List of Articles کارایی اطلاعاتی

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  1 - Testing the informational Efficiency and Rational Bubble in TSE and its Subsections Using Variance Ratio Test and Stationary Test of Price- Dividend Ratio
  فریدون رهنمای رودپشتی مهدی معدنچی زاج شهرام بابالویان
  In an efficient market, both the allocation of capital is done optimally and the stockprice of firms is determined fairly. The bubbles in price of stocks may occur ininefficient markets, because the lack of information transparency is the major reasonof bubble arising a More

  In an efficient market, both the allocation of capital is done optimally and the stockprice of firms is determined fairly. The bubbles in price of stocks may occur ininefficient markets, because the lack of information transparency is the major reasonof bubble arising and the gap between intrinsic and market value.The purpose of this paper is investigating the informational efficiency and rationalbubble in stock prices of Tehran Stock Exchange (TSE) and its subsections (TEFIX30,TX-50 and the principle 44 companies offered in TSE) in 1389 by using variance ratiotest and stationary test of price-dividend ratios. The results indicate that:1- Total index of TSE an its subsections (TEFIX30, TX-50 and the principle 44companies offered in TSE) is not weak form efficient in 1389.2- The null no bubble hypothesis of TSE and its subsections is rejected in 1389.3- There is direct relationship between inefficiency and bubble in 1389. Manuscript profile
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  2 - Liquidity and Information Efficiency in Cryptocurrencies Market
  Mohammad Salehifar
  In this paper, we evaluate the behavior of return, liquidity, and information efficiency in cryptocurrencis market. Cryptocurrencis are a kind of virtual currencies which cryptography technology is a basic element in their designing. They are often managed in an undistr More

  In this paper, we evaluate the behavior of return, liquidity, and information efficiency in cryptocurrencis market. Cryptocurrencis are a kind of virtual currencies which cryptography technology is a basic element in their designing. They are often managed in an undistributed manner. The sample consists of 13 cryptocurrencies which were traded during 3 years (11/1/2015 until 11/1/2018) consistently. We apply Dickey-Fuller test, Ljung-Box autocorrelation parametric test, Fama-French autocorrelation test, Run and Hurst non-parametric tests to explore momentum and long-run memory in cryptocurrencis market. Findings show that cryptocurrencis return has an unpredictable behavior in markets which are more liquid. Indeed, liquidity has a direct relationship with information efficiency in cryptocurrencis market. Totally, the more liquid cryptocurrencis markets are, the less return predictability will be happened and cryptocurrencis return time series will move to a random walk. Therefore, the efficient market hypothesis will be improved. Manuscript profile
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  3 - Empirically examining of the effect of week days on future contracts market of Bahar Azadi Coin in Tehran Merchandise Exchange
  Peyman Tataee Jalal Seifoddini Emad Ahmadipour Leila Azadi
  This study empirically examined the effect of week days on future contracts of Bahar Azadi Coin in Iran Merchandise Exchange. We used the classic Linear Autoregressive and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) to show that there isn't a stand More

  This study empirically examined the effect of week days on future contracts of Bahar Azadi Coin in Iran Merchandise Exchange. We used the classic Linear Autoregressive and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) to show that there isn't a standard pattern for the return of future contracts of Bahar Azadi Coin. Also, we presented that the daily return of future contracts depended on previous day and even the day before. Thus we concluded that the prices didn't follow "Random Walk" phenomenon in the future market of Bahar Azadi Coin and we couldn’t find any evidence for market information efficiency in weak level. Manuscript profile
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  4 - An Evaluation of Informational Efficiency of Information and Communication Technology Corporates in Tehran Stock Market: inconsistency with the global trend
  Ali Asghar Anvari Rostamy Seyed sepehr Gazi nore Amir Khorasani
  The impact of Information and communication technology to increase financial transactions in different fields shows the Positive developments of this industry in Iran. But could the ICT industry also be efficient in the economic capital of the country? Does the industry More

  The impact of Information and communication technology to increase financial transactions in different fields shows the Positive developments of this industry in Iran. But could the ICT industry also be efficient in the economic capital of the country? Does the industry that appeared with the nature of contributing to convey and analyze the information has informational efficiency itself? In this study, the ICT industry in the Tehran Stock Exchange was surveyed to check its informational efficiency. The data and documents related to the profitability of companies in this industry for 6 years were studied quantitatively. A total of eight companies with the nature of ICT were selected. To understand the informational efficiency, runs test have been used with two approaches: runs with change relative to the average. The results showed that the ICT industry in Tehran stock exchange has not even a weak level of informational efficiency. The results are completely inconsistent with other countries and show that Iran's ICT condition needs a fundamental reflection. Manuscript profile
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  5 - A Model Explaining the Informational Efficiency of Stock Price Based on Various Stock Price Adjustment Speed Approaches
  Mohammad Naghizadeh Younes Badavar Nahandi Rasoul Baradaran Hassanzadeh Ali Asghar Mottaghi
  10.30495/faar.2024.1985726.3658
  Knowing the information efficiency in stock markets and the speed with which stock markets incorporate information flow into asset prices is very important for stakeholders. The present study tried identifying and explaining the factors affecting the information efficie More

  Knowing the information efficiency in stock markets and the speed with which stock markets incorporate information flow into asset prices is very important for stakeholders. The present study tried identifying and explaining the factors affecting the information efficiency of stock prices, investigating the efficiency of stock prices and providing an explanatory model for it in the Tehran Stock Exchange since 2011 to 2021. So, by investigating the literature reviews and analyzing experts’ perspectives, 65 variables were identified, and classified into 12 groups (economic variables, industry, quality of financial information, risk, market, corporate governance, regulatory, political, managerial, functional, financial limitation and company strategies). To measure the information efficiency of the stock price, the speed of the stock price adjustment in reaching the intrinsic value, the reaction to the general market information and the specific company information have been used. To identify the influential variables and provide a model explaining the efficiency of stock price information, the path analysis method was used in M_PLUS software. The models based on the stock price adjustment speed approach in reaching the intrinsic value had the explanatory power of 64 and 52 percent. The model based on the adjustment speed approach in response to general market information and the model based on the adjustment speed approach to company-specific information have an explanatory power of 74 and 64 percent. The current research, is considered an important step to help improve the level of efficiency of the country's stock market. Manuscript profile
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  6 - بررسی کارایی اطلاعاتی بورس اوراق بهادار به روش آزمون نسبت واریانس
  مصطفی سلیمی فر زهرا شیرزور
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  7 - Managerial Efficiency, Adjustment Delay Stock Price and Stock Price Informational Efficiency
  mahdi filsaraei
  10.30495/jdaa.2023.705526
  AbstractIn fact, the timeliness of price discovery refers to the speed of information reflected in prices. There is no reason for the same reflection speed of all information related to the company in the stock price. Also, there is no reason for the same speed of disco More

  AbstractIn fact, the timeliness of price discovery refers to the speed of information reflected in prices. There is no reason for the same reflection speed of all information related to the company in the stock price. Also, there is no reason for the same speed of discovering the stock price of all active companies in the market. The adjustment of the stock price is done so quickly that it is not possible to predict and earn additional profit through the available information. On the other hand, managers with higher ability are able to predict changes in economic conditions that can affect the company's activities. Also, in order to increase investors' confidence in the company, they provide them with more reliable information, so that information asymmetry is reduced. By reducing the information asymmetry, the stock price informational efficiency increases and the delay in the adjustment of the stock price decreases. Considering the importance of managers' efficiency, in this research, the effect of managers' efficiency on the stock prices information efficiency and the delay in stock price adjustments has been investigated. Using a sample of 113 companies accepted in the Tehran Stock Exchange and using multivariate regression to test the hypotheses, the results of the research show that increasing the managers' efficiency reduces the delay in stock price adjustment. In addition, the results showed a significant positive effect of managers' efficiency on the information efficiency of stock prices. Manuscript profile