List of Articles Tehran stock market

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  1 - An investigation of the effects of foreign exchange market shocks on Tehran stock exchange by Markov regime switching model
  عبدالناصر شجاعی محسن خضری تورج بیگی
  Several studies have been accomplished  about the relationship between the  exchange rate volatilities and stock market behavior. In theoretical methods, there is no general agreement about the relationship of foreign exchange market and stock market. This pa More

  Several studies have been accomplished  about the relationship between the  exchange rate volatilities and stock market behavior. In theoretical methods, there is no general agreement about the relationship of foreign exchange market and stock market. This paper which is based on a two regime MS-EGARCH(1,1) and with using monthly data between 2000 to 2010 intends to investigate this topic. According to estimation results, the first regime is related to variance regime and low average (recession)and the second regime is related to variance and high average (expansion). In average regime and low variance, foreign exchange market shocks had positive effect on stock return variance but it did not have any effect on the level of average return of stock market. But in variance regime and high average it did not have any significant positive effect on the level of variance and the level of stock return average. The above results showed the asymmetrical effects of foreign exchange market shocks on stock return in two stagnation regime and expansion regime. Manuscript profile
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  2 - Sociological Analysis of Socio-Economic Factors Affecting the Collapse of Shareholders' Social Capital in the Tehran Stock Market
  Marzieh Bagheri Mostafa Azkia Meysam Mousaei
  10.30495/IJSS.2023.72303.1382
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  3 - Sociological analysis of socio-economic factors affecting the attraction of shareholders in Tehran stock market
  marziyeh bagheri mostafa azkia Meysam Mousai
  10.30495/jisds.2023.71844.11857
   The stock exchange is one of the main pillars of the country's economy, and paying attention to thisorganization not only brings prosperity to this organization, but also to the growth and development of thenational economy, for this reason, the factors that have More

   The stock exchange is one of the main pillars of the country's economy, and paying attention to thisorganization not only brings prosperity to this organization, but also to the growth and development of thenational economy, for this reason, the factors that have the ability to influence this organization in some wayshould be analyzed. Therefore, the present research was conducted with the aim of sociological analysis ofsocio-economic factors affecting the attraction of shareholders in the Tehran stock market. This research isconsidered as an exploratory research from the objective dimension, and from the strategy dimension, it wasclassified as non-experimental, field and qualitative research. The participating community of this researchconsists of all the shareholders of Tehran Stock Exchange in 2013-2014, who were selected through purposefulsampling until reaching theoretical saturation. Data were collected using unstructured open interviews andanalyzed through the systematic method of Strauss and Corbin. In general, the achievements of the fieldresearch include a central category, 4 main categories, 67 sub-categories and 139 concepts. In the sociologicalinvestigation of socio-economic factors affecting the attraction of shareholders in the Tehran stock market, fourapproaches and paradigm models were found in the form of investment behavior, investment to earn income forthe future, social contexts affecting the negative attitude towards the stock market and the lack of economicknowledge related to the stock market. The next stages of the research and the deeper examination of thesubjects and categories showed that the previous phenomena are part of the major and bigger phenomena underthe title of lack of institutionalization, abandonment and risk of investing in the stock market.  Manuscript profile
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  4 - Presenting of High-frequency Trading System
  Mohsen Dastpak Mohammadali Rastgav
  In emerging markets such as Tehran Stock Market, there is a gap between signals of changing the trend and the beginning of the movements which we can make profit by using a well-designed Algorithmic Trading System. Proposing a high-frequency trading system has advantage More

  In emerging markets such as Tehran Stock Market, there is a gap between signals of changing the trend and the beginning of the movements which we can make profit by using a well-designed Algorithmic Trading System. Proposing a high-frequency trading system has advantages (taking advantage of intraday stock market volatility) and disadvantages (high amounts of transaction cost due to the high transaction volume) thus we can augment advantages and cotrol the disadvantages by designing the system elaborately. In this research, the “Local Traders” approach for predicting the future trend of stock has been utilized. According to the “Local Traders” approach, there is a local trader (an agent) for each stock which is expert on it. It predicts the future trend of its own stock based on stock’s intraday data and their technical indicators by determining how much it is good to buy, sell or hold. Results show that, the proposed model outperforms the Buy and Hold strategy in all kinds of markets (Normal, Ascending, Descending) even if there is no discount on Transaction Costs. Manuscript profile
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  5 - The oil and gold global market interaction on the stock market of Iran; the GARCH-Copula approach
  Seyed Mozaffar Mirbargkar Maryam Borzabadi Farahani
  Studying the countries' stock market and global market interaction has been one of the most important research subjects in the global market. Thus, studying the relationships may have a significant role for the decision making of the investors. An appropriate estimation More

  Studying the countries' stock market and global market interaction has been one of the most important research subjects in the global market. Thus, studying the relationships may have a significant role for the decision making of the investors. An appropriate estimation of the dependence structure has been the significant starting point at an investing period, for the investment risk control. The present research aims to study the interaction between dependence structure at Tehran stock market efficiency and the global price of gold and oil, at the period of 2010-2017, on a daily basis. In doing so, GARCH-Copula approach has been applied. The results show the asymmetric mutual relationship between the studied efficiencies. As it can be seen in the present paper, the t-student Copula functions can have a better recognition than other functions for both efficiencies; 'Tehran stock and gold market', and 'Tehran stock and oil market'. The results indicate that the Tehran stock market has been highly dependent to both oil and gold markets, and their threshold changes may lead to a stronger dependency of the markets together. Manuscript profile
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  6 - 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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  7 - Presentation Optimization portfolio model from market index prediction model despite of the long term memory with neural network
  saeed moshtagh Farhad Hosseinzadeh Lotfi Esmail fadayi nezhad
  The effect economic variables at investment markets is the important subject in financial theory. Tehran stock exchange to have special position in country financial system and efficiency development investment market is dependent being active this constitution in count More

  The effect economic variables at investment markets is the important subject in financial theory. Tehran stock exchange to have special position in country financial system and efficiency development investment market is dependent being active this constitution in country. Two important function Tehran exchange market are gathering small savings and available liquidity in society and guide them to production process in country. In this way presentation optimization portfolio model from market index prediction model and exchange return rate is impact. One of the tools with high accuracy and applicable for predicting was neural network why so accuracy isnot decrease with increasing thesis data and its accuracy was very higher than regeression, linear and non linear for prediction. After some tests from artificial neural network and adaptive neuro fuzzy inference system and support vector regression with matlab software has been done. We design a model with high accurancy for predicting rate of liquidity index and total return index and then we design Ideal optimization portfolio. Manuscript profile
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  8 - Development of stock portfolio trading systems using machine learning methods
  Ali Heidarian Mohadeseh Moradi Mehr Ali Farhadian
  Investment portfolio theory is an important foundation for portfolio management, which is a well-studied but not saturated topic in the academic community. Integrating return forecasting in investment portfolio formation can improve the performance of portfolio optimiza More

  Investment portfolio theory is an important foundation for portfolio management, which is a well-studied but not saturated topic in the academic community. Integrating return forecasting in investment portfolio formation can improve the performance of portfolio optimization model. Since machine learning models have shown a superiority over statistical models, in this research, a approach of forming the stock portfolio in two stages is presented. first step, by implementing neural network, suitable stocks are selected for purchase, in the second step, using the (MV) model, the optimal weight in investment portfolio is determined for them. In particular, the stages of selecting suitable stocks and forming a stock portfolio are the two main stages of the model developed in this research. first step, a convolutional neural network model is proposed to predict stock buy and sell points for the next period.second step, stocks that are labeled as buys are selected as stocks suitable for buying, and MV model is used to determine their optimal weight in the stock portfolio. The results obtained using 5 shares of Tehran stock market as a study sample show that the efficiency and Sharpe ratio of proposed method is significantly better than traditional methods (without filtering suitable stocks) Manuscript profile