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Open Access Article
1 - The Effect of Exchange Rate and its Volatility on Stock Price Index in Iran
Azadeh Mehrabian Ilnaz ChegeniOne of the effective factors on stock price index is exchange rate that often its quantities is fluctuating in different domains. In different countries with considering the differences in investment infrastructure and economic situation, the effect of exchange rates an MoreOne of the effective factors on stock price index is exchange rate that often its quantities is fluctuating in different domains. In different countries with considering the differences in investment infrastructure and economic situation, the effect of exchange rates and its volatility on stock price index can be different. This article uses monthly mean of Tehran price index (TEPIX) and real exchange rate between 1380/M1-1391/M3 with purpose of studying the effect of exchange rate and its volatility on TEPIX. By Using Eviews6 software, at first, volatility of exchange rate is calculated by GARCH method and then the effect of exchange rate and its volatility on TEPIX is estimated by VAR model. The results indicate that in all periods the effect of exchange rate is more than its volatility. Based on the results of Johansen test, exchange rate and its volatility has a significant long-run equilibrium relationship with TEPIX. Exchange rate has negative effect on TEPIX and its volatility has a positive one. Manuscript profile -
Open Access Article
2 - تاثیر سودآوری برساختار سرمایه و سرعت تعدیل:آزمون تجربی در شرکت های منتخب بورس اوراق بهادار تهران
سید فخرالدین فخرحسینی محمود سنگدوینی -
Open Access Article
3 - Shock Modeling of Influencing Variables on Stock Return Forecasting with the Approach of BMA-BVR Models
Majid Abdi Seied Atefe Hosseini Amir Gholam AbriThe purpose of the research is to predict stock returns using Bayesian averaging and BVAR. The current research is based on the applied research method and MATLAB 2021 and EVIEWS12 have been used to estimate the model. The time period of the research includes the years MoreThe purpose of the research is to predict stock returns using Bayesian averaging and BVAR. The current research is based on the applied research method and MATLAB 2021 and EVIEWS12 have been used to estimate the model. The time period of the research includes the years 2010 to 2019. First, 11 non-fragile variables out of 64 entered variables were identified with the Bayesian averaging model approach. Based on the results of the current ratio; ROE; P/E; oil revenue; The increasing coefficient of money in the whole period has a positive effect and inflation fluctuation variables; debt ratio; fluctuation of GDP growth; unofficial market exchange rate; Interest rate and systematic risk have a negative effect on yield in the whole period. Based on the results of variance analysis, the most explanatory of changes in stock returns is caused by the variable itself (20 percent), followed by interest rate variables (14 percent); Inflation volatility (13 percent) and debt ratio and systematic risk (10 percent) have the highest effect in explaining yield changes. Manuscript profile -
Open Access Article
4 - Government Debt and Corporate Capital Structure: Testing of the Financial Crowding Out Effect Hypothesis
somaye sadeghiThis paper examines the relationship between government debt and corporate capital structures (financing choices) for firms listed in Tehran stock market, during 1390-98. The results show that the there is a negative and significant relationship between government debt MoreThis paper examines the relationship between government debt and corporate capital structures (financing choices) for firms listed in Tehran stock market, during 1390-98. The results show that the there is a negative and significant relationship between government debt and corporate capital structure (financial leverage), although the estimated coefficient is relatively small. In other words, we can conclude that the financial crowding out effect is confirmed in Iranian companies. Also, the results show that corporate with larger size and more profitable are more likely to react to changes in government debt. In other words, if corporates have larger size and more profitability, then the financial crowding out effect is greater. Hence, the key conclusion is corporate managers should prioritize revenue diversification and profitability strategies in the reaction to government debt policies. Manuscript profile -
Open Access Article
5 - The non-linear effect of liquidity and debt repayment on banks profitability in Iraq
Kiumars Shahbazi Mohammad Ali Mahdi AbedThis paper seeks to explore the nonlinear association between liquidity indicators and debt repayment capacity in relation to asset returns. For this purpose, the Panel Smooth Transition Regression (PSTR) method was employed to examine the nonlinear impact of liquidity MoreThis paper seeks to explore the nonlinear association between liquidity indicators and debt repayment capacity in relation to asset returns. For this purpose, the Panel Smooth Transition Regression (PSTR) method was employed to examine the nonlinear impact of liquidity indicators (including the ratios of current assets to total deposits, total loans granted to total deposits, and total loans granted to total assets and debt payment capacity indicators (such as the debt ratio and interest coverage ratio) on asset returns from 2011 to 2020. The findings revealed a nonlinear effect of all calculated indicators on asset returns. The magnitude and manner of the independent variables' influence on asset returns varied at different levels, with noticeable distinctions in the effect before and after the threshold value of 1.0586. In light of these results, bank policymakers can strategically select an optimal liquidity level to enhance bank profitability based on asset returns. Manuscript profile -
Open Access Article
6 - Non-Interest Income, Profitability and Risk in Banking Industry
Amir Ali Farhang Abolghasem Esna Ashari Asghar Abolhasani Mohammad Reza Ranjbar Fallah Jahangir BiabaniThe aim of this study is evaluating the effect of non-interest income on the risk and profitability of the banking industry by using systematic GMM during 1384 to 1393. The findings show that the increase of non-interest income results in the increase of profitability a MoreThe aim of this study is evaluating the effect of non-interest income on the risk and profitability of the banking industry by using systematic GMM during 1384 to 1393. The findings show that the increase of non-interest income results in the increase of profitability and the decrease of risk in Iran's banking system and there is a significant positive relationship between the concentration index and bank risk in such a way that the increase of concentration index results in increase of banks' risks. On the base of the research results and current problems of Iran's banking system, paying attention to banks' money making ability through non-interest income can be considered as a major solution. Manuscript profile -
Open Access Article
7 - Investigation and identification of possible conflicts in the implementation of macroprudential policies with the objectives of monetary policy (output and price stabilization) in the Iranian economy using the DSGE approach"
Parisa Tavako mehdi pedram Hossein TavakoliyanAbstractFollowing the financial crisis of 2008-2007, the use of macroprudential measures to curb credit cycles became an economic policy in many countries. However, under certain conditions, the implementation of these policies may have negative effects on the output ga MoreAbstractFollowing the financial crisis of 2008-2007, the use of macroprudential measures to curb credit cycles became an economic policy in many countries. However, under certain conditions, the implementation of these policies may have negative effects on the output gap and price stability, which are the goals of monetary policy. In this paper, by designing a a closed dynamic stochastic general equilibrium model for the Iranian economy in the period 1369: 1 to 1399: 2 and macroprudential tools loan-to-value restrictions and countercyclical capital buffer and shocks including productivity, bank capital and monetary policy shocks is used and the conflicts (increasing variance ) resulting from the implementation of macroprudential policy on monetary policy objectives was examined.The results show that with the occurrence of shocks, the implementation of loan-to-value ratio requirements does not conflict with production and inflation, and with more response of this tool, the variance of production and inflation reduced monotically, indicating a complementary relationship of this macroprudential tool with monetary policy objectives. Therefore a policymaker can use this macroprudential tool with less concern.However, the requirement of countercyclical capital buffer after the occurrence of these shocks is initially in conflict with price stabilization and output, which with a more severe reaction of this macroprudential tool reduces inflation and output fluctuations and reduces its adverse side effects. However, the exception is the variance of inflation in the monetary policy impulse, which increases with the intensification of the loan-to-value ratio, and with the intensification of countercyclical capital buffer,inflation is initially decreasing and after reaching its minimum value, it rises. . The results of this study can be useful for how macroprudential and monetary policies are organized and how to coordinate between these two policies. Manuscript profile -
Open Access Article
8 - اندازهگیری شکنندگی سیستم بانکی ایران بر اساس شاخص BSFI
محسن پورعبادالهان کویچ حسین اصغر پور فیروز فلاحی همت ستار رستمی -
Open Access Article
9 - The Evaluating of the Effectiveness of Expansionary Fiscal Policies: Comparative Linear and Threshold VAR
عبدالرسول قاسمی صبا نظریThis paper aims to answer the question of whether expansionary fiscal policy (increasing government spending and tax cuts) on economic growth in Iran is in linear or non-linear effects ? On this purpose, the performance of each of these programs using both linear and th MoreThis paper aims to answer the question of whether expansionary fiscal policy (increasing government spending and tax cuts) on economic growth in Iran is in linear or non-linear effects ? On this purpose, the performance of each of these programs using both linear and threshold vector autoregressive model and the data years 1338 to 1391 is investigated. In this connection, when using the threshold model, the studied period observationsbased on positive or negative output gap was divided into two regimes. Impulse response functions results from the linear model indicate that reduced tax revenues and increased government spending as fiscal stimulus have led to increasing economic growth, but the impact of government spending is greater than tax revenues. Increasing government spending is most effective in threshold model, also. In addition, comparison of Impulse response functions from linear and threshold model show that response of GDP to tax revenues in linear model and positive output gap are almost identical. However, the effect of increasing government spending on GDP in linear model is very different from high regime. GDP response to tax revenues and government spending in lower regime is also different from the linear model. Accordingly, the expansionary fiscal policies multipliers are dependent on economic conditions in terms of the output gap. Manuscript profile -
Open Access Article
10 - Development impact earnings growth firms (case study of selected enterprises Tehran Stock Exchange)
GH.R Abasi وجیهه KHakpashThe purpose of this paper is to evaluate the relationship between financial development and economic growth. To achieve this, we considered the rate of income growth of ed firms as the dependent variable and investigated the effect of the ratio of credit banking expansi MoreThe purpose of this paper is to evaluate the relationship between financial development and economic growth. To achieve this, we considered the rate of income growth of ed firms as the dependent variable and investigated the effect of the ratio of credit banking expansion to private sector to GDP as an indicator of financial development on it. The method is descriptive and analytical. Time series data of the central bank and cross-sectional data of twenty four active company in the Tehran Stock Exchange during 1380-1386 in three distinct groups of petrochemicals and oil, cement and medical products has been extracted Tehran Stock Exchange organization publishment and by theorical and experimental principals, appropriate model in the form of regression equation based on the theory of financial management company has been estimated by panel data method. The findings show that financial development has been significant positive effect on economic growth in three ed groups. Manuscript profile -
Open Access Article
11 - Experimental study of the effects of financial liberalization on growth and developed a group of developing countries (with an emphasis on Iran)
رویا Seifi porIn the past, theories of economic growth were believed thatreal resources such as land and capital growth were the main constraints and would be ignored the role of financial markets. But new theories are emphasized on the importance of freedom of the financial sector a MoreIn the past, theories of economic growth were believed thatreal resources such as land and capital growth were the main constraints and would be ignored the role of financial markets. But new theories are emphasized on the importance of freedom of the financial sector and the importance of financial sector in the development process. Proponents of market economy are believed that flourishing competitive markets, privatization of public enterprises, free trade, attracting foreign capital and elimination government waste regulations enhance efficiency and growth will be provided. So the aim of the present study is analysis the effects of financial liberalization on economic growth. For this purpose, data 37 countries has been used that include 23 countries with low and middle incomes and 14 high-income countries in the period 2008-1980. The results are showed that long-term effect of capital market liberalization on growth in low and middle income countries is negative and in high-income countries is positive. However, the effect of capital inflows on the high and low and middle income countries is positive. Manuscript profile -
Open Access Article
12 - The Study of Chaos Phenomenon in TEDPIX of Tehran Stock Exchange
محمد نمازی زهره حاجیها حسن چناری بوکت Abstract Complicated time series such as stock prices and their changes are commonly hypothesized as random and subsequently unanticipated parameters, while probably, these time series could the resultant of a chaos or a regular non–linear active process More Abstract Complicated time series such as stock prices and their changes are commonly hypothesized as random and subsequently unanticipated parameters, while probably, these time series could the resultant of a chaos or a regular non–linear active process and consequently they will be anticipatable. This article examines whether TEDPIX of Tehran Stock Exchange (TSE)are following the random walk process or evaluated by a chaotic process in the period of 1380-1392. For analysis of the hypothesis, unit root, BDS, autocorrelation and auto-regression were used. The results of the study indicate that TEDPIX is a chaotic and non–randomized parameter. These results are related to the inefficiency of the TSE market and subsequently showed that the TSE market has the potential of short–time predictability and there is a non–clearance information progress. Manuscript profile -
Open Access Article
13 - تحلیل تأثیر توسعه مالی و شکنندگی مالی بر رشد اقتصادی (مطالعه موردی کشورهای منتخب شرق و غرب آسیا)
مصطفی رجبی مریم جعفری طادی -
Open Access Article
14 - The Survey of New Financial Instruments functions on Tejarat Bank Performances in Iran
ali Esmaelzadeh hamideh amiri Abstract The main purpose of this paper is to identify the implementation of new financial instruments such as Sukuk,Mortgage, Derivatives, Future, certificate of Deposit and BondsonBank Tejarat performances variables.Based on a random sample survey research, w More Abstract The main purpose of this paper is to identify the implementation of new financial instruments such as Sukuk,Mortgage, Derivatives, Future, certificate of Deposit and BondsonBank Tejarat performances variables.Based on a random sample survey research, which consistedof 90 questionnaires during 2013.9 to 2014.2, we found that promoting new financinginstruments will have positive effects on performances indicators in Tejarat Bank. By using new financial Instruments,،Tejarat intermediary services such as absorption deposit and credit expansion will be promoted. Manuscript profile -
Open Access Article
15 - Investigating the effect of financial crisis transfer mechanism (with emphasis on 2008 financial crisis and oil prices) and Markov switching causality on selected indices of Iran Stock Exchange
سمیرا نجفی استمال سید شمس الدین حسینی عباس معمارنژاد فرهاد غفاریIn this study, the effect of the crisis transfer mechanism (with emphasis on the 2008 financial crisis and oil prices) is first investigated. Representative of the effect of this mechanism (oil price known as a factor in the mechanism for transmitting crisis) Identify a MoreIn this study, the effect of the crisis transfer mechanism (with emphasis on the 2008 financial crisis and oil prices) is first investigated. Representative of the effect of this mechanism (oil price known as a factor in the mechanism for transmitting crisis) Identify and how it affects the selected index of the stock exchange, including banks, petroleum products, metal ores, cars with daily data from 2003- 07-05 to 2021-03-17 Modeling with the possibility of regime change (MS-VAR) has been modeled using the common probability distribution of the yield of selected indices and the self-regression vector model. Then, using the causality method, despite the regime change, we examine the oil causality on the selected indices of the stock exchange, whether the causality is one-way or two-way. The results show that the zero regime is more stable than the one regime and the tendency to stay in this regime is higher and the causality is from the oil side to the selected indicators and not vice versa. Manuscript profile -
Open Access Article
16 - بررسی اثر عمق مالی بر رشد اقتصادی در ایران
نعمت فلیحی ریحانه بخارایی -
Open Access Article
17 - Pathology of Non-performing Loans with Emphasis on its Effective Factors
آزاده محرابیان رویا سیفی پورFrom an economic point increase in bad loans and non-performing loans could be the reason for the creation of a banking crisis. This study investigates the factors that affecting the formation of the current non-performing loans and requirements of its decline in the ec MoreFrom an economic point increase in bad loans and non-performing loans could be the reason for the creation of a banking crisis. This study investigates the factors that affecting the formation of the current non-performing loans and requirements of its decline in the economy of Iran. This paper is used the common theoretical, empirical studies, the experience of countries to reduce non-performing loans, specific conditions in Iran and appropriate econometric model. Model estimation for banks from year 1380 to 1393 indicates that the decline in economic growth, an increase in inflation rates and the exchange rate and also risky behavior of bank, credit growth and the size of banks are the important variables in the formation of non-performing loans Manuscript profile -
Open Access Article
18 - The Effect of Currency Rate Fluctuation on stock Return of Companies Admitted in Tehran Stock Exchange
حمیدرضا وکیلی فر ملیحه علی فریAbstract Security exchange has a particular spot in the country's financial system and development of capital market depends on this institutes activities within the country. Accumulating small amounts of deposits and available liquidity, and guiding them toward MoreAbstract Security exchange has a particular spot in the country's financial system and development of capital market depends on this institutes activities within the country. Accumulating small amounts of deposits and available liquidity, and guiding them toward the producing goods and service process in the country are two significant usages of the security exchange. Investors who take part in the security exchange include a vast variety of people that always are trying to decrease risk and increase proportional return. Thus recognizing the factors which effect the return on securities has a material effect on more in deeps analysis and making more proper by the investors. So in this case we study the effect of five important macro economic variables on the total risk and returns of the enterprises admitted in Tehran Security Exchange under cement, petro chemistry, and automobile industries within 1377-1390. The aim of this study is to recognize a balance relation between macro economic variables and their effects on the total stock return. This thesis studies includes 2 hypotheses. This study suggested that there is not correlated relation between the total risk ,returns of the stock and macro economic variables for enterprises admitted in Tehran Security Exchange. Manuscript profile -
Open Access Article
19 - تحلیل تأثیر بازار بورس بین المللی بر بازار بورس ایران : استفاده از رهیافت سیستم دینامیکی و GARCH
نعمت فلیحی تیمور محمدی معصومه شاه کرم اوغلی -
Open Access Article
20 - بررسی ارتباط بین عرضه پول و گسترش شعب بانکی
میر حسین موسوی علی شهابی معصومه نعمت پور -
Open Access Article
21 - The effect of insurance industry on economic growth in Middle East and North Africa (MENA) countries
فرزانه جهانی علی دهقانیAbstract In this paper, we analyze the relationship between the insurance expansion as a financial intermediary and economic growth in Iran and some selected MENA members countries i.e.Algeria,Bahrain,Turkey,Jordan,Kuwait,Lebanon,Egypt,Morroco,Oman,Qatar,Sa MoreAbstract In this paper, we analyze the relationship between the insurance expansion as a financial intermediary and economic growth in Iran and some selected MENA members countries i.e.Algeria,Bahrain,Turkey,Jordan,Kuwait,Lebanon,Egypt,Morroco,Oman,Qatar,SaudiArabia, Tunisia,UAE,Cyprus, Malta in "1997-2010". A descriptive analysis method has been used as the main approach. Using an econometric model based on deduction analysis and panel data model, a macro review has made on MENA countries financial markets variables as well as the position of insurance share in the capital markets and its relationship with the their economic growth rates. The results show that there is a significant and positive relationship between the aforementioned variables and the economic growth among the chosen countries during survey period. We recognize that the most effective variable on the economic growth is employment. One percent increase in employment index had a 0.34 percent increase in the economic growth. In addition, one percent increase in capital stock had a 0.08 percent increase in the economic growth. One percent increase in total premium had a 0.23 percent increase in the economic growth. Insurance had a positive effect on the economic growth on MENA member’s countries. The effect of insurance on economic growth has been considerable quantity. Manuscript profile -
Open Access Article
22 - Financial Deepening Influences on Misery Index (Panel Data Approach)
پروانه سلاطین کاملیا قلمزن نیکو نیلوفر غفاری صومعهAbstract Inflation imposes welfare costs through reduction of value of financial assets and it damages production by creating uncertainty in institutions’ decision for investment and imposing other costs. Inflation, in fact, leads to non-optimal resource allocati MoreAbstract Inflation imposes welfare costs through reduction of value of financial assets and it damages production by creating uncertainty in institutions’ decision for investment and imposing other costs. Inflation, in fact, leads to non-optimal resource allocation, economic inefficiency, and disarray in the social, cultural, and political condition of the society. Unemployment, like inflation, causes disarray in the society. Unemployed people appear as parasites in the society and play no part in production and social services. Moreover, unemployment causes people to be trapped in issues such as crime, addiction and moral corruption which leads to the disruption of the society’s cultural texture. Inflation and unemployment are two major social issues. The harmful effects of these two social issues are such that the “Misery Index” is often calculated as the sum of inflation and unemployment rates. In this regard, the main objective of this paper is to analyze the effect of financial markets on the misery index in a group of selected countries with average income in the 2003-2014 period. Results from model estimation by the method of Generalized Method of Moments (GMM) show that: The trade volume to transaction volume ratio in a stock market (as an indicator of the capital market) has no effect on the misery index in the group of selected countries. Domestic credit to private sector by banks (as an indicator of the money market) has a negative and meaningful effect on misery index in the group of selected countries. Manuscript profile -
Open Access Article
23 - تأثیر پس انداز و آزاد سازی بر توسعه کشورهای عضو اوپک
سعید منصوریان طبایی سیدمجتبی حسین زاده یوسف آباد بهزاد زمانی کرد شولی -
Open Access Article
24 - برآورد شدت تأثیرگذاری سیاستهای پولی بر شاخص قیمت سهام در ایران (مطالعه موردی صنایع پتروشیمی فعال در بورس اوراق بهادار تهران)
احمد علی شکوه مرجان دامن کشیده منیژه هادی نژاد -
Open Access Article
25 - The introduction of the international exchange market (FOREX) and identify factors that predict the real exchange rate in Iran
مرجان Daman keshideh نازی Mohamadzadeh aslFOREX is one of the most important and largest financial markets in the world. This market primarily used to reduce the risk of exchange rate changes and the second place as a way to profit the difference in rates. This article has two main approaches: First to introduc MoreFOREX is one of the most important and largest financial markets in the world. This market primarily used to reduce the risk of exchange rate changes and the second place as a way to profit the difference in rates. This article has two main approaches: First to introduce and review how activity in the FOREX market, the second, most important preconditions for the presence in this market forecast exchange rate changes, the factors affecting the real exchange rate in using the ARDL method is studied. The survey results show that the variables government spending, oil revenues, capital flows and the degree of openness of the economy, including the main factors influencing the real exchange rate in Iran. Manuscript profile -
Open Access Article
26 - The Impact of Growth, Tangibility of Assets, Open Economy and Economic Indexes on Performance Efficiency Banks
زهرا پورزمانی کاظم قاسمیAbstract Banks through the provision of banking services to customers, earn it. So, as banks will be able to use economies of scale to gain more profit. One of the most important source of information for investors, creditors, and other users, the benefits pr MoreAbstract Banks through the provision of banking services to customers, earn it. So, as banks will be able to use economies of scale to gain more profit. One of the most important source of information for investors, creditors, and other users, the benefits provided by the organization is in regular intervals. The forecast profit organizations is also of considerable importance. Because macroeconomic indicators, including indicators of economic openness on the financial performance and profitability are known to be effective, according to the above description, to examine the impact of asset growth and objectivity, openness and Iranian inflation on the profitability of banks during 1383 to 1392 will be discussed. In terms of purpose, the type of applied research and the method of deduction in the group of cross-correlation, because to explore the relationships between variables, regression and correlation techniques which will be used in this way, the argument inductive.Also, since the test data available, we will conclude this research group theory will be positive. Manuscript profile -
Open Access Article
27 - Investigating the Causal Nexus Between Economic Growth, Banking Sector Development, Capital Markets Development and Macroeconomic Variables in Iran
Zarir Negintaji Hassan GolmoradiAdinevand MortezaAli SadeghinejadAbstractOne of the most important issues of economics is investigating the factors affecting economic growth and their impact. Some theorists believe that the development of the financial sector, including the development of the banking sector and the capital market, al MoreAbstractOne of the most important issues of economics is investigating the factors affecting economic growth and their impact. Some theorists believe that the development of the financial sector, including the development of the banking sector and the capital market, along with macroeconomic factors can provide the necessary basis for increasing economic growth. Indeed, there is a serious argument that a weakened financial system are trapped in a vicious circle where low levels of financial development will lead to poor economic performance and poor economic performance will lead to lower financial development.This study examines the relationship between economic growth, banking sector development, capital market development and some important macroeconomic variables. For this purpose, first the combined indicators of banking sector development and capital market development based on the principal component analysis (PCA) method are applied and then using vector autoregressive model and the Granger causalities test, Causal nexus between variables for time series data of Iranin economic between 1363-1397 Is examined.The results of this study show that there is a mutual Causal nexus between economic growth and financial development both in terms of banking sector development and capital market development, so financial development in terms of both banking sector development and market development Capital have reciprocal relation with economic growth. The causality between the development of the banking sector and the capital market is also two-sided and this suggests the importance of integrated financial sector development. Manuscript profile -
Open Access Article
28 - اوراق بدهی، ابزاری برای تامین مالی پروژههای صنعت نفت (با تاکید بر اسناد خزانه اسلامی)
سید محمدرضا احمدی محمد حسین مهدوی عادلی محمد طاهر احمدی شاد مهری -
Open Access Article
29 - Price Bubble and the Effect of Economic Variables on the Exchange Rate in the Iranian Financial Market Using ARIMA and TAR Methods
Yagoob Zahedi Nader Rezaei Vadoud NajjariAbstract Many financial crises follow the bursting of the financial asset bubble, and it is important to examine the bubble behavior in these markets and make an early diagnosis to prevent adverse economic consequences; Therefore, the main purpose of this study was to MoreAbstract Many financial crises follow the bursting of the financial asset bubble, and it is important to examine the bubble behavior in these markets and make an early diagnosis to prevent adverse economic consequences; Therefore, the main purpose of this study was to investigate the effect of four economic and financial variables including GDP, auto index and parts of stock exchange indices, inflation rate and oil income on the exchange rate by quasi-experimental studies with two statistical models ARIMA and model The return itself is the TAR threshold. Considering that previous studies in this field, which have mostly dealt with the formation and explosion of bubbles, and in this field, studies have not been done or are limited; Therefore, in this study, first, data were collected quarterly in the time yield of spring 2011 to spring 1400 and were analyzed by descriptive statistics and econometrics. The results of ARIMA model analysis show that an increase in the exchange rate unit in a past period will lead to an increase of 1.94 exchange rates in the current period. The results of TAR model analysis show that there is a nonlinear relationship between the variables studied in the study and two thresholds for GDP (2130- and 15460) were estimated, indicating different effects of GDP, inflation rate, car index and parts. One of the indicators of the stock exchange and oil income in the regime is high, medium and low (threshold level of 2130-15460) on the exchange rate. Manuscript profile -
Open Access Article
30 - The Impact of Macroeconomic, Financial, Economic and Economic Crisis Indicators on Trade Cycles of Iran and Selected Islamic and Developed Developing Countries
Seyedeh Fatemeh Bagheri Rafik Nazarian Manijeh Manijeh Hadinejad Marjan DamankeshidehAbstractThe present study uses the Generalized System Torque Model (SGMM) and dynamic panel data (PANEL VAR) to investigate the impact of macroeconomic, financial, economic and economic crises on business cycles of selected developing and developed countries over time. MoreAbstractThe present study uses the Generalized System Torque Model (SGMM) and dynamic panel data (PANEL VAR) to investigate the impact of macroeconomic, financial, economic and economic crises on business cycles of selected developing and developed countries over time. 2013-2019, 1392-1398. In this paper, the effect of independent variables (liquidity risk, return on assets, capital adequacy ratio, etc.) on business cycles in selected countries through the output gap variable using the Hadrick Prescott filter is used to evaluate the results of the model. Liquidity risk, lending facility growth rates and financial crises have a negative impact on the output gap, while return on assets, capital adequacy ratio, crude oil prices, exchange rates and the development of financial markets have a negative impact on periods. Have left the trade of selected countries.The results of the study of the reactions of instantaneous reaction (IRF) and analysis of variance for developed countries show that a standard deviation in terms of oil price index and exchange rate on the output gap, these variables show a decrease of up to two periods. Increased development of financial markets and banking health has continued, after 2 periods of shock effect of oil prices and exchange rates over time on the output gap of developed countries will be minimized.Also for developing countries; a standard deviation from The area of oil price index and exchange rate on the output gap, these variables have increased up to two periods and after 4 periods, has decreased, in other words, the effect of oil prices on the production of developing countries shows that in periods Rising oil prices, investment and production have increased, and conversely, when oil revenues fall, we see a decline in production, in other words, rising oil revenues are largely unmanaged, in other words, long-term investments are spent on short-term expenditures. It has resulted in nothing but inflation and increased liquidity for these countries. Manuscript profile -
Open Access Article
31 - Studying the cognitive bias in investors' behavior for stock price fluctuations
بهزاد سعادت زاده حصار رسول عبدی حیدر محمدزاده سالطه محمد نریمانیThis 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 MoreThis 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 -
Open Access Article
32 - Decomposition Crude Oil Price and its Impact on the Efficiency of Selected Stock Price Index with VECM
ویدا ورهرامی محمدجواد مرادعلیانAbstractDue to the widespread impact of oil price fluctuations on economic sectors of Iran, the reaction of investors who need to understand the exact impact of oil price changes on stock price index returns. Therefore, the purpose of this article, is to reviews the imp MoreAbstractDue to the widespread impact of oil price fluctuations on economic sectors of Iran, the reaction of investors who need to understand the exact impact of oil price changes on stock price index returns. Therefore, the purpose of this article, is to reviews the impact of fluctuations in crude oil prices as positive and negative on the stock prices index of the oil, gas and mining services group side except exploration, oil products and nuclear fuel ck, rubber and plastics. Results of this study showed that the positive price fluctuation on the stock index returns of all three groups is the most effective way to effect on equity index oil products group of nuclear fuel, extraction and ck the oil gas exploration and incidental services, except rubber and plastics used; while negative price fluctuations on the stock index of efficiency of oil, gas and mining services group, but affect the exploration side. With regard to the immediate reaction of the test yields a positive shock than to the stock index in the model, the result was that the dynamic response in all three groups to a positive shock is more than to negative stock. Manuscript profile
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