, expected returns fluctuations, liquidity risk, and liquidity risk with liquidity management. Manuscript profile
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  37 - Investigating the effects of investors' sentiments on stocks valuation
  Hamid Rostami Jaz Ahmad Yaghoobnezhad Yadollah Tariverdi
  The purpose of this study is to examine the impact of investor's sentiments and the volatilities of profits on the stock price of companies. To achieve this goal, using the data of 95 companies during the financial periods from 2011 to 2016, the effect of the investor's More

  The purpose of this study is to examine the impact of investor's sentiments and the volatilities of profits on the stock price of companies. To achieve this goal, using the data of 95 companies during the financial periods from 2011 to 2016, the effect of the investor's sentiments and the volatilities of profits on the Expected Earnings Growth rate and required rate of return has been investigated using multiple regression model. The results of the study showed that the investor's sentiments affect the Expected Earnings Growth rate and required rate of return .The profit volatilities variable as a factor in the uncertainty of information does not have a moderating effect and does not affect the relationship between the investor's sentiments and stock prices. Manuscript profile
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  38 - Explain the shocks and fluctuations of the foreign exchange market and how to transfer these shocks to other markets
  soqra razi kazemi Fraydoon Rahnamay Roodposhti gholamreza zomorodian Ebrahim Chirani
  The transmission of financial crises between different markets in an economy indicates the existence of channels of transmission of this crisis. Today, parallel currency markets are closely related to other markets such as gold, coins, stocks and oil. Channels that tran More

  The transmission of financial crises between different markets in an economy indicates the existence of channels of transmission of this crisis. Today, parallel currency markets are closely related to other markets such as gold, coins, stocks and oil. Channels that transmit shocks and fluctuations of the foreign exchange market to other markets can include information, macroeconomic variables, investment behaviors, and so on. In this study, using daily data from 2009 to 2017, the explanation of overflow fluctuations and shocks in the foreign exchange market and how to transfer these shocks to other markets has been examined. The results indicate the existence of fluctuations overflow as well as structural fractures due to the presence of this overflow. The research model and determination of interruptions is based on the VAR model. Yields and fluctuations as well as the presence of the Arch effect in the model are determined based on the VAR model. The MV-GARCH model is used to determine the returns in the foreign exchange market. Fluctuations and shocks of the foreign exchange market and its impact on other markets as well as future prices in different markets are determined based on the VAR model. The results of this study indicate the effect of shock in the foreign exchange market on the trend of future prices in this market as well as the impact on other markets. Manuscript profile
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  39 - The Impact of Ownership Structure and Strategy Change on Stock Price Fluctuations with Emphasis on the Modulatory Effectiveness of Investment Information and Investment Returns
  Mohamad ali Sadeghi lafmejani javad ramezani
  This study aimed to explain the effect of adjusting information productivity and return on investment on ownership structure and strategy change with stock price volatility in Tehran Stock Exchange.In this study, the hypotheses were tested using multivariate linear regr More

  This study aimed to explain the effect of adjusting information productivity and return on investment on ownership structure and strategy change with stock price volatility in Tehran Stock Exchange.In this study, the hypotheses were tested using multivariate linear regression model and econometric models.The results indicate that optimization of the property structure and the additional returns resulting from the use of acceleration and reversal strategies will have a positive and direct impact on stock price fluctuations. Increasing information efficiency (total return on a daily basis) will reduce variables related to ownership structure and stock price fluctuations, whereas the type of investment will not affect the relationship. Also, despite the unexpected effect that the surplus of strategy change will have on stock price fluctuations, information efficiency and investment returns will not be affected by this relationship. Manuscript profile
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  40 - Explaining the model of investors' emotional biases affecting stock price fluctuations in Tehran Stock Exchange By relying on the biases of Endowment, self-control, Optimism and Cognitive Dissonance
  mahdi abbasi asl Mohammad Reza Rostami mehrzad minoii
  One of the most vital research programs of financial knowledge today, which is at the forefront of rejecting the theory of efficient markets, is financial behavior theory, which is the cause of joint efforts between financial sciences and social sciences and has deepene More

  One of the most vital research programs of financial knowledge today, which is at the forefront of rejecting the theory of efficient markets, is financial behavior theory, which is the cause of joint efforts between financial sciences and social sciences and has deepened our knowledge of financial markets. Today's financial topics, which we are going to explain, describe and compare, are called financial behavior, which in simple terms is a pattern of thinking in which markets use patterns consisting of social sciences, psychology, finance and several other disciplines. They are studied, and in other words, economic agents are not rational in behavioral patterns contrary to neoclassical theories, but are normal either because of their preferences or because of cognitive biases. The purpose of this study is to design and explain a model for identifying behavioral factors affecting stock price fluctuations in the Tehran Stock Exchange. This research is applied in terms of purpose and in terms of working method is a type of survey research. The data of this research were analyzed using SmartPLS software. The results of the study showed that the emotional bias of short-sightedness, the emotional bias of optimism and the emotional bias of adaptation affect the fluctuations of stock prices of companies. Manuscript profile
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  41 - Lending fluctuations in modeling monetary policy relationships, capital structure and banks' risk-taking
  ایوب تابانی حسین بدیعی Saeed Moradpour محمد حسین رنجبر
  Monetary policy can affect the position of banks, including their risk-taking. In implementing monetary policy, the central bank can directly use its regulatory power or indirectly use its influence on money market conditions as a powerful money issuer. Therefore, the p More

  Monetary policy can affect the position of banks, including their risk-taking. In implementing monetary policy, the central bank can directly use its regulatory power or indirectly use its influence on money market conditions as a powerful money issuer. Therefore, the purpose of this study is lending fluctuations in modeling the relationship between monetary policy, capital structure and banks' risk-taking. In this study, the financial information of 21 banks listed on the Tehran Stock Exchange during the years 1391 to 1397 was used. Sampling was performed by systematic removal method. The required data were collected from the financial statements of companies, Rahavard Novin Tadbir Pardaz software and also from the site belonging to the Stock Exchange Organization and the sites www.rdis.ir and www.irbourse.com as well as the site of the Central Bank. . Excel software has been used to classify the data. Also, after classifying the research data, Eviews10 software has been used to process the information and test the research hypotheses. The statistical method used in this study was correlational and multivariate regression model was used to calculate the independent and dependent variables and also to test the hypotheses. The results of testing the research hypotheses indicate that there is a significant relationship between monetary policy, bank lending fluctuations, capital structure and banks' risk-taking. In the study of control variables, the determination of the ratio of assets to equity of banks has a significant relationship with fluctuations in bank lending. Manuscript profile
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  42 - The Effect of Uncertainty of Macroeconomic Indices on Tehran Stock Exchange Returns with the Approach of Randomized Fluctuations Models with Time Variations
  Samaneh Tarighi Taghi Torabi Farhad Ghaffari Abbas Memarnezhad
  One of the most important tasks of the financial economy is modeling and forecasting of the price volatility of risky assets. For analysts and policymakers, price volatility is a key variable that helps to understand market fluctuations. Therefore, the analysts need to More

  One of the most important tasks of the financial economy is modeling and forecasting of the price volatility of risky assets. For analysts and policymakers, price volatility is a key variable that helps to understand market fluctuations. Therefore, the analysts need to be able to predict the correctness of price volatility as an essential input for tasks such as risk management, portfolio assignment, value at risk and transaction option pricing and future contracts. Accordingly, in the present research, return on stocks of Tehran Stock Exchange has been dealt with using PLS and TVP-SV models and its comparison with OLS method in MATLAB and XLSTAT software from March 2003 till August 2013 (monthly) using true variables (industrial output, real estate investment in housing, economic growth, government spending share in GDP and Non-oil exports growth rate) and monetary variables (inflation, money supply, exchange rate, oil price and domestic price of gold). Based on PLS model, the result was that the variables of economic growth and oil price have more influence of return of Tehran Stock Exchange in comparison with other variables. Then, we entered the variables of economic growth and oil price in TVP-SV model. Based on the results, TVP-SV model has more efficiency in comparison with OLS model. Based on the results of TVP-SV model after the first interruption of stock returns, the economic growth has the highest effect on stock returns. Manuscript profile
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  43 - Idiosyncratic Risk and Market Friction in Investment Process
  Mehdi Gholipur Khanegah Reza Eyvazloo Saeed Mahmoodzade Mehdi Rameshg
  Merton (1987) believes that under market friction, where investors pose limitations in access to information, stocks with high idiosyncratic volatility have higher expected return, because investors are not able to decrease company specific risk through diversification. More

  Merton (1987) believes that under market friction, where investors pose limitations in access to information, stocks with high idiosyncratic volatility have higher expected return, because investors are not able to decrease company specific risk through diversification. As in classical point of view, it is assumed that investors are just subject to systematic risk and only mentioned risk will be priced. Based on that view, unsystematic risk completely managed via diversification, while because of information cost and transaction cost in real world, investors hold limited number of stocks in their portfolios. This paper is going to study idiosyncratic risk and return in Tehran Stock Exchange using monotonic relationship. Our findings don’t approve monotonic relationship between expected return of idiosyncratic risk. Furthermore our results show that average return of high idiosyncratic portfolios is greater than low idiosyncratic portfolios. Manuscript profile
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  44 - Investigation of Quick Reaction of Tehran Securities Exchange to International Economic Announcement Publications
  Ahmadreza Shiri Mehdi Khorramabadi
  Volatility of price movements on stock security exchange is of great importance. Entering of new information to stock security exchange can result in price movement volatility. With regard to this important point, this research is aimed at considering the quick reaction More

  Volatility of price movements on stock security exchange is of great importance. Entering of new information to stock security exchange can result in price movement volatility. With regard to this important point, this research is aimed at considering the quick reaction of Tehran Security Exchange to the internationally published economic announcements. Since U.S economy is known as the axis of economic crises of the world, the quick effect of U.S Job Union (USJU) which is grounded on job opportunities reduction rates has been investigated on Tehran Exchange Security by event study methodology during 1390. The research’s results which have been done on a sample containing 5o listed companies of Tehran Security Exchange during 1990 indicated that the USJU’s internationally published announcement has no information effect on Tehran Security Exchange. Manuscript profile
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  45 - A Performance Evaluation of Black Swan Strategy
  Seyed Jalal Sadeqi Sharif Mohammad Osolian Mandana Abolfathi
  The identification of price patterns in inefficient markets and the market with distribution of abnormal returns on the market index, is one of the most important factors of earning return commensurate with the risk.In this regard, when the unexpected and extreme market More

  The identification of price patterns in inefficient markets and the market with distribution of abnormal returns on the market index, is one of the most important factors of earning return commensurate with the risk.In this regard, when the unexpected and extreme market fluctuations happen or so-called black swan events, by forming the portfolio at the correct times can gain higher return than market.The main objective of this article consist of analysis of portfolio performance that forming by black sawn strategy than market portfolio, based on using measures of risk and return in the market with black sawn events. The sample included 83 companies from 10 different industry of Tehran stock exchange, which traded from March 1383 to December 1393. The data were collected monthly.The results show that Tehran Stock Exchange has black swan events that the volatility is ± 4.22 percent. The portfolios formed on the basis of a black swan strategy to market index portfolio, despite limitations of the market, observed better performance. Manuscript profile
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  46 - The effect of maturity date, trade volume and open interests on gold coin future price volatility
  Reza Raei Azam Honardoost Yunes Salmani Peyman Tataei
  In this research, the effect of maturity, trade volume and open interests on gold coin future price volatility in Iran commodity market have been studied since Dey 1387 to Shahrivar 1391.For doing that we can utilize two approach. In first approach, by considering 27 co More

  In this research, the effect of maturity, trade volume and open interests on gold coin future price volatility in Iran commodity market have been studied since Dey 1387 to Shahrivar 1391.For doing that we can utilize two approach. In first approach, by considering 27 contracts separately, we perceived that the effect of trade volume is meaningful and positive. As we expected, the effect of maturity and open interests are negative, but it’s not meaningful. In second approach, by using time series observation during sample period, the effect of trade volume and open interests on future price volatility have been studied. As a result, we find that the effect of trade volume and open interests on future price volatility is positive and negative respectively. Both of these effects are meaningful, but,the former is substantially more than the latter. Manuscript profile
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  47 - Economic Cycle and Symmetric Volatility of Financial Market Returns: Study of Emerging Economies
  Saeed Moradpour Reza Tehrani Seyed Mojtaba Mirlohi Ezatolah Abbasian
  In the present research, the main issue is the modeling of stock market volatility fluctuations in emerging markets. In the first step, by using Hadrik Prescott's filter and Garch model (1.1), for extraction of economic cycle, by using the GDP we are indicating business More

  In the present research, the main issue is the modeling of stock market volatility fluctuations in emerging markets. In the first step, by using Hadrik Prescott's filter and Garch model (1.1), for extraction of economic cycle, by using the GDP we are indicating business cycles of conteries, the desired economics of modeling are carried out and the results obtained using Regression has been implemented on the returns of sample markets in 24 countries. The study period was between 1992 and 2016. The results show the significance and ability of models presented in the modeling of stock market fluctuations, and the relationship between economic cycles and capital market returns has been confirmed in some countries.     Manuscript profile
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  48 - Test inflation uncertainty and overinvestment with emphasis on managerial overconfidence
  Mehdi Alinezhad Saroukolayi Zabihollah Taheri Keyvan Akbarpour
  Investment is one of the most important and effective factors on growth and development of economy. Shareholders and stakeholders expect managers to recognize the best investment opportunities to achieve the ideal efficiency. In this research, investment by the listed f More

  Investment is one of the most important and effective factors on growth and development of economy. Shareholders and stakeholders expect managers to recognize the best investment opportunities to achieve the ideal efficiency. In this research, investment by the listed firms in Tehran Stock Exchange is studied considering fluctuations in inflation and the effect of managers overconfidence as two factors. The research population consists 193 companies from 2011 – 2015. To test overinvestment, In this research employed Bidel et al (2009) model. The results show that fluctuation in inflation has no effect on overinvestment. Also, it shows that managers overconfidence has direct and meaningful impact on overinvestment. Moreover, managers overconfidence is an effective factor on inflation and overinvestment.     Manuscript profile
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  49 - Threshold effects of shadow economy on the relationship between financial depth, banking policies and macroeconomic fluctuations with socio-economic development
  seyed nourdin  hodaei Marjan Damankeshideh Manijeh Hadinejad شهریار نصابیان
  In this study, the threshold effects of the shadow economy on the relationship between financial depth, banking policies and macroeconomic fluctuations with socio-economic development during the time period of 1401-1370 and the application of the soft transfer threshold More

  In this study, the threshold effects of the shadow economy on the relationship between financial depth, banking policies and macroeconomic fluctuations with socio-economic development during the time period of 1401-1370 and the application of the soft transfer threshold approach (STAR) were investigated. The results of the nonlinear part of the model show a positive relationship between the financial depth variable and the economic development index. Shadow economy variables, exchange rate fluctuations, inflation, government spending, liquidity growth and nominal interest rate have a negative relationship with the socio-economic development index. so that the mentioned variables lead to reduction in order; 95%, 95%, 50%, 45%, 7% and 40% of economic development. The main channel of influencing the financial depth is done by increasing the efficiency of investment and monetary policies. Therefore, the way of financial market liberalization, the weakness of financial system management and the lack of formation of coherent financial markets and the benefit of regulations in the country can be seen as the reasons for reducing the efficiency of investment through the non-optimal allocation of resources in the country. As a result, more attention and effort should be done in the country to develop and make financial markets more efficient and as a result allocate resources more efficiently and increase investment efficiency. Manuscript profile
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  50 - Investigating the Impact of Social Responsibility and Liquidity Risk of Company Stocks on Fluctuations in Stock Returns in Companies Listed on Tehran Stock Exchange
  seyed ali hosseini sara razani
  10.30486/fbra.2021.1942863.1040
  Corporate social responsibility is a key factor in the survival of any organization. Companies see social responsibility as a kind of business strategy, which increases their credibility in competitive markets and also increases their market share. . Liquidity risk and More

  Corporate social responsibility is a key factor in the survival of any organization. Companies see social responsibility as a kind of business strategy, which increases their credibility in competitive markets and also increases their market share. . Liquidity risk and its management method has become one of the most important issues in organizations. The potential effects that this branch of risk can have on the performance of companies are sometimes so wide that they lead to the bankruptcy of these units. The present study investigates the relationship between corporate social responsibility, liquidity risk and stock return fluctuations of the Tehran Stock Exchange in the period 2015 to 2019. Sampling was performed using a systematic elimination method and The selected sample includes 140 companies. The model used in the research follows the study of Bechti et al. (2015) The results show that the liquidity risk variable has a positive and significant effect on stock return fluctuations. This means that with increasing liquidity risk, the amount of stock return fluctuations also increases. The effect of social responsibility variable on stock return fluctuations is negative and significant. Annual sales growth, company size and fixed assets have a negative and significant effect on stock return fluctuations. According to the results of both research hypotheses, the 95% confidence level is confirmed. Manuscript profile
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  51 - The Model of Stock Return Fluctuations and Investors Involved in the Cognitive Biases of Ambiguity Avoidance, Familiarity, Self-documentation, and Procrastination
  mahdi abbasi asl Mohammad Reza Rostami mehrzad minoii
  10.30486/fbra.2023.1999589.1236
  Contrary to the popular belief in modern financial theory that states decision makers behave completely rationally to maximize their profits, studies conducted in the field of behavioral finance show that the human decision-making process is not completely rational and More

  Contrary to the popular belief in modern financial theory that states decision makers behave completely rationally to maximize their profits, studies conducted in the field of behavioral finance show that the human decision-making process is not completely rational and is not based on it. Most of the time, the financial-behavioral factors of the decision-making process examine the perceptions of investors and their reactions to different conditions of the financial market, and emphasize the influence of the personality, culture and judgment of investors based on investment decisions. Recognizing behavioral biases makes investors more aware of their decision-making process, and if faced with biases, they can react well and avoid deviations in decision-making. Therefore, the purpose of this research is to design a model of stock return fluctuations and investors affected by cognitive biases. The statistical population of this research is experts, managers, consultants and experts in financial affairs and the statistical sample includes 160 people.This research is practical in terms of purpose, and in terms of working methods, it is a type of survey research. The study period is in 2022 AD. For sampling, purposeful and snowball sampling methods were used, and with 30 semi-structured interviews with experts, the research reached theoretical saturation. The results obtained from the research showed that cognitive bias, ambiguity avoidance, familiarity, self-documentation, and tardiness have an effect on the volatility of companies' stock returns. The path coefficients (beta) for each bias have been calculated separately, which determines its effect on stock return fluctuations. Manuscript profile
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  52 - Improving the Stability of a Power System Including SVC Based on Energy Function Minimization in a Multi-Model Optimal Coordinated Control Structure
  Elaheh Pagard Shahrokh Shojaeian Mohammad Mahdi Rezaei
  10.30486/teeges.2023.1990843.1083
  In this paper, the improvement of low frequency oscillation (LFO) damping in a power system including SVC is investigated. To achieve this goal, a new control strategy has been presented in which the multi-model controller is optimized using the linear optimal controlle More

  In this paper, the improvement of low frequency oscillation (LFO) damping in a power system including SVC is investigated. To achieve this goal, a new control strategy has been presented in which the multi-model controller is optimized using the linear optimal controller (LOC) and the particle swarm algorithm (PSO). The control bank in the multi-model controller includes three LOC controllers that generate optimal signals through the linearization of the nonlinear equations of the system and the minimization of an energy function to be combined by the Bayes recursive algorithm simultaneously to the generator excitation system and SVC. In order to generate an optimal linear signal, Riccati's equation must be solved; Riccati's equation includes two weight matrices Rric and Qric. These matrices elements are optimized by PSO algorithm. The PSO algorithm has calculated the optimal Rric and Qric with two different objective functions of maximizing the eigenvalues and minimizing the area under the speed curve. To evaluate the MMC-LOC-PSO control strategy, the symmetrical three-phase error is applied to the worst bus and the results of these two objective functions are compared. The simulation of the single machine power system has been done by MATLAB. The proposed control strategy, while maintaining stability, also effectively damps the LFOs, in addition, the permanent rotor speed and rotor angle error have also been favorably pushed to zero. Manuscript profile
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  53 - Seasonal population fluctuations of the cabbage white butterfly, Pierisrapaein cauliflower fields of the South of Tehran
  Gholamhosein Hasanshahi Zahra Dousti Fatemeh Jahan Alireza Askarianzadeh Jaber Karimi Habib Abbasipur
  The cabbage white butterfly, Pierisrapae (Linnaeus, 1758) (Lep.: Pieridae) is one of the most important pests of Cruciferous or Brassicaceaefamily plants in regions of Shahriar, Kahrizak and Sahr’e Ray and every year its damage can be seen on the leaves of these p More

  The cabbage white butterfly, Pierisrapae (Linnaeus, 1758) (Lep.: Pieridae) is one of the most important pests of Cruciferous or Brassicaceaefamily plants in regions of Shahriar, Kahrizak and Sahr’e Ray and every year its damage can be seen on the leaves of these plants. In order to study the seasonal population fluctuation of P. rapae, One hectare cauliflower field in the middle of a large field was randomly selected in five regions of cauliflower fields in southof Tehran were chosen and sampled every 10 days. Each plant was presumed as a sampling unit and sample size was determined as 20 host plants and all eggs, larvae and pupa on the host plant were recorded. Results of this study showed that Jahanabad and Shahed fields had the highest egg density (18.91±5.60) and the lowest egg density (16.53±4.04) was seen in the Playin field during season. In the Shahed field, highest egg density occurred in June 19 and the lowest egg density was seen on October 25. In the Playin field, the highest and lowest egg density was seen on September 29 and June 19, respectively. In the Jahanabad field the highest (2.99±0.66) and lowest (0.41±0.10) larval density was occurred during the season among different regions. Highest density was observed in the Jahanabad field during the harvest time on October 25 and the lowest larval density was seen on June 19. The highest and lowest larval density was seen in the field of Playin  on 25rd October and 19th June, respectively. Kahrizak (0.87±0.16) and Playin (0.19±0.05) fields had the highest and lowest pupal density in different regions during the season. In the field of Kahrizak, highest pupal density was occurred on 25rd October and in the playin field, the lowest pupal density was seen on 19th June. In the Playin field, highest density of pupae was occurred on 14th October and 25rd October and the lowest density of pupae was observed on 19th June and 2th July, respectively. The results showed that number of larval and pupal stages based on units density, between all experimental regions and Shahed university station had not significant difference. Manuscript profile
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  54 - Study on the population dynamics and spatial distribution of the cucurbit Fly; Dacus ciliatus Loew (Dip., Tephritidae)
  M. Barzkar Sh. Goldasteh R. Eslamizadeh B. Usefi
  The Cucurbits fly Dacus ciliates (Dip.,Tephritidae) is one of the most important pest on cucurbit crops in different parts of the Khuzestan province, Iran. Population dynamics of the pest was studied on three varieties (Spring cucumber, Armenian cucumber and Fall cucurb More

  The Cucurbits fly Dacus ciliates (Dip.,Tephritidae) is one of the most important pest on cucurbit crops in different parts of the Khuzestan province, Iran. Population dynamics of the pest was studied on three varieties (Spring cucumber, Armenian cucumber and Fall cucurbit) in Safi Abad agricultural and natural resource research and education center of Dezful, in spring and fall, in 2009. The number of adults caught in yellow sticky traps, the eggs and larvae of different ages were counted weekly in infected fruits. The results showed that there were three population peaks of immature stages in all varieties. The highest number of adults in Spring cucumber caught was 6.65 per trap in middle of Jun and in Armenian cucumber was 4.35 in the late of Jun and in Fall cucurbit was 9.5 adult per trap in the Oct. The Iwao, s Index and Taylor, power law were applied to evaluate spatial distribution of the egg and Immature stages. Results showed that Taylor, s power law gave a better fitness result for egg and Immature stages. The results of this research could be apply in integrated pest management of cucurbit fly. Manuscript profile
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  55 - The seasonal population fluctuations of pomegranate fruit moth, Ectomyelois ceratoniae Zeller and quince moth, Euzophera bigella Zeller in pomegranate orchards
  N. Naserian H. Farazmand R. Vafaei Shoushtari A. Avand-Faghih N. Azadbakht
  The pomegranate fruit moth, Ectomyelois ceratoniae Zeller, and quince moth, Euzophera bigella Zeller, are the major frugivorous pest. They cause qualitative and quantitative losses of pomegranate fruit. Sexual pheromone traps may provide a real estimation of adult emerg More

  The pomegranate fruit moth, Ectomyelois ceratoniae Zeller, and quince moth, Euzophera bigella Zeller, are the major frugivorous pest. They cause qualitative and quantitative losses of pomegranate fruit. Sexual pheromone traps may provide a real estimation of adult emergence and flight activity periods, emigration and immigration of such pests. To fulfill such a purpose, an experiment was performed to observe the population fluctuation of E. ceratoniae and E. bigella using synthetic pheromone traps in pomegranate orchards of Tang-e-Siab Koohdasht (Lorestan, Iran), in 2011. Adults of E. ceratoniae and E. bigella appeared in late April and May, respectively, and their flights continued until mid November. These pests populations showed four and three flight peaks during the growth season, respectively. The quince moth's population was higher than on pomegranate fruit moth's population, while the peak of the moth flight was between late July to early August. So in the pomegranate orchards of Lorestan region, in addition to pomegranate fruit moth, quince moth is one of the important fruit pests. The quince moth appears a month later in comparison to pomegranate fruit moth and both are active until the end of the season. Manuscript profile
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  56 - The population fluctuations of Euzophera bigella (Zeller) and Cydia pomonella (L.) at quince orchards
  P. Kermani H. Farazmand J. Karimzadeh A. Avand-Faghih
  The lepidopterans Euzophera bigella (Zeller) (Pyralidae) and Cydia pomonella (L.) (Tortricidae) are the most important pests of quince trees in Iran, as they cause the qualitative and quantitative losses on quince fruits. The present study was performed to monitor the p More

  The lepidopterans Euzophera bigella (Zeller) (Pyralidae) and Cydia pomonella (L.) (Tortricidae) are the most important pests of quince trees in Iran, as they cause the qualitative and quantitative losses on quince fruits. The present study was performed to monitor the population fluctuations of E. bigella and L. pomonella using synthetic pheromone traps at quince orchards in Falavarjan (Isfahan, Iran). In addition, the influence of climatic factors on population fluctuations was studied. It was found that E. bigella adults appeared in early March, showing four population peaks during growth season. The adults of L. pomonella were, however, showed up in middle March with five seasonal population peaks. The populations of male E. bigella were positively correlated with relative humidity, weekly rainfall (up to 3.5 mm), weekly means of minimum and maximum relative humidity and temperature (higher than 25 °C). In addition, when rainfall was 1.2 mm, no significant effects of weekly means of minimum and maximum relative humidity and temperature were observed on E. bigella densities. The population densities of male E. bigella also showed a significant positive correlation (r = 0.58) with relative humidity. Manuscript profile
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  57 - Population fluctuations of the citrus cottony scales, Pulvinaria aurantii (Hem., Coccidae) on the sour oranges
  Sh. Faghihzadeh Gorji Shila Goldasteh A. Zamani
  The sour oranges is a horticultural crop in Iran and planted as ornamental trees all over the world (except polar regions) such as the north of Iran. The citrus cottony scales Pulvinaria aurantii Ckll. feeds on the foliage and stems of citrus trees and cause tree diebac More

  The sour oranges is a horticultural crop in Iran and planted as ornamental trees all over the world (except polar regions) such as the north of Iran. The citrus cottony scales Pulvinaria aurantii Ckll. feeds on the foliage and stems of citrus trees and cause tree dieback in heavy infestation. In order to estimate the seasonal population fluctuations in Babol (Mazandaran province, Iran), sampling were done at the height of 1.5 to 2.5 meter of citrus trees  and samples were collected from four  geographical directions and three points including initial, medial and apical 40 cm of the branches. Further information such as daily temperature, relative humidity, and the amount of rainfalls simultaneously were recorded in each sampling date. The maximum number of population was observed in the January of 2014. We found that this species completes four generations per year. Based on the results of this study the best time for managements of the 1st, 2nd, 3rd and 4th generation of P. aurantii Ckll. in Babol is May, September, and to spot spraying in November and December, respectively. Pruning can be usefull too. In this study, natural enemies’ minority were observed which may be related to the insecticide treatments, absence of intermediate host and also the environmental pollution. Our results could lead to improve integrated pest management for P. aurantii Ckll.populations in the north of Iran. Manuscript profile
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  58 - Seasonal population fluctuations of Mediterranean pine bark beetle, Orthotomicus erosus (Wollaston) (Coleoptera:Curculionidae:Scolytinae), in the Tehran Chitgar forest park
  T. Arkani H. Ostovan H. Farazmand M. Gheybi
  One of the main problems of pine trees in the Chitgar park located in Tehran, Iran, is pine bark beetles, which not only cause direct harms to these trees but also is vector of some viral  and bacterial pathogens. To study the seasonal population fluctuations of th More

  One of the main problems of pine trees in the Chitgar park located in Tehran, Iran, is pine bark beetles, which not only cause direct harms to these trees but also is vector of some viral  and bacterial pathogens. To study the seasonal population fluctuations of the pest, the sampling process of adults from pine barks was performed in different regions of the park in 2015 to 2017. Twelve infected centers in the park were selected and four cross trap were installed in each center. The mass capturing pheromone of Orthotomicus erosus and pine kairomone dispensers were used in each trap. The distance between traps was about 50 meters. According to the observed data, the emergence of adult beetles was started in early April and continued until mid-December. The average daily capture per trap was four beetles. From mid-December onwards, no beetles were caught in the traps. Mediteranean pine bark beetle had at least six flight peaks in the area of study. The most trapping were observed in 8 June, 28 June, 27 July, 16 August, 5 September and 25 September respectively. The The highest number of trap catches was registered in September, July, August, June, September and October, with 9.2, 7.7, 7.2, 5.7, 2.4 and 1.6 beetles per trap respectively. Also, the mean average of total capture during spring, summer, autumn and winter were 401, 1159,114 and zero beetles per trap; so, the most activity of the pest was observed in summer, spring and autumn respectively The highest number of beetle was in the north and the least was captured in the south of the park. Manuscript profile
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  59 - بررسی اثرات اقتصادی نوسانات اقلیمی برآب مصرفی و تولید محصول گندم در استان خوزستان
  نرگس ظهرابی نصره حمادی رضا مقدسی
  در این تحقیق، تغییر در پارامترهای اقلیمی دما و بارش و  تغییرات کمی آن­ها برای منطقه خوزستان مورد مطالعه قرار گرفت. سپس اثر اقتصادی آنها  بر آب مصرفی و همچنین بر درآمد خالص محصول گندم با بکارگیری روش ریکاردین بررسی شد. داده‌های سری زمانی دما و بارش دوره (13 More

  در این تحقیق، تغییر در پارامترهای اقلیمی دما و بارش و  تغییرات کمی آن­ها برای منطقه خوزستان مورد مطالعه قرار گرفت. سپس اثر اقتصادی آنها  بر آب مصرفی و همچنین بر درآمد خالص محصول گندم با بکارگیری روش ریکاردین بررسی شد. داده‌های سری زمانی دما و بارش دوره (1388- 1345) در سه منطقه دزفول، اهواز و شادگان مورد استفاده قرار گرفت. نتایج تحلیل آماری با استفاده از آزمون من کندال نشان داد که روند در سری زمانی درجه حرارت به صورت افزایشی است. اما روند در سری زمانی بارش برای منطقه اهواز کاهشی بوده، در منطقه دزفول وجود روند تایید نگردید و برای ایستگاه شادگان روند کاهشی ضعیف دیده شد. افزایش نیاز آبی محصول گندم برای منطقه دزفول، اهواز و شادگان به ترتیب برابر 2106، 2500 و 3129 متر مکعب و به طور متوسط برابر 31% در 100 سال می­باشد. کاهش بازده سالانه این محصول در اثر افزایش نیاز آب ناشی از نوسانات اقلیمی نیز برای منطقه دزفول، اهواز و شادگان به ترتیب برابر 24587، 19291 و 18360 ریال می­باشد. همچنین نتایج مدل ریکاردین نشان داد که افزایش در دما و کاهش بارندگی تا 100 سال آینده باعث کاهش جمعا 57863 هزار ریال  در بازده گندم به ازای هر هکتار می­گردد. Manuscript profile
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  60 - ارزیابی مدل DRAINMOD در شبکه آبیاری و زهکشی نخیلات آبادان
  داوود خدادادی
  در این تحقیق، مدل DRAINMOD از نظر مقایسه نوسانات عمق سطح ایستابی اندازه‎گیری شده در مزرعه و شبیه ‎سازی شده توسط مدل و نیز از نظر مقایسه شدت تخلیه محاسبه شده زهکش ‎های مزرعه و شبیه ‎سازی شده توسط مدل، مورد ارزیابی قرار گرفت. این تحقیق در بخشی از شبکه آبیا More

  در این تحقیق، مدل DRAINMOD از نظر مقایسه نوسانات عمق سطح ایستابی اندازه‎گیری شده در مزرعه و شبیه ‎سازی شده توسط مدل و نیز از نظر مقایسه شدت تخلیه محاسبه شده زهکش ‎های مزرعه و شبیه ‎سازی شده توسط مدل، مورد ارزیابی قرار گرفت. این تحقیق در بخشی از شبکه آبیاری و زهکشی نخیلات آبادان انجام پذیرفت. با تجزیه و تحلیل آماری مقادیر اندازه‎ گیری شده و پیش بینی شده عمق سطح ایستابی توسط مدل، معلوم شد که خطای استاندارد (S) و میانگین انحراف مطلق () برای عمق سطوح ایستابی، در سال 2003 به ترتیب معادل 8/8 و 22/8 سانتی‎متر، در سال 2004 معادل 55/10 و 93/9 سانتیمتر ، در سال 2005 معادل 13/10 و 68/9 سانتیمتر ، در سال 2006 معادل 48/11 و 08/11 سانتیمتر و برای سال 2007 معادل 16/11 و 92/10 سانتیمتر تعیین شد. این مقادیر، دقت بالای مدل DRAINMOD را در شبیه ‎سازی نوسانات عمق سطح ایستابی تایید می‌ نمایند. همچنین با تجزیه و تحلیل آماری مقادیر اندازه‎گیری شده و پیش بینی شده شدت تخلیه زهکش‎ ها توسط مدل، معلوم شد که خطای استاندارد (S) و میانگین انحراف مطلق () برای شدت تخلیه زهکش ‎ها، در سال 2006 به ترتیب معادل 99/1 و 9/1 سانتیمتر و در سال 2007 معادل 18/1 و 15/1 سانتیمتر تعیین شد که این مقادیر قابل قبول بودن مدل DRAINMOD را در شبیه ‎سازی شدت تخلیه زهکش‎ ها تایید می ‌نمایند. با توجه به نتایج این تحقیق، مدل DRAINMOD یک مدل مناسب برای شبیه ‎سازی نوسانات عمق سطح ایستابی و زهاب خروجی، در اراضی دارای سیستم زهکشی در استان خوزستان معرفی شد. Manuscript profile
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  61 - Effects assessment of the climate Change on water resources of Dararood Basin
  Ebrahim Fataei
  The global climate is changing, and impacts of climate change are being observed across the world. In recent years, particularly the effects of climate changes on the Earth’s water resources are very considerable. Dararood Basin is one of the subbasin of Aras rive More

  The global climate is changing, and impacts of climate change are being observed across the world. In recent years, particularly the effects of climate changes on the Earth’s water resources are very considerable. Dararood Basin is one of the subbasin of Aras river catchment. Considering Water supply, Dararood river plays an important role in the study area. Unfortunately, in recent years the amount of water in this area has decreased. Investigating trend in climate and hydrological variables can help to identify the possible climatic changes and fluctuations. In order to identify trend in hydro-meteorological time series data among the nonparametric test, Mann-Kendall was used wildly. The purpose of this study is investigating fluctuations and trends in river flow under potential impact of climate fluctuations using the Mann-Kendall test, during 20 years (1994-2013). For this purpose climate data of four stations including Ahar, Moshiran, Meshginshahr and Parsabad along with 7 hydrometric station data (Cassin, Orang, Oshdalaq, Arbabkandi, Dostbyloo, Boran and mashiran) were used. The results showed that the annual flow of all stations have decreasing trend during the study period. Also the results of this study showed no significant correlation between climatic fluctuations and annual river flow based on the annual average during the study period Manuscript profile
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  62 - Caspian Sea paleofluctuation reconstructing during the Quaternary period
  Homayoun Khoshravan Somayeh Rouhanizadeh
  The reconstruction of the Caspian Sea water level fluctuations in the Quaternary period is the main objectives ofthis research. Thus, with the study of biofacies on 254 cores samples associate to exploration wells (Mazandaran1 and Gorgan 3 - A) and 150 sediment samples More

  The reconstruction of the Caspian Sea water level fluctuations in the Quaternary period is the main objectives ofthis research. Thus, with the study of biofacies on 254 cores samples associate to exploration wells (Mazandaran1 and Gorgan 3 - A) and 150 sediment samples which have been collected from depths of 10 to 800 meters fromthe sea bed of the Caspian Sea bioindicators and sedimentary indexes were identified. The results of studies ofthe Quaternary sediments showed that gastropod species are the most important biological evidence for thereconstruction of sea level changing of the Caspian Sea. Also there are alternatively fluctuations in this regionthat were affected by global climatology impact. Manuscript profile
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  63 - شناسایی نواحی آسیب پذیر زیرحوضه های آبریز غرب کردستان در اثر نوسانات اقلیمی با استفاده از GIS و PCA
  عرفان احمدی علیرضا وفائی نژاد ناصر محمدی ورزنه
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  64 - بررسی اثر اهرم و بازخورد نوسانات در بورس تهران
  سید محسن موسوی محمدرضا پورابراهیمی
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  65 - مدیریت سود ریسک سهام و نوسانات درآمد در بانگهای پذیرفته شده در بورس اوراق بهادار تهران
  پیمان نوری بروجردی داود سوری محمدعلی اشرف گنجوئی
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  66 - The Impact of Economic Fluctuations on the Political Stability of Iran
  khosro Mehralian Beytollah Divsalar Fakhrollah Molai
  In this article, with a sociological approach, the political-security consequences of the security model of the balance of power on creating political instability in the countries of the region at both domestic and foreign levels are examined. Also, the principles of th More

  In this article, with a sociological approach, the political-security consequences of the security model of the balance of power on creating political instability in the countries of the region at both domestic and foreign levels are examined. Also, the principles of the impact of economic fluctuations on instability and the effects of the intensity and weakness of economic fluctuations should be investigated. The question that arises is to what extent do economic fluctuations affect Iran's political instability? Economic fluctuations seem to affect instability and cause a crisis in Iran. The extent and intensity of economic fluctuations can have different effects on the instability of the country. Of course, external threats and pressure, and internal vulnerabilities are two important factors that were identified in the emergence of political instability in the country. The research is conducted by using analytical method. Manuscript profile
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  67 - The effect of Firm Investment on Future volatility of Stock Returns by Considering the Moderating Effect of Accounting Conservatism
  Mehdi Haghighat shahrestani Mohsen Dastgir Afsaneh Soroushyar
  Risk management is one of the most important tasks of managers. On the one hand, risk-taking leads to increased competitive advantage, and on the other hand, according to the modern portfolio theory, increased risk leads to potential negative fluctuations in return on i More

  Risk management is one of the most important tasks of managers. On the one hand, risk-taking leads to increased competitive advantage, and on the other hand, according to the modern portfolio theory, increased risk leads to potential negative fluctuations in return on investment. Once the level of a firm's investments is commensurate with the appropriate level of risk, it can create value for the company. Conditional and unconditional conservatism can each reduce or increase risk because of their characteristics. Therefore, the purpose of the present study is to investigate the impact of firm investment on future stock return volatility considering the moderating effect of conditional and unconditional conservatism. In this regard, the financial information of 129 companies by Using the systematic removal method for the period 2009-2017 was used as combined data. Multivariate regression was used to analyze the data. The findings of the study suggest that conditional conservatism has a negative impact on the firm's future investment. Also, unconditional conservatism has a positive impact on the company's future investment. Other findings suggest that conditional conservatism has a negative impact on the relationship between firm investment and stock return volatility. Finally, unconditional conservatism has a positive effect on the relationship between firm investment and future stock return volatility. Manuscript profile
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  68 - Contract adjustment due to economic fluctuations
  Mohammad Reza Hafezi GHahestani Abbas Moghaddari Aimiri Abdol hamid Mortazavi
  10.22034/ijrj.2021.687041
  The principle of the necessity of contracts (Pacta Sunt Servanda) has been considered and respected by lawyers in all legal systems and national laws of countries. As contracts and agreements indicate, legal and economic relations between individuals of the contract and More

  The principle of the necessity of contracts (Pacta Sunt Servanda) has been considered and respected by lawyers in all legal systems and national laws of countries. As contracts and agreements indicate, legal and economic relations between individuals of the contract and as the main purpose of the contract is to create rights and obligations for the parties to the contract. sometimes some factors such as inflation, recession, sanctions and in general, economic fluctuations beyond the will of the parties, affect these contracts and cause differences between the parties. The occurrence of these events leads to a fundamental change in the circumstances and conditions of the contracts which makes the implementation of the contract for the obligor with excessive difficulty or unconventional losses. In such a situation, it is necessary to modify the contracts. Based on this need and by considering the increasing expansion of trade exchanges and concluding continuous contracts and inevitable economic developments, the present article investigates the impact of economic fluctuations on these contracts and the possibility of compensating for the imbalance created by resorting to contract modification. Based on the result of the study, it can be concluded that there is a modification of potential contract, but it is impossible by the principles of Feqh due to the proposed shortcomings. However, based on Article 3 of the Code of Civil Procedure and by using legal principles relying on the principle of interpretation of the will of the parties, the principle of good faith and fairness, and judicial procedure; it is possible for the courts to modify and revise the contract. Manuscript profile
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  69 - تحلیلی بر شاخص‌های توسعه کشاورزی در شهرستانهای استان ایلام
  یونس آزادی حسن بیک محمّدی
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  70 - تأثیر نوسانات دمایی و سرمادهی بر جوانه‌زنی بذر چهارگونه غالب علفزار (مطالعه موردی: پارک ملی گلستان)
  حامد عبدلی مهدی عابدی
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  71 - The Effects of Rapid Caspian Sea-Level Fluctuations on the Miankaleh Barrier Coasts
  mohammad reza sarvati reza mansori manizheh ghohrodi tali
  The goal of this study was to study the geomorphologic response- type models of the coastline of Miankaleh Barrier to the rapid fluctuations of the Caspian Sea. In this regard, Landsat satellite imageries (the sensor: 4, 5, 7 and 8 series), historical maps, topography m More

  The goal of this study was to study the geomorphologic response- type models of the coastline of Miankaleh Barrier to the rapid fluctuations of the Caspian Sea. In this regard, Landsat satellite imageries (the sensor: 4, 5, 7 and 8 series), historical maps, topography maps and multiple field works have been used. Based on quantitative documentation of historical changes in shoreline position in response to natural and human variables, eight geomorphic response-types were identified for classifying barrier coasts: (1) lateral movement, (2) advance, (3) dynamic equilibrium, (4) retreat, (5) in-place narrowing, (6) landward rollover, (7) breakup, and (8) rotational instability. Long-term (decades to centuries) monitoring of shoreline position over a spatial scale of 10 to 100 km provides a scientific basis for documenting process-response relationships that shape regional coastal morphodynamics. The results show that there are the six morphological-type models in the Miankaleh barrier region based on the eight geomorphologic-type models of McBride et al, 1995; such as lateral movement, advance, retreat, in-place narrowing, breakup and rotational instability. The results indicate that the advance and retreat morphological-type models are formed in the region during the rise and fall sea levels, respectively. In-place narrowing and breakup morphological-type models appear simultaneously with the rise in sea level, and the rotational instability model also appears when the sea level is reduced in the region. The lateral movement type model has also been developed during the sea level rise and fall periods. Also, the results show that the sea level during the period of 1214-1396 has experienced six Progradation-Retrogradation stages. The assessment of the satellite imageries and statistical data on sea level fluctuations indicate that the sea level has fallen back to 1374 and has dropped by about 1.5 meters. The rate of recession and the reduction of the level of surface between 1374 until 1396 were estimated at 6.8 cm per year. Despite the fact that on a large scale, the increase in the relative sea level water along the shore of the Miankaleh barrier is one of the most important factors controlling the occurrence of various geomorphic reactions; however, the sediment supply also has a significant impact on reactions shoreline. Manuscript profile
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  72 - The role of spatial and temporal fluctuations of climatic parameters in dry land wheat yield (Case study: Kaleibar and Khodaafarin County)
  Maseood Jalali Gholam Hasan Mohammadi Atefeh Hoseini Sadr Hosein Khoshvaghti4
  Recognition of climate and doing research about climatic requirements of farm plants can be regarded as main factors in the production process. According to the importance of the climatic fluctuations in rainfed productions, in this study effect of spatial distribution More

  Recognition of climate and doing research about climatic requirements of farm plants can be regarded as main factors in the production process. According to the importance of the climatic fluctuations in rainfed productions, in this study effect of spatial distribution and temporal variation of climatic elements on wheat yield was studied in dry land farms of Kaleibar and Khodaafarin counties. For this, distribution of precipitation parameters was mapped in GIS environment and year-to-year variety of temperature and rainfall analyzed by drawing of charts. And thus with using wheat growing requirements (including desired climatic conditions), ability to meet the climatic needs of this valuable plant were examined. In addition by running of stepwise multivariate regression model between 16 meteorological parameters and average wheat yield, the role of climatic fluctuations in dry land wheat yield identified and the best predictive model determined. Final results of this study show the fact that the importance of each of temperature and precipitation factors differ according to different phonologic stages of wheat at the study region. Although it seems that the mean annual rainfall in study area appears desirable but large fluctuation from year to year as well as small amount of rain in Khordad(June) are the main limitations of rain fed wheat cultivation. Temperature in germination and grain filling stages are created ideal condition but at the flowering stage temperatures are cooler than optimal physiological threshold. The stepwise regression presented a model with 7 meteorological parameters that can be explain a significant impact of climate parameters on dry land farming wheat yield at 95% confidence level on the study region. Manuscript profile
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  73 - پیش‏ بینی نوسانات اقلیمی برای سه دهه؛ مطالعۀ موردی: استان مازندران
  مهرداد رمضانی ‏پور
  در دهه‏های اخیر،نوسانات اقلیمی به عنوان تهدید به شمار می‏رود.در این راستا نوسانات پارامترهایبارندگی، دما و تابش، بر پایۀدوره آماری 2009-1995 برای سه دهه (2039-2010) برایبخش‏های شرقی، مرکزی و غربی استان مازندران از طریق مدلLars-WG،مدل‏سازی و تحلیل گردید. More

  در دهه‏های اخیر،نوسانات اقلیمی به عنوان تهدید به شمار می‏رود.در این راستا نوسانات پارامترهایبارندگی، دما و تابش، بر پایۀدوره آماری 2009-1995 برای سه دهه (2039-2010) برایبخش‏های شرقی، مرکزی و غربی استان مازندران از طریق مدلLars-WG،مدل‏سازی و تحلیل گردید. ابتدا با انطباق منطقی داده‏های تولیدشده و داده‏های دیدبانی‏شده، مدل Lars-WG صحت‏سنجی شد و نهایتاً بر اساس مدلمذکور، روند تغییرات اقلیمیمناطق تحقیقبرایدورۀ آماری2039-2010 پیش‏بینی گردید. نتایج  پژوهش نشان داد که دمای حداقلدر منطقۀغرب، مرکز و شرق استانمازندران روند افزایشی و دمای حداکثردر مناطق غرب و شرق، روند کاهشی و در منطقۀ مرکزی، روند افزایشی خواهد داشت. مجموع بارندگی سالانه در منطقۀ غرب با روند افزایشی و در مناطق مرکزی و شرقی با روند کاهشی مواجه خواهد بود. همچنین ساعات آفتابی در مناطق غرب و شرق استانمازندران،روند کاهشی و در منطقۀمرکزی، روند افزایشی خواهد داشت. Manuscript profile
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  74 - The Effect of OPEC Statements on Fluctuations in Crude Oil Prices
  Fariba Shahbodaghlou Aliasghar Esmaeilnia gatabi azadeh mehrabian ROYA SEIFIPOUR
  10.30495/eco.2020.674206
    The purpose of this article is to examine the effect of OPEC statements (whether increasing, decreasing or not changing supply) on oil price fluctuations in crude oil markets. For this purpose, conditional heterogeneity and variable control variance models have b More

    The purpose of this article is to examine the effect of OPEC statements (whether increasing, decreasing or not changing supply) on oil price fluctuations in crude oil markets. For this purpose, conditional heterogeneity and variable control variance models have been used to investigate the effect of statements on Brent and WTI crude oil price fluctuations during the period 1987-2019 based on the event analysis approach. The findings show that OPEC statements have a significant effect on the turmoil in the oil market, and the type of statements varies on crude oil market fluctuations, and this effect has diminished over time. Based on the results, members' solidarity in the field of planning and coordinated implementation of decisions for maximum impact on the crude oil market is proposed. Manuscript profile
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  75 - An Empirical Examination of Stability, Predictability and Volatility for Capital Markets in Persian Gulf Rim
  yadollah Dadgar Behzad Vamaziari
  This paper examines the dynamic relationship of stock markets, stability, predictability, volatility, and persistence of shocks volatility of stock markets in Iran, Saudi Arabia, United Arabic Emirates, Qatar, Bahrain and Oman. In this paper, Generalized Autoregressive More

  This paper examines the dynamic relationship of stock markets, stability, predictability, volatility, and persistence of shocks volatility of stock markets in Iran, Saudi Arabia, United Arabic Emirates, Qatar, Bahrain and Oman. In this paper, Generalized Autoregressive Conditional Heteroskedasticity model (GARCH) and Autoregressive Moving Average model (ARMA) are implemented by using monthly data during 1990-2010. The results indicate that stock market doesn’t have notable predictability in Iran and there is Cluster volatility for return of stock in most markets and almost, in none of these markets except Oman, explosive volatilities are observed. It is also indicated that the return for markets of Bahrain and Oman doesn’t have stability in significant level of 5 percent and for Iran it doesn’t have stability and durability in significant level of 1 percent. In addition, although the markets of these countries have high capacities for return of investment, but, in particular, the findings show a low correlation between these markets. Also, the results for the period in question explain that none of these markets has the ability of leadership among others. Manuscript profile
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  76 - 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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  77 - Evaluation of Home Bias in Consumption and Exchange Rate Fluctuations (DSGE Approach)
  Mohammad Akbari mohammad javad sharifzade ali ranjbaraki
  The aim of this study is to evaluate the result of the exsictance and change in consumer home bias on macroeconomic variables (such as consumption and inflation), in the event of exogenous shocks to the economy. In order to do so, seasonal data of the period 1394-1370 a More

  The aim of this study is to evaluate the result of the exsictance and change in consumer home bias on macroeconomic variables (such as consumption and inflation), in the event of exogenous shocks to the economy. In order to do so, seasonal data of the period 1394-1370 and a dynamic stochastic general equilibrium model has been used. After designing the model, parameters of the suggested model are estimated by Bayesian approach. Reviewing the impulse response functions in the event of exogenous shocks (such as oil revenue shock and technological shock) shows that, with home bias exsictance in the model, inflation and consumption volatility will reduced due to the increased volatility of exchange rate. Based on the results it is recommended that, In order to control endogenous variables (including inflation), In the event of exogenous shocks, especially oil revenue shock, the exchange rate should be allowed to fluctuate more. Manuscript profile
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  78 - The Influence of Volatility Structural Changes on Shock Transmission and Volatility Spillover between Gold and Stock Markets in Iran
  zahra (mila) elmi esmaiel aboonouri saeed rasekhi mohamadmehdi shahrazi
  This study investigates the effect of volatility structural changes on the shock transmission and volatility Spillover between gold and stock markets in Iran during 2007-2013. For this purpose, firstly, we will detect the time periods of structural breaks in volatility More

  This study investigates the effect of volatility structural changes on the shock transmission and volatility Spillover between gold and stock markets in Iran during 2007-2013. For this purpose, firstly, we will detect the time periods of structural breaks in volatility of gold and stock returns endogenously using the standard and modified iterated cumulated sums of squares (ICSS) algorithm. Then, this information incorporates to model the volatility process. The application of bi-variate GARCH model in off-diagonal BEKK parameterization suggest that shock transmission and volatility spillover between gold and stock markets is bidirectional in Iran. Also, based on the present research findings, ignoring or incorrect detection of structural breaks mislead the researcher about the direction of volatility transmission between gold and stock markets. Manuscript profile
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  79 - Use of Black Market premium (BMP) to Investigate the Changes of Exchange Rate on the Added-value of Industry
  hamidreza izadi maryam izadi
  Instability of exchange actual rate increases the risk and uncertainty, decrease of investment, shortening of investment horizon, instability of financial markets, reduction of foreign trade, allocation of the resources to the non-productive activities, reduction of ind More

  Instability of exchange actual rate increases the risk and uncertainty, decrease of investment, shortening of investment horizon, instability of financial markets, reduction of foreign trade, allocation of the resources to the non-productive activities, reduction of industry added value and the growth of production rate and economy. By using Black Market Premium, this paper tries to evaluate the exchange rate fluctuations and its deviations during 1971-2010 due to the importance of the exchange rate variations, and then survey the negative effects of these fluctuations and deviations on the surplus value of industry. Manuscript profile
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  80 - The Effect of Working Capital Management indicators on Firm Value and Stock Return Volatility
  mohamad mohamadi
  One of the most important goals of companies is to create value and increase wealth for shareholders. Working capital management includes policies and processes that, if well designed and implemented, can lead to a positive impact on the value of the firm and reduce in More

  One of the most important goals of companies is to create value and increase wealth for shareholders. Working capital management includes policies and processes that, if well designed and implemented, can lead to a positive impact on the value of the firm and reduce in stock returns volatility. Accordingly, the purpose of this study is to determine the effect of working capital management indicators on firm value and stock return volatility. The sample of this study consists of 102 listed companies in Tehran Stock Exchange during 2011 to 2019. In order to test the hypotheses, linear regression model and the panel data method have been used. The results of testing hypotheses indicated that there is a negative and significant relationship between the value of the firm and net working capital and the cash conversion cycle. Therefore, with an optimal working capital management and a reduction in the cash conversion cycle, the value of the firm can be increased. Results also showed that net working capital has no effect on stock return volatility. Manuscript profile
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  81 - explanation of structural changes in the modeling of Iran's tourism demand
  Javad Barati
  The expansion of statistics and the possibility of using time series information in tourism economics studies have led to the increasing use of time series models in research of tourism economics; also, due to the high impact of various factors such as disease, war, san More

  The expansion of statistics and the possibility of using time series information in tourism economics studies have led to the increasing use of time series models in research of tourism economics; also, due to the high impact of various factors such as disease, war, sanctions, political events, economic shocks and many other international and national shocks on the tourism industry, structural changes occur in this industry which make the common results in time series surveys unreliable. To solve this problem, structural break points in tourism industry studies should be identified to be the basis for researchers' modeling in strategic studies and policy-making. The present study aimed to determine the structural break points in the Iranian tourism industry, using quarterly data from spring 2013 to summer 1399. All these tests have confirmed the existence of a structural break in the fall of 2019. However, if the coefficient decreases significantly, only the fall of 2019 would be recognized as a breakpoint in the Iranian economy. Due to the high volume of tourism and the growth of this sector in the spring and summer of 2019, it is expected that in the annual surveys, 2020 will be the only year that a structural break has occurred in tourism in Iran. Political events such as the Saudi Embassy or the referendum in Iraq Kurdistan, the signing of the UN Security Council, or the imposition of severe sanctions on Iran's economy have virtually failed to bring about structural changes in Iran's time series tourism models. There are more pervasive factors such as the Covid-19 epidemic that have caused a structural break in Iranian tourism.   Manuscript profile
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  82 - تأثیر نوسانات دمایی و سرمادهی بر جوانه‌زنی بذر چهارگونه غالب علفزار (مطالعه موردی: پارک ملی گلستان)
  حامد عبدلی مهدی عابدی
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  83 - روابط قیمتی و اثرات سرریز نوسانات قیمت در بازار برنج ایران
  محمد کاوسی کلاشمی محسن کاوسی کلاشمی
  برنج اهمیت ویژه‌ای در سبد غذایی خانوار ایرانی دارد. نوسانات قیمت این محصول طی سال‌های اخیر موجب نارضایتی مصرف‌کنندگان شده است. این تحقیق با استفاده از الگوی خود توضیح واریانس ناهمسان شرطی تعمیم یافته (GARCH) و داده‌های دوره زمانی ماهیانه 1392-1378، به بررسی اثرات سرریز More

  برنج اهمیت ویژه‌ای در سبد غذایی خانوار ایرانی دارد. نوسانات قیمت این محصول طی سال‌های اخیر موجب نارضایتی مصرف‌کنندگان شده است. این تحقیق با استفاده از الگوی خود توضیح واریانس ناهمسان شرطی تعمیم یافته (GARCH) و داده‌های دوره زمانی ماهیانه 1392-1378، به بررسی اثرات سرریز قیمت برنج صدری ممتاز (در دو سطح خرده فروشی و عمده فروشی) در بازار استان گیلان می پردازد. براساس نتایج حاصل از آزمون‌های ریشه واحد می‌توان ادعا کرد که سری زمانی ماهیانه قیمت عمده فروشی برنج صدری ممتاز و سری زمانی ماهیانه قیمت خرده فروشی برنج صدری ممتاز، دارای ریشه واحد در فراوانی صفر بوده یا (I(1 می‌باشند. با توجه به مقادیر آماره محاسباتی اثر و حداکثر ریشه مشخصه وجود رابطه بلندمدت بین دو سری زمانی ماهیانه مورد بررسی تأیید می‌شود. ضرایب حاصل از نرمال سازی بردار همگرایی نشان داد که با افزایش (کاهش) یک درصدی قیمت خرده‌فروشی، انتظار می‌رود قیمت عمده‌فروشی 0.99 درصد افزایش (کاهش) یابد. نتایج حاصل از برآورد الگوی GARCH نشان داد که سرریز نوسانات از قیمت خرده‌فروشی به عمده‌فروشی و بالعکس وجود دارد. همچنین، نوسانات قیمت محصول برنج در سطح خرده‌فروشی و عمده‌فروشی اثر مثبت و معنی‌دار آماری بر نوسانات خود دارند. با توجه به نتایج حاصل از این پژوهش طراحی بسته‌های سیاست‌های مناسب در طرف عرضه و تقاضا توصیه می‌شود Manuscript profile
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  84 - Cybernetics as a management fad
  Mohammad HassanZadeh Zeinab Sedighi Mansoureh HoseiniShoar
  Purpose: This paper was accomplished to understand the measure of interest to cybernetics topic at the international level during 16 years (1995-2011). Methodology: To do this descriptive survey, we identified and selected keywords in related resources which to be sear More

  Purpose: This paper was accomplished to understand the measure of interest to cybernetics topic at the international level during 16 years (1995-2011). Methodology: To do this descriptive survey, we identified and selected keywords in related resources which to be searched in "Emerald" and "Wiley" databases. Then,we analyzed the number of publications in per year based on the title, abstract, and keywords. Finding: This study showed that most of publication issued in recent of 1990s in Emerald database and has trend upward trend yet. Wiley database showed similar results. Therefore, in the early 20th century,we saw the growth of publications related to cybernetics topic. This means that the interest in this topic does not follow of Abrahamson bell-shaped volatility pattern that represents management fad. Conclusion: It is concluded that measure of interest to cybernetics topic does not follow of Abrahamson’s bell-shaped volatility pattern that represents management fad.In addition, Cybernetics will be increasingly treated as an academic disciplinefor the foreseeable future. Manuscript profile
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  85 - 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
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  86 - 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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  87 - Examining the Relationship between the Level of Disclosure of Accounting Information and the Fluctuation of the Price of Stock, in the Companies Accepted in Tehran’s Stock Market
  Mohammad Hassani Seyed Mohammad Bashir Hosseini
  Accounting information that is used by most of investors and creditors is very important for their decision making. Information about accepted companies in stock market gets revealed annually to public for decision making. So in this research, due to the importance o More

  Accounting information that is used by most of investors and creditors is very important for their decision making. Information about accepted companies in stock market gets revealed annually to public for decision making. So in this research, due to the importance of information and the disclosure of information by companies and its effect on the price of the stock, the relationship between the level of disclosure and the fluctuation of the price of stock of the companies accepted in stock market. Statistical society of this research was chosen between accepted companies in stock market which were 448 by the end of 2008. Statistical sample includes 72 companies which were chosen randomly from the statistical society. This research includes one question, one theory. For accumulating different variables of this research the available information of the Tehran’s Stock Market Organization was used and for examining the theory the index of Pierson relativity was used. By noticing the analytical statistics the research questions were answered and by examining the theory at 95% of security level the main theory of this research was confirmed and the result obtained showed a meaningful relationship between disclosure of accounting information and fluctuation of the stock price. Manuscript profile
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  88 - نقش صندوق توسعه ملی در کاهش نوسانات اقتصادی ایران رویکرد (DSGE)
  سید مجتبی حسین زاده یوسف‌آباد محسن مهرآرا حسین توکلیان
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  89 - تاثیر نوآوری بر نوسانات سهام شرکتهای داروسازی بورس اوراق بهادار تهران
  حامد عباسی آقا ملکی قهرمان عبدلی علی سوری محسن ابراهیمی
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  90 - Modeling the impacts of OPEC oil price fluctuations on the Iranian investors sentiments- nonlinear and time-varying parameter
  S. Kazem Chavoshi Arefeh Sharifi
  10.30495/fed.2023.698842
    Abstract In classical finance, investors sentiment play no role in expected returns and stock prices, but behavioral finance believes that investors decisions are influenced by their sentiment.In oil-producing countries, including Iran, the news of OPEC oil pri More

    Abstract In classical finance, investors sentiment play no role in expected returns and stock prices, but behavioral finance believes that investors decisions are influenced by their sentiment.In oil-producing countries, including Iran, the news of OPEC oil price fluctuations affects investors sentiments . we used the monthly data for the period of research 2008 to 2021.The research method of this article is an application uses the nonlinear and time varying parameter models.The results show that OPEC oil price fluctuations on investors' investment follow nonlinear process .Change in a standard deviation in OPEC oil price fluctuations over time has a U-shaped effect on investor sentiment (moving on a horizontal axis).Changes in standard deviation in OPEC oil price fluctuations in each period (moving on the transverse axis), at the beginning of the second period have a strong negative effect and in the middle and end of period have a small negative effect on investors sentiments. Manuscript profile
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  91 - Pricing The Gold Coin Options of Iran Mercantile Exchange Market:"Black Scholes" and "Put-Call Parity"Approaches Pricing The Gold Coin Options of Iran Mercantile Exchange Market:"Black Scholes" and "Put-Call Parity"Approaches
  Nafishe Baharadmehr Narges Tahmasabi
  10.30495/fed.2022.697605
  AbstractThe purpose of this paper is to price the gold coin options contracts in the Iranʻs Exchange Market. For this purpose, the "Black Scholes" model has been used as well as the "Put-Call Parity" method. GARCH model and Statistical method have been used for the "Bla More

  AbstractThe purpose of this paper is to price the gold coin options contracts in the Iranʻs Exchange Market. For this purpose, the "Black Scholes" model has been used as well as the "Put-Call Parity" method. GARCH model and Statistical method have been used for the "Black Scholes" model. The data for six Gold Coin options in the Iran mercantile exchange has been obtained for period of 16/12/1395 to 1/4/1396. The results show that both the "Black Scholes" and the "put-call parity" suggest investors buy call options.  Manuscript profile
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  92 - بررسی اثر نوسانات قیمت نفت خام بر شاخص بازدهی بورس اوراق بهادار تهران
  محمد علی خطیب سمنانی معصومه شجاعی مسعود شجاعی خسروشاهی
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  93 - بررسی اثر نوسانات نرخ ارز بر اشتغال در ایران
  کریم امامی الهه ملکی
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  94 - تحلیل نقش نرخ واقعی ارز و نوسانات آن بر صادرات صنعتی ایران
  علیرضا امینی سحر زارع
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  95 - 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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  96 - Evaluating the effect of currency fluctuations on the performance of companies listed in the Tehran Stock Exchange and measuring its time intervals.
  Mohammad Javad Mohagheq Nia Ali Asghar Ziachi Mustafa Sargolzaei Vahid Khashai
  10.30495/fed.2022.694716
  AbstractThe performance of listed firms is affected by a variety of internal and external factors. In addition to exploiting the internal factors, the managers of these firms must be able to navigate the external environment in such a way as to achieve their intended go More

  AbstractThe performance of listed firms is affected by a variety of internal and external factors. In addition to exploiting the internal factors, the managers of these firms must be able to navigate the external environment in such a way as to achieve their intended goals. The present research investigates the impact of currency fluctuations as an environmental factor on the performance of the firms listed on the Tehran Stock Exchange (TSE). This quasi-experimental research uses the generalized autoregressive conditional heteroskedasticity (GARCH) model to evaluate the impact of currency fluctuations on firm performance and the autoregressive distributed lag (ARDL) model to measure the effect of lags on this relationship. The results show that currency fluctuations significantly affect the performance of TSE-listed firms, but the strength and type of these effects vary across industries. Also, these effects occur with different time lags in various industries. Manuscript profile
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  97 - 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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  98 - بررسی رابطه توسعه مالی و تکانه های نفتی بر بی‌ثباتی رشد اقتصادی
  بتول زارعی حسن لاجوردی
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  99 - سنجش اثرگذاری عوامل اقتصادی درون شرکتی در شرایط نوسانات نفتی بر جریان نقدینگی در بورس تهران
  علی دهقانی فاطمه خیل کردی عبدالمجید عبدالباقی عطاآبادی
  20.1001.1.25383833.1399.14.52.9.9)
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  100 - Investigating the impact of exchange rate fluctuations as an economic stability evaluation index on asset value stability indicators
  mihammad hosin emaratian Ali Najafi Moghadam Ali Baghani Mohsen Hamidian Ghodratolah Emamverdi
  10.30495/fed.2022.697613
  AbstractThe purpose of this study was to investigate the effect of exchange rate as an indicator of economic stability on the stability of assets value in Tehran Stock Exchange during the years 1385 to 1397. For this purpose, the current research is included in descript More

  AbstractThe purpose of this study was to investigate the effect of exchange rate as an indicator of economic stability on the stability of assets value in Tehran Stock Exchange during the years 1385 to 1397. For this purpose, the current research is included in descriptive research in terms of research method and applied research in terms of purpose. Also, the design of this research is using the post-event approach. Also, in the current research, the panel data model was used to investigate the relationship between the variables. The results of the research showed that the fluctuation of the exchange rate has a significant effect on the first indicator of the stability of asset value, i.e. the book value of assets, at the level of 95%, and this effect is reversed. The effect of exchange rate fluctuation on the second index of asset value stability, which is the market value of assets, is significant at the 95% level. Also, the effect of exchange rate fluctuation on the third index of asset value stability, i.e. the current value of assets, was also negative and significant at the 95% level. Considering the influence of the exchange rate on the indicators of the stability of the value of assets, it is suggested that relying on domestic production and using raw materials available inside the country is one of the solutions to reduce losses caused by exchange rate fluctuations. Manuscript profile
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  101 - Studying the cognitive bias in investors' behavior for stock price fluctuations
  بهزاد سعادت زاده حصار رسول عبدی حیدر محمدزاده سالطه محمد نریمانی
  10.30495/fed.2021.687880
  This research aims at studying the cognitive bias in investors' behavior for stock price fluctuations in Tehran Stock Exchange. The methodology of this research was descriptive-correlational and path-analysis. The statistical population of this research was all the list More

  This research aims at studying the cognitive bias in investors' behavior for stock price fluctuations in Tehran Stock Exchange. The methodology of this research was descriptive-correlational and path-analysis. The statistical population of this research was all the listed investors in Tehran Stock Exchange out of which, 384 people were selected by the convenient sampling method.  Morgan table was used in this research to determine the sample volume. The measurement tools were the researcher-made questionnaires whose validity and reliability was confirmed after design and evaluation by professors and statistical methods. In addition, the beta coefficient was calculated to identify and compare the intensity and effect of cognitive bias components. The results of studying the mediating relationships of research variables showed the positive and significant relationship in 0.001 level between the cognitive bias and investors' behavior under low fluctuations with path coefficient (indirect) (0.35). In addition, there was a positive and significant relationship between the cognitive bias and investors' behavior under the high fluctuations with path coefficient (indirect) (-0.30) in 0.001 level.  Therefore, it can be claimed that the cognitive bias reduced under the low fluctuations. As a result, the investors' behaviors were less influenced by the cognitive bias. On the other hand, the high fluctuations negatively influenced the investors' behavior and increased the errors.    Manuscript profile
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  102 - The role of emotional management in price fluctuations of Tehran Securities and Exchnage Organization
  Sayyed Shahabuddin Dehghan Banaraki Zeinolabedin Amini sabegh Ehsan Sadeh
  The purpose of this paper is to investigate the role of emotional behaviors in stock price fluctuations of the Stock Exchange and Securities Organization. To this end, the adjusted three-factor model of Fama and French has been used based on the indicators of investor s More

  The purpose of this paper is to investigate the role of emotional behaviors in stock price fluctuations of the Stock Exchange and Securities Organization. To this end, the adjusted three-factor model of Fama and French has been used based on the indicators of investor sentiment. Based on the information published by the companies listed on the Tehran Stock Exchange, this study was conducted between 2013 and 2018 with a sample of 122 companies. The research hypotheses were tested using a generalized linear regression (EGLS) model. The test results of the hypotheses indicate an increase in the explanatory value of the stock price pattern by adding emotional indicators. Indicators of investor sentiment used in this study include instantaneous decision, long-term return effect on stock price fluctuations and value consumption from the perspective of price-to-earnings ratio, size effect, and loss avoidance effect. The first and second indicators of investor sentiment had a significant effect on stock prices. Regarding the third indicator, a significant relationship was observed in the model, while the loss-making effect had a positive effect on stock prices. Manuscript profile
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  103 - The effects of exchange rate appreciation on the stock value of pharmaceutical companies based on the estimated value obtained from the evaluation models of cash dividend discount, free cash flow and residual profit and real price
  Javad Einabadi nayereh moradi
  The effect of exchange rate appreciation on the stock value of pharmaceutical companies based on the estimated value obtained from the evaluation models of cash dividend discount, free cash flow and residual profit and real priceAbstractIn order to conduct this research More

  The effect of exchange rate appreciation on the stock value of pharmaceutical companies based on the estimated value obtained from the evaluation models of cash dividend discount, free cash flow and residual profit and real priceAbstractIn order to conduct this research, basic information and stock prices of 52 pharmaceutical companies listed on the Tehran Stock Exchange during the years 1390 to 1398 have been collected and used in evaluation using the cash flow discount model and other models. (1) And testing the first hypothesis of the research, in order to calculate the stock valuation for pharmaceutical companies using three models of discounted dividend, discounted dividend and discounted free cash flow, showed that the estimated stock price using the discounted dividend model has the highest Dispersion and with the discount dividend model has the lowest dispersionThe results show that at 75% confidence level there is a direct relationship between exchange rate fluctuations and stocks of pharmaceutical companies and between the three models of price estimation and real stock prices, at least one group average is different from other groups. (2) Manuscript profile
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  104 - Investigating the effect of Exchange Rate Fluctuations on Export of steel in Iran using Mixed Frequency Data Sampling Models (MIDAS)
  Elham Eslahchi Farideh Haghshenas Kashani
  Today, in Iran and all over the world, steel plays a crucial role in production and industrial sectors. Therefore, to increase and stabilize exports and eliminate the dependence of the country's budget on oil; adopting policies to diversify and expand the export of non- More

  Today, in Iran and all over the world, steel plays a crucial role in production and industrial sectors. Therefore, to increase and stabilize exports and eliminate the dependence of the country's budget on oil; adopting policies to diversify and expand the export of non-oil goods, especially the steel, by removing obstacles and adopting appropriate solutions in all developing countries with a single-product economy, including Iran, is inevitable.The purpose of this article is investigating the effect of exchange rate fluctuations on export of steel accordingly in MIDAS modeling framework. this model makes it possible to review former steel export forecasts and revise them regarding the impact of exchange rate fluctuations on steel industry exports, if more reliable data is available. In the estimated Midas model, annual statistics of steel exports, steel production, real and uncertain production, exchange rate, monthly variables of exchange rate and sanctions index are utilized during from 1992 until 2021. The results show that there is a positive relationship between the exchange rate and steel exports, and the relationship between exchange rate fluctuations and steel exports is negative, therefore these effects are more intense in the long term. Manuscript profile
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  105 - تاثیر حجم مبنا بر حجم معاملات و عکس العمل بیش از اندازه قیمت سهم در بورس اوراق بهادار ایران
  رضوان حجازی فرزانه حیدر پور هادی خان محمدی
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  106 - The Relation between Firm Size and Stock Return Volatility in Different Capital Market Conditions
  Shahnaz Mashayekh Nasim Harraf Amughin
  The major purpose of this research was to investigate and determinate the effect of some risk variables in the stock returns of the companies listed in Tehran Stock Exchange Market (TSEM). In approaching this study, the effects of firm size in the stock return volatilit More

  The major purpose of this research was to investigate and determinate the effect of some risk variables in the stock returns of the companies listed in Tehran Stock Exchange Market (TSEM). In approaching this study, the effects of firm size in the stock return volatility in different capital market conditions in TSEM during the years 1374 through 1384 were analyzed. The population of the study encompasses all firms listed in TSEM with the exception of banks, investment companies and leasing companies.The sample of this research was the firms whose stocks during the period of study at least six month of a year was exchange. Consequently, 53 firms were finally ed and analyzed. In choosing the conditions of market, used 3 criterion include stock market index and monetary exchanges volume and this numeric in TSEM . Then by using “ the regression analysis technique and dummy variable “ , the effects of ed variables in stock returns were studied. The results of this study show that, there is positive and significant relation between firm size and stock return volatility , when market condition is not importance, and when market condition include the model, this relation is still positive and significant. We concluded that, market condition does not effect on relationship between firm size and stock return volatility (Beta). Manuscript profile
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  107 - رابطه بین اظهارنظر حسابرس، اقلام تعهدی اختیاری و ریسک مالی
  بهزاد کاردان مهدی صالحی حسین کلاته
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  108 - بررسی عوامل موثر در ایجاد مطالبات معوق بانک های تجاری مناطق آزاد تجاری- صنعتی (مورد مطالعه شعب بانک ملت منطقه آزاد کیش
  فروغ رستمیان داود طبسی
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  109 - 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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  110 - The Impact of Macroeconomic Indicators on Stock Returns Fluctuations
  Hadi Mahboubi Marjan Damankeshideh Houshang Momeni Shahriyar Nessabian
  10.30495/faar.2023.705564
  Abstract The present article explains the effect of some macroeconomic indicators on stock return fluctuations .Artificial exchange rate pricing in the years before the crisis and preventing it from adjusting to the economic conditions is one of the main reasons for th More

  Abstract The present article explains the effect of some macroeconomic indicators on stock return fluctuations .Artificial exchange rate pricing in the years before the crisis and preventing it from adjusting to the economic conditions is one of the main reasons for the recent currency crisis. Also, the calculation of the foreign exchange market pressure index indicates that the highest numbers obtained for this index are related to the time when the gap between the free exchange rate and the official exchange rate has increased. The results also showed that the effect of exchange rate fluctuations on stock return fluctuations is positive and significant, which indicates that there is a high correlation between stock returns and the exchange rate market. Also, the positive sign of the coefficient indicates a positive and significant effect of interest rates on the variability of stock returns. This result shows that higher interest rates have led to more fluctuations in stock returns. Finally, GDP per capita was not significant in any of the error levels of 1, 5 and 10%, which indicates that it did not have a significant effect on stock fluctuations. Manuscript profile
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  111 - ‌بکارگیری اطلاعات گذشته و آینده در مدیریت هزینه استراتژیک
  ولی خدادادی جواد نیک کار الهه ملک خدایی قدرت اله حیدری نژاد
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  112 - The Explanation of the Relationship between Downside Risk and Upside Risk combination in predicting Market Return Volatility
  hossein rad kaftroudi mohammadhasan gholizadeh mahdi fadaei
  The volatility of financial returns plays an important role in many empirical applications, such as portfolio allocation, risk management and derivative pricing. The purpose of this research is to explain the relationship between undesirable risk and desirable risk in p More

  The volatility of financial returns plays an important role in many empirical applications, such as portfolio allocation, risk management and derivative pricing. The purpose of this research is to explain the relationship between undesirable risk and desirable risk in predicting market return volatility. The research is descriptive in nature and applied in purpose. The statistical population of the study is the companies listed in Tehran Stock Exchange and the target sample of the companies listed in the cement industry from which the required research data can be extracted. The research period is from 1392 to 1397. This research has a theoretical model and the self-regression model was used to test the hypotheses. In the cement industry, according to the t-statistic and its coefficient of determination, it is clear that the predictor of market yield fluctuations correlates with undesirable and desirable risk. Also, the adjusted coefficient of determination is 51%, which indicates this effect. Manuscript profile
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  113 - Designing non-linear pattern contagious influence of the Tehran Price Index from the physical assets market (Application of NARX artificial neural network model)
  mahdi shaban habibollah nakhaei Ghodrat Alloh Talebnia nazanin bashirimanesh
  The present study examines the contagiousness of the Tehran Stock Exchange from the price of parallel assets using the dynamic neural network. To perform calculations, the time series of coin price variables as a representative of the gold market, the average price per More

  The present study examines the contagiousness of the Tehran Stock Exchange from the price of parallel assets using the dynamic neural network. To perform calculations, the time series of coin price variables as a representative of the gold market, the average price per square meter of residential building as a representative of the housing market. The price of each barrel of Iranian crude oil and the US dollar exchange rate and their conditional fluctuations as explanatory variables and the total index of Tehran Stock Exchange and its conditional fluctuation as the target variable from 1387 to 1397 are examined daily .The dynamic neural network is evaluated with four input variables and one target variable with different neurons with the MSE criteria, and the models with 20 neurons and 10 neurons have the lowest MSE, .Research results show that the stock exchange has a maximum of two lag from competing markets has become contagious, indicating the poor performance of the Tehran Stock Exchange. The results show that the proposed neural network patterns have a high power in predicting the index of Tehran Stock Exchange and its fluctuations from 1387 to 1397 as in-sample forecast and in 1398 as extra-sample forecast. Manuscript profile
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  114 - 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
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  115 - Explain the moderating role of the investment horizon on excess returns from Implementation of the Momentum& Contrarian strategy changing in stock price volatilities
  Mohammad ali Sadeghi lafmejani javad ramezani mehdi khalilpour
  Momentum& Contrarian trading strategies used to exploit the serial correlations of market yields and securities fall under financial exceptions and capital market irregularities. In this strategy, incremental returns can be achieved by buying past winning stocks and More

  Momentum& Contrarian trading strategies used to exploit the serial correlations of market yields and securities fall under financial exceptions and capital market irregularities. In this strategy, incremental returns can be achieved by buying past winning stocks and selling past losing stocks. Accordingly, the purpose of this study was to explain the moderating role of the investment horizon on the additional returns resulting from the use of accelerated-reverse strategies in Tehran Stock Exchange price Explain the moderating role of the investment horizon on excess returns from Implementation of the Momentum& Contrarian strategy changing in stock price volatilities. The hypothesis testing in the present study was performed using multivariate linear regression model and econometric modeling. In examining the moderating effect of investment horizons on the above relationship, it was also found that despite the unexpected effect of the surplus resulting from the change in strategy on the stock price fluctuations, the investment horizon parameter on the additional return relationship derived from the use of strategies Momentum& Contrarian of stock price fluctuations have no significant effect. Manuscript profile
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  116 - The Relationship of Return on Investment Markets with the Debold and Yelmaz Approach
  SayyedAmirMahdi Hashemi mohammad khodaei valahzaghard Abbas Memarnejad asghar abolhasani Hastiani
  Financial development is one of the most important causes of economic growth. Economic growth is a key variable of every economy, so analysis the factors that affect Economic growth is important, too. In this paper, the effect of financial development on the economic gr More

  Financial development is one of the most important causes of economic growth. Economic growth is a key variable of every economy, so analysis the factors that affect Economic growth is important, too. In this paper, the effect of financial development on the economic growth of the country during the period of 1989 to 2016 has been studied. In order to increase accuracy and flexibility of results, we use the TVP-FAVAR model which make possible to change coefficient and participant of individual variables at any point of time. At first, latent financial development variable in Iran economy has been estimated; Then, we specify the model of study by using the variables of liquidity volume, oil revenues, economic growth and financial development.The results of the impulse- response functions show that a shock in the latent financial development has had a positive effect on economic growth during the years under study. The results also show that the shock caused by oil revenues will only lead to an increase in economic growth over the short term and will be adjusted over several years, while the effects of liquidity shocks on the results of most years have had a neutral effect on economic growth. Manuscript profile
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  117 - Modeling the latent Volatilities of the stock exchange index using the copula-stochastic Volatility model
  Saeed Shahriyari Peyman Iman zadeh mehdi khoshnood
  In this study, a hybrid copula-stochastic volatility model based on Monte-Carlo Markov chain is developed to evaluate the latent volatilities of the TSE Index. The data used to estimate the models include the values of the total index of the TSE from the beginning of 20 More

  In this study, a hybrid copula-stochastic volatility model based on Monte-Carlo Markov chain is developed to evaluate the latent volatilities of the TSE Index. The data used to estimate the models include the values of the total index of the TSE from the beginning of 2020 to the beginning of 2021 on a daily basis with a frequency of 30 minutes. Also, in order to determine the error, data from the date (03/27/2021) to (12/21/2021) has been used in 15-minute intervals. the square logarithm distribution of returns as a measure of realized volatilities is first simulated using a stochastic volatility model to obtain latent volatilities and then using a mixture of copula family distributions and the MCMC, modeling and estimation were performed in the training phase and finally in the test phase using out-of-sample data to estimate the stochastic volatility of the test phase was investigated. The results show that among the functions of Copula Gumble, Galambos, Joe, Clayton and Frank in the test phase, 3 Copula Gumble, Galambos, Joe have acceptable performance and among these functions, the Gumble-Stochastic Volatility based on MCMC with the lowest error rate among the out-sample data recorded better performance. Manuscript profile
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  118 - "Analysis of the dynamic effect of oil, gold and stock market index on Iran's economy: a new approach with the SVAR-DCC-GARCH model"
  tara heidari chavari mirfeyz fallahshams hashem ninoomaram Frydoon Rahnamay Roodposhti Gholamreza zomorodian
  In the global economy, oil prices have been considered a key indicator of exchange rate fluctuations. This significance arises from the fact that international oil transactions are largely conducted in US dollars. Emphasizing this importance, the present article examine More

  In the global economy, oil prices have been considered a key indicator of exchange rate fluctuations. This significance arises from the fact that international oil transactions are largely conducted in US dollars. Emphasizing this importance, the present article examines the dynamic relationship between oil prices, gold, and the stock index in the Iranian economy during the period from 1370 to 1401 using the SVAR-DCC-GARCH model. The results indicate that an increase in the growth of the stock index may lead to an increase in the price of gold, while having no significant impact on the oil market. Furthermore, increases in the gold and oil markets do not notably affect the Iranian stock market, and interestingly, there is no distinct correlation between the oil and gold markets. These findings vary throughout temporal fluctuations. Ultimately, employing the SVAR-DCC-GARCH model, this article analyzes the dynamic relationship between oil prices, gold, and the stock index in the Iranian economy, revealing that this relationship changes under different conditions over time. This contributes to a better understanding of the effects of fluctuations in these indicators on the Iranian economy. Manuscript profile
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  119 - Evaluating The Sinusoidal Fluctuations of the Emotional and Radiant Orientations of Active Investors in The Formation of Thick Decision in The Capital Market
  Zahra Jafari Rahim Bonabi Ghadim Rasoul Abdi
  This study, using "MyBiocycle" software, the sinusoidal fluctuations of the emotional and illuminative periods of active investors are evaluated in order to influence thick decision in the capital market. In this study, in order to evaluate the sinusoidal fluctuations, More

  This study, using "MyBiocycle" software, the sinusoidal fluctuations of the emotional and illuminative periods of active investors are evaluated in order to influence thick decision in the capital market. In this study, in order to evaluate the sinusoidal fluctuations, time period of 2 months were considered in the form of 4 time periods of 15 days in order to determine the difference between the emotional and radiant orientations of active investors. In this study, 48 real investors were selected based on the ratio of "12/4" (four groups of twelve people) in order to be placed in two emotional and illuminative categories and based on variance analysis tests, their effectiveness in the formation of crowd decision-making in the capital market was investigated. The results of the study indicated that the real active investors who are in the negative area in the evaluation of the sinusoidal fluctuations of the emotional period have higher thick decision compared to the active real investors who are in the positive area in the evaluation of the sinusoidal fluctuations of the emotional period. Manuscript profile
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  120 - Volatility Spillover between Oil Price, Exchange Rates, Gold Price and Stock Market Indexes with Structural Breaks
  elaheh sefidbakht Mohammad Hossein Ranjbar
  Volatility spillovers among financial indices, indicates the process is the transfer of information between markets. Given that financial markets are connected, Ayjad information in one market can affect other markets. In the meantime, modeling the volatility of returns More

  Volatility spillovers among financial indices, indicates the process is the transfer of information between markets. Given that financial markets are connected, Ayjad information in one market can affect other markets. In the meantime, modeling the volatility of returns in different markets and communicate with each other from the perspective of these markets Supplier Institute academics and financial area, to be used in the prediction, the matter of It results in. In this study, the tiny fluctuations in oil markets, currencies, gold and stock model BEKK bivariate GARCH, without the use of structural failure and also with regard to the use of the algorithm ICSS and model VAR, tested and the relationship between them through Granger causality test was carried out. The results show that if the calculation of structural failure in the equation disregard, changes in exchange rates on the price of oil does not have the price of gold and stock index has a significant effect, in this case oil price changes on any of the variables studied has no effect. On the other hand, gold price changes can affect stock index and stock changes can also affect the exchange rate. But when the failure of structural equations is used will be different results.   Manuscript profile
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  121 - Changing in the volatilities of Iran microstructure market by BARJAM
  Parinaz Jala
  In the recent years, high frequency trading is becoming more popular among financial analysts in Iran. To analyze these data need special methods because of microstructure noise effect. In this study, the goal is assessment of realized volatilities according to the BARJ More

  In the recent years, high frequency trading is becoming more popular among financial analysts in Iran. To analyze these data need special methods because of microstructure noise effect. In this study, the goal is assessment of realized volatilities according to the BARJAM effect from May to October in 2014 and 2016. This study uses the information about crucial Iran indices: Total index, Bank, Oil Industry Investment, Petrochemical Industry Investment and Automobile Industry indices. To estimate Integrated Matrix using “Pre-averaging” because this approach is able to control the effect of microstructure noise and, “Hayashi-Yoshida” is used to synchronization among indices.  Moreover, the price jumps are removed to get more accurate estimator. The study of daily volatilities and their comparison show a positive effect of BARJAM on Total index, Bank and Oil Industry Investment, but there is not noticeable influence in Automobile Industry and Petrochemical Industry Investment. Finally, time series is modeled to forecast the volatility of indices in a short term. Manuscript profile
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  122 - Estimation and Comparison of Short-Term Interest Rate Equilibrium Models Using Islamic Treasury Bills
  moslem peymany zohreh hooshangi
  In the following paper, short-term interest rate is modeled using some of the most prevalent single factor equilibrium models in Iran. In this research, model’s performance is compared to each other using some indicators relating to model fitness, interest volatil More

  In the following paper, short-term interest rate is modeled using some of the most prevalent single factor equilibrium models in Iran. In this research, model’s performance is compared to each other using some indicators relating to model fitness, interest volatility and interest level changes. For this purpose, Islamic treasury bill yield data were obtained from the period 1394 to 1395 and the models were estimated using generalized method of moments. The findings of this research illustrate that Brennan-Schwartz and CKLS models perform better in interest rate fitness compared to other restricted models. Also, Brennan-Schwartz model show more predictive power than other models. In addition, short-term interest rate of Islamic Treasury Bill exhibit some mean reverting feature and the level of long term mean is estimated as well. Although all the models perform poorly in interest rate volatility fitness, there are some evidences showing that it is sensitive to the level of interest rate. Manuscript profile
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  123 - A Markov regime-switching model for crude-oil market fluctuations
  mohammadreza Rostami maryam naghavipour maryam Moghaddasbayat
  According to the findings of financial econometric researches, oil prices as one of the most important macroeconomic variables affect financial markets and economies of oil exporting countries. In this study, the price of OPEC oil basket has been used with daily frequen More

  According to the findings of financial econometric researches, oil prices as one of the most important macroeconomic variables affect financial markets and economies of oil exporting countries. In this study, the price of OPEC oil basket has been used with daily frequency. The period under review is from August 3, 2013 to December 26, 2016. The course includes various developments such as unrest and war in the Middle East, a sharp and unexpected decline in oil prices for reasons such as a decline in demand, an agreement 27, and the agreement of OPEC members to reduce oil production in order to increase oil prices, is located. Initial studies indicate cluster fluctuations, ie, independent and uniform distribution characteristics and variance consistency. The Breusch Godfrey test confirms the effects of ARCH and GARCH. Also, a generalized test with the estimation of kernel density based on the Monte Carlo rule indicates Parson’s weight on the effects of ARCH in the variable. The results of the study of oil price fluctuations using the MS-GARCH model of single and multiple regimes indicate that the three regimes model is suitable for explaining the behavior of the variable in the reviewed period. Manuscript profile
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  124 - Volatility clustering in financial markets based on the agent based model
  zahra shirazian Hashem Nikoomaram Fereydoon Rahnamay Roodposhti Taghi TORABI
  The purpose of this study is to investigate the clustering of fluctuations in financial markets, including the stock market, with the underlying model of simulation. Time series of financial asset returns show the clustering of volatility, which shows that large changes More

  The purpose of this study is to investigate the clustering of fluctuations in financial markets, including the stock market, with the underlying model of simulation. Time series of financial asset returns show the clustering of volatility, which shows that large changes in prices tend to form clusters together And these clusters will last for a long time. Time series of financial asset returns often exhibit the volatility clustering property: large changes in prices tend to cluster together, resulting in persistence of the amplitudes of price changes. After recalling various methods for quantifying and modeling this phenomenon, we discuss several economic mechanisms which have been proposed to explain the origin of this volatility clustering in terms of behavior of market participants and the news arrival process. A common feature of these models seems to be a switching between low and high activity regimes with heavy-tailed durations of regimes. Finally, we discuss a simple agent-based model which links such variations in market activity to threshold behavior of market participants and suggests a link between volatility clustering and investor inertia.   Manuscript profile
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  125 - Choosing an optimal Model for Explaining & Forecasting the Volatility of Iranian Gold Price Returns: a Comparison of GARCH, IGARCH & FIGARCH Models
  Mahdi Shahrazi
  This paper compares three models of the GARCH family to investigate the volatility dynamics of gold Price returns. Nowadays, GARCH-type models have been extensively used in modeling the volatility process of various asset price returns. Gold plays a critical role as a h More

  This paper compares three models of the GARCH family to investigate the volatility dynamics of gold Price returns. Nowadays, GARCH-type models have been extensively used in modeling the volatility process of various asset price returns. Gold plays a critical role as a hedge against adverse market conditions. An accurate understanding about the gold volatility is important for the financial assets pricing, risk management, portfolio selection hedging strategies and value-at-risk policies. In this study, we use Iranian gold returns data from March 25, 2003 to December 25, 2015 and employ the GARCH(1,1), IGARCH(1,1) and FIGARCH(1,d,1) specifications. The research findings show that the FIGARCH is the best model to capture dependence in the conditional variance of the gold returns. Moreover, we examine the long memory behavior in the volatility of gold returns. According to the estimation results, the long memory parameter is positive and statistically significant. Consequently, long memory is an important characteristic of the gold volatility returns and should be taken into consideration in investment decisions. Also, the out-of-sample evaluation criteria (MAE, RMSE and TIC) select the FIGARCH(1,d,1) as the best forecasting model of gold volatility. Manuscript profile
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  126 - Examining the overflow of financial stress index fluctuations on inflation, interest rate, liquidity and industry index using GARCH-BEKK and VAR models and Granger causality
  Rohollah Rezazadeh Mirfeiz Falah
  During financial stress, the impact of financial stress shocks on economic activity may differ from what is usually observed at normal times. Therefore, it is appropriate to consider the effects of financial stress on economic activity and inflation during the period of More

  During financial stress, the impact of financial stress shocks on economic activity may differ from what is usually observed at normal times. Therefore, it is appropriate to consider the effects of financial stress on economic activity and inflation during the period of financial instability. In this paper, hence, the effect of the deterioration of financial conditions of the Iranian economy on macroeconomic variables between 2012  and 2017 has been investigated. For this purpose, in this research, we intend to study the impact of the fluctuations of the financial stress index on inflation, interest rates, liquidity, and industry index by developing the financial stress index using representatives from different markets. Therefore, using the GARCH two-variable BEKK model and also the VAR model, the effects of shocks and fluctuations between them were tested and then the relationship between them was investigated by Granger's causality test. The results indicate that there is a two-way relationship between the financial stress index and inflation, interest rate, and liquidity, but in examining the causality between the financial stress index and the industry index, the results of the causality test indicate that the industry index itself, in the long run, triggers changes in the financial stress index, but the financial stress index has no effect on the industry index. Manuscript profile
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  127 - Estimation of Return and Volatilities Spillover between Different Industries of Tehran Stocks’ Exchange
  Sepideh Karami Mohammad Ali Rastegar
  Today in the financial markets there are different factors that can help investors to allocate their assets satisfactorily. The main concern for asset allocation is that if any return and volatility from a stock market spillovers into, return and volatility of another m More

  Today in the financial markets there are different factors that can help investors to allocate their assets satisfactorily. The main concern for asset allocation is that if any return and volatility from a stock market spillovers into, return and volatility of another market. Spillover expresses shock transfer to other markets or countries regardless of the basic links exist between them. This paper investigates the existence of spillover effect in Tehran Stock Exchange. Specifically, we study the return and volatility spillover effects between 6 indices from August 2011 to March 2016 and Dynamic conditional Correlation model (DCC) has been employed in our study. Base on the results of this research, we reveal that the return and volatility of selected industries are impacting on each other. Some results suggest that Pharma - Industry has the highest impact and Oil, /coke and nuclear fuel Industry has the lowest impact on other selected industries Manuscript profile
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  128 - stock return prediction models; Estimating the distribution of total market returns and its fluctuations based on the Laplace distribution
  Masoumeh Mohammadi Ledari Iman Dadashi
  10.30495/jdaa.2024.709475
  AbstractIn most return forecasting models, the return of the total market is used as one of the factors affecting the return of securities. In most of these models, such as the pricing model of capital assets and Black-Scholes, the data distribution is assumed to be nor More

  AbstractIn most return forecasting models, the return of the total market is used as one of the factors affecting the return of securities. In most of these models, such as the pricing model of capital assets and Black-Scholes, the data distribution is assumed to be normal. This is while the distribution of the total return is not necessarily normal and often has a significant difference from the normal distribution. If such a hypothesis is confirmed, the expected return predicted by these models will not be very effective in financial decisions. The purpose of this research is to model the total return of Tehran Stock Exchange based on the Laplace distribution and examine the dependence of the total return fluctuations on the desired distribution. In order to examine the distribution of the total daily return and its weekly fluctuations, data related to a 15-year period between 1387 and 1401 and R statistical software were used. The data analysis showed that the total daily return followed the Laplace distribution and the weekly fluctuations of the total return followed the distribution obtained based on the Laplace distribution. These findings make the use of models with the assumption of normality of total return to predict stock returns in Tehran Stock Exchange a major challenge and are a clear proof of the ineffectiveness of these models. . Manuscript profile
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  129 - Relationship between Asset Revaluation and Stock Price Fluctuations and Analysis of Shareholder Behavior
  امیرعباس صاحبقرانی هادی سجلاتی
  10.30495/jdaa.2022.693142
  Abstract Necessity of the research because one of the shortcomings of historical cost is the lack of reflection of the day value of assets in inflationary conditions, which will affect the capital market. And analysis of shareholder behavior. The statistical population More

  Abstract Necessity of the research because one of the shortcomings of historical cost is the lack of reflection of the day value of assets in inflationary conditions, which will affect the capital market. And analysis of shareholder behavior. The statistical population is all companies listed on the Tehran Stock Exchange, taking into account the information close to the research time, in the period from 1395 to 1398. Data collection is used from Rahavard and Kadal sites. Final data analysis is also performed using Eviews10 software. The results show that there is a direct relationship between revaluation and fluctuations in the company's stock price and this relationship is positive so that in the capital market by performing the revaluation process, the risk of price impact as a price increase from the revaluation process. Be it officially or as a rumor or news item, in these cases it often has a psychological atmosphere and a positive effect. There is no significant relationship between revaluation and stock price fluctuations of companies with net losses and between revaluation and stock price fluctuations of companies with high trading volume. Due to the current increase in inflation in the country and the up-to-dateness of the issue of revaluation among capital market residents, various companies are working in this direction, which is an important issue. Also, the effect of revaluation on the price and the news through which it affects the stocks of companies, causes users, investors, creditors and shareholders to have different behaviors towards it. Manuscript profile
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  130 - The Study of the relationship between Exchange Rates and the Total Factor Productivity (TFP) Growth: An Empirical Analysis Based On Panel Data in Selected Countries
  Mohammad Reza Shahab
  Productivity is one the important concepts and fundamental necessity for the economic growth and development of all countries of the world. Hence, the study and identification of variables and factors influencing it, is essential especially for appropriate policymaking. More

  Productivity is one the important concepts and fundamental necessity for the economic growth and development of all countries of the world. Hence, the study and identification of variables and factors influencing it, is essential especially for appropriate policymaking. The main objective of this study can be served as an investigation of the effect of exchange rate fluctuations on the TFP growth and to achieve this, the third class of endogenous growth theories have been considered in order to design hypotheses and model.To test hypotheses, the panel data methodology is employed for the period of 2000 to 2009 and the specified model is estimated for 7 selected countries of APO members including I.R Of Iran in deferent approaches and in order to determine the presence and type of effects, the Leamer and Hauseman tests are carried out.The results of estimations confirm our two hypotheses and statistically indicate that the significant relation between exchange rate fluctuations and TFP growth cannot be rejected so that the TFP growth will decline if the exchange rate increases and vice versa. Furthermore, the study has several consequences which are concerned with the effects of other variables on the TFP growth, such as the degree of openness to foreign trade and inflationary circumstances. Policy recommendations have been discussed in the terminal sector of paper.  Manuscript profile
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  131 - Investigating the effect of economic uncertainty on the relationship between comparability of financial statements and the stock price crash riskon Tehran Stock Exchange
  Zoheyr Alipourzadeh Alireza Ghanbarzade Mohammad Abbedi Arezo Jabari
  10.30495/afi.2022.1945982.1070
  When auditors see an abnormal fluctuation in profit over the previous year, they will perceive it as an audit risk. Therefore, in their response to the perceived risk, there will be more effort and attention. They increase their audits to the same level, and this affect More

  When auditors see an abnormal fluctuation in profit over the previous year, they will perceive it as an audit risk. Therefore, in their response to the perceived risk, there will be more effort and attention. They increase their audits to the same level, and this affects the audit fee. Management transactions, on the other hand, are part of the transactions with affiliates that companies make with the main managers of the business unit or their close relatives. So far, it has received less attention in the research literature and can affect the relationship between profit fluctuations and audit fees. Therefore, the present study aimed to investigate the effect of management transactions on the relationship between annual earnings fluctuations and audit fees in companies listed on the Tehran Stock Exchange. EViews statistical software was used for statistical analysis.  In this research, 150 companies (1050 years of company) were selected to test the research hypotheses between 2013 and 2020.To test the research hypotheses with data consolidated from multiple linear, regression analyzes were used. In general, the summary of the results of testing the research hypotheses show that annual profit fluctuations have a significant positive effect on the audit fees of companies listed on  Tehran Stock Exchange. The results also show that managerial transactions increase the positive relationship between annual earnings fluctuations and audit fees of companies listed on the Tehran Stock Exchange. Manuscript profile
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  132 - An analysis of the volatility and return spillover of venture capital ETFs in the Tehran Stock Exchange
  Meysam Kaviani Maryam Gavara Zahra Nazari
  10.30495/afi.2024.1997211.1258
  Purpose: Venture capital is an investment model for launching new businesses such as startups and small companies with long-term growth potential, and venture funds provide financial resources from the time the idea is formed to the end of the project. As the name sugge More

  Purpose: Venture capital is an investment model for launching new businesses such as startups and small companies with long-term growth potential, and venture funds provide financial resources from the time the idea is formed to the end of the project. As the name suggests, high risk tolerance and courage are required to start and invest in these funds, and the purpose of this research is to investigate the fluctuations and overflow of returns between these funds and its benchmark index (total index). Research Methodology: This research has utilized time series data of five risky ETFs and index returns between 2018 and 2023. Heterogeneity models including generalized autoregressive conditional heteroskedasticity (GARCH) and exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models have been employed for data analysis. Findings: The findings of the research indicate that all tradable ETFs have return overflow from the benchmark index to ETF returns. Additionally, the returns of tradable ETFs and the benchmark index exhibit stability in volatility, and the presence of asymmetric volatility shows that negative news has a greater impact on volatility compared to positive news. Originality/Scientific Value: The results of this research can offer venture fund managers and investors a novel perspective for evaluating the performance and risk of these funds by considering both positive and negative news using volatility models. Manuscript profile
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  133 - Developing an LSTM neural network model for predicting blocktrade transaction valuation
  Adeleh Bahreini Maryam Akbaryan Fard Mehdi Khoshnood
  10.30495/afi.2023.1991282.1242
  Objective: The capability of intelligent systems in predicting economic and financial variables, particularly stock prices, has been confirmed in previous research in Iran and other countries. However, the valuation of block transactions is calculated for the first time More

  Objective: The capability of intelligent systems in predicting economic and financial variables, particularly stock prices, has been confirmed in previous research in Iran and other countries. However, the valuation of block transactions is calculated for the first time in this study. The aim is to investigate the outcomes and information from the financial reports of listed companies on the Tehran Stock Exchange using 15 financial indices and determine the impact of these indices on the valuation of block transactions by employing the RMSE test on the Test dataset.Research Methodology: For this purpose, financial information from 64 companies within the accepted companies of the Tehran Stock Exchange for the period from 1390 to 1400 has been utilized. The research hypothesis is tested using the Long Short-Term Memory (LSTM) deep learning neural network model.Findings: The LSTM neural network, due to its high capability in training data, appropriate weights for these data, and creating a path that efficiently and accurately produces acceptable results for predicting the valuation of block transactions.Originality/Value: In the proposed model, by measuring the valuation of block transactions, we will scrutinize the prices of these transactions and the effects of information and liquidity in large-sized transactions. Manuscript profile
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  134 - Forward-looking disclosure and corporate reputation as mechanisms to reduce stock return volatility
  Mohammad Kiamehr Ehsan Kermani Ali Norouzi
  Purpose: The purpose of this research is to investigate the relationship between the disclosure of prospective financial information and the volatility of stock returns of companies listed on the Tehran Stock Exchange, as well as to investigate the effect of companies' More

  Purpose: The purpose of this research is to investigate the relationship between the disclosure of prospective financial information and the volatility of stock returns of companies listed on the Tehran Stock Exchange, as well as to investigate the effect of companies' good reputation on this relationship. Methodology: In order to achieve the goals of the research, two hypotheses have been developed that test the meaningfulness of the relationship between the disclosure of prospective financial information, the fluctuations of stock returns and good reputation in the companies listed on the Tehran Stock Exchange. Disclosure of prospective financial information was measured using content analysis method. The statistical method used to test the hypotheses presented in this research is the step-by-step regression analysis method, and the statistical sample of the research includes 120 companies in the years 2018 to 2022. Findings: The results of the analysis of the research hypotheses show that the disclosure of forward-looking financial information leads to a decrease in the volatility of stock returns of companies listed on the Tehran Stock Exchange. Also, disclosure of forward-looking financial information by firms with higher reputations (as opposed to firms with lower reputations) has a greater effect on reducing stock return volatility. Originality: By analyzing the effect of forward-looking financial information on the volatility of stock returns, it expands previous research. Manuscript profile
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  135 - Explaining the mediating role of the factors affecting the delay in the auditor's report on the relationship between income-cost matching and additional stock price fluctuations
  Hamid Khedmatgozar Mojtaba  Maleki Chubari Sina Kheradyar
  DOI: 10.30495/JDAA.1403.1118618
  Accounting information is provided to users in the form of financial reports. Independent auditors provide the basis and necessary conditions for the quality of accounting information and financial reporting on time. Therefore, the delay in providing audit reports can a More

  Accounting information is provided to users in the form of financial reports. Independent auditors provide the basis and necessary conditions for the quality of accounting information and financial reporting on time. Therefore, the delay in providing audit reports can affect the company's performance and even the company's stock price. In this research, the theory related to the matching principle in relation to stock price fluctuations was investigated. The main approach of the mentioned theory is that weak matching acts as a disturbance in the economic relationship between income and cost, and as a result, it increases the volatility in stock prices. The results of this research showed a strong compatibility with the existing theory. This research aims to explain the mediating role of the factors affecting the delay in the auditor's report on the relationship between income-cost matching and additional stock price fluctuations using the combined DEMATEL and ANP methods in the period from 1393 to 1399 in 150 companies admitted to the stock exchange. Bahadar Tehran has been done. In order to identify and rank the factors affecting the delay of the auditor's report, the Delphi-fuzzy method was used, and to determine the intensity of etherability and effectiveness, and finally, the fuzzy Dimetal method and the ANP network analysis method were used. The results of the research showed that the delay in the auditor's report plays a mediating role in the relationship between compliance with the principle of compliance and additional fluctuations in price. Manuscript profile