• List of Articles liquidity

      • Open Access Article

        1 - The Effect of Working Capital Adjustment Speed on Reducing the Risk of Bankruptcy by Considering the Entity Risk Management Effectiveness
        Vahab Rostami Mehdi Mohammadi Hamed Kargar
        Objective: The current research is willing to trace the effect of the speed of adjustment of working capital in reducing the risk of bankruptcy with emphasis on the effectiveness of the Entity Risk Management (ERM)
        Objective: The current research is willing to trace the effect of the speed of adjustment of working capital in reducing the risk of bankruptcy with emphasis on the effectiveness of the Entity Risk Management (ERM) Manuscript profile
      • Open Access Article

        2 - Assessment and Presentation of a Proper Paradigm to Identify, Measure, and Control Financial Risks in Financial and Credit Institutions (Case Study of Mellat Bank)
        M. Taghavi M. Khodaei Valahzaghard
        Financial and credit institutions are threatened by different types of risks. The main objective in thisresearch is to assess and present a proper paradigm to identify, measure, and control financial risks infinancial and credit institutions. The method of research acco More
        Financial and credit institutions are threatened by different types of risks. The main objective in thisresearch is to assess and present a proper paradigm to identify, measure, and control financial risks infinancial and credit institutions. The method of research according is applied upon implementation andcorrelation methods, and ex-post facto is accomplished in Bank Mellat. Sampling is intentional, andthe sample volume was determined by the researcher. Required data for this research were collecteddaily from 39 regional offices of Mellat Bank between 2005 and 2007. Structural Equation Modeling(SEM) and Linear Structural Relationships (LISREL) were used to analyze the research data. Thisstudy shows that the impact of loans and investment on liquidity risk, the impact of assets and foreigncurrency debts on foreign currency risk, and the impact of interest sensitive assets and debts volatilityvariant on interest risks are meaningful. Manuscript profile
      • Open Access Article

        3 - Investigating the mechanism of systemic liquidity risk transmission of corporate stocks in capital market of Iran
        Seyed Hamid Reza Sadat Shekarab Fraydoon Ohadi صیقلی seighaly Mirfaze Fallah Shams
        This research aims to investigate the mechanism of systemic liquidity risk transmission of corporate stocks in capital market of Iran. For this purpose, 486 listed companies in Tehran stock exchange and OTC from 2011 to 2022 were sampled and the companies were divided More
        This research aims to investigate the mechanism of systemic liquidity risk transmission of corporate stocks in capital market of Iran. For this purpose, 486 listed companies in Tehran stock exchange and OTC from 2011 to 2022 were sampled and the companies were divided into ten deciles according to the Amihud illiquidity ratio, Then by using “Diebold & Yilmaz” approach which is based on forcast error variance decomposition in the framework of the generalized VAR model, spillover mechanism and systemic liquidity risk transmission among the formed decimals was investigatd.The preliminary results indicated the existence of spillover effect and systemic liquidity risk among all deciles, with difference intensity and weakness. In such a way that the fifth decile had the highest net transmission of liquidity risk spillover effects to other deciles, and the seventh & third deciles, respectively had the highest net effects of received spillover from other deciles. The general results of the total spillover index (TSI) indicated that risk transmission processes, change and increase after the occurrence of shocks and financial crises. Manuscript profile
      • Open Access Article

        4 - The Effect of Liquidity Risk and Credit Risk on Financial Stability Banking industry in Iran; Multiple regression approach
        Moosa Bozorg Asl Farrokh Barzideh Mohammad Taghi Samadi
        The impact of different risks is of great importance in banking industry on financial sustainability, given its functional entity. Given the lack of consensus on the relationship between financial risks in banks, in particular, in credit risk and liquidity in banks, thi More
        The impact of different risks is of great importance in banking industry on financial sustainability, given its functional entity. Given the lack of consensus on the relationship between financial risks in banks, in particular, in credit risk and liquidity in banks, this research investigates the relationship of these two types of risks and their impacts on financial sustainability in banking industry in Iran during 2005-2014 with panel data method. In this regard, in order to investigate the impact of liquidity and credit risks on financial sustainability, Quintile regression method. The results indicate the negative and significant impact of these two types of risks on financial sustainability in most reviewed decimals. This means that with an increase in financial sustainability, the impact of these two types of risks is reduced. In other words, those banks placed in the higher decimals of sustainability distribution are affected less by credit and liquidity risks. Manuscript profile
      • Open Access Article

        5 - Asset Pricing Model On The Basis Of Liquidity Risk Factor
        M. Ali Khojasteh Reza Tehrani
        Liquidity is a multidimensional concept. In this essay we studied the behavior of liquidity in the asset pricing model of Tehran Stock Exchange on the basis of multi measures related to multi dimensions of liquidity concept. The traded value measurement is used as a pro More
        Liquidity is a multidimensional concept. In this essay we studied the behavior of liquidity in the asset pricing model of Tehran Stock Exchange on the basis of multi measures related to multi dimensions of liquidity concept. The traded value measurement is used as a proxy for the value dimension, turnover ratio is used as a proxy for speed dimension and Amihud measure is used as a proxy for cost and price impact dimension. The time period is from 2011 up to 2016 and the data is calculated for 60 months. The result is that four factor model on the basis of each liquidity measure improves the style portfolios (size style, value style and liquidity style) as well as stock level. The improvement level is higher for the illiquid style portfolios. Among 201 studied stocks, the augmented model improves asset pricing model explanation of 50 stocks. Level of liquidity beta depends on the measurement used. Manuscript profile
      • Open Access Article

        6 - The Impact of Financial Risk on the Efficiency in the Tehran Stock Exchange Companies
        Amir Hossein Erza Farnaz Seifi
        The purpose of this paper is to investigate the effect of credit and non-liquidity andmarket risks on the financial efficiency in the 102 Tehran Stock Exchange companiesduring 2011-2016. We use Amihud ratio to calculate the non-liquidity risk, the Creditrating was used More
        The purpose of this paper is to investigate the effect of credit and non-liquidity andmarket risks on the financial efficiency in the 102 Tehran Stock Exchange companiesduring 2011-2016. We use Amihud ratio to calculate the non-liquidity risk, the Creditrating was used with the Topsis model and CVaR was used for market risk. In order to weuse the return-on-equity (book value) ratio, the return-on-equity (market value) ratio andmarket value added, while analyzing the impact of financial risks on them with the GMMgeneralized regression model, the ability to explain each one and determine which is abetter benchmark for efficiency explanation. According to the results, there is nomeaningful relationship between all three risks with the return-on-equity (book value)ratio, while the effect of these risks with the return-on-equity (market value) and marketvalue added ratio are significant, which is the ability to explain the return-on-equity(market value) More than market value added Manuscript profile
      • Open Access Article

        7 - Evaluation the Management to Control The Liquidity Money by Central Bank in Iran
        رویا آل عمران سید علی آل عمران
        The Objective of this paper is evaluation the management to control the liquiditymoney by central bank in Iran from 1378:3 to 1387:2. For this purpose the volatilityindex is drive GARCH model. The result indicate that central bank management incontrol the liquidity mone More
        The Objective of this paper is evaluation the management to control the liquiditymoney by central bank in Iran from 1378:3 to 1387:2. For this purpose the volatilityindex is drive GARCH model. The result indicate that central bank management incontrol the liquidity money for monetary policy, early years of 1378 and 1379 inputsto improve and central bank’s application planning organized in determining theamount of liquidity money in the final period has led to reduced liquidity moneyinstability and its tendency toward to a stable level and has been optimized. Manuscript profile
      • Open Access Article

        8 - Forecasting of Banks Liquidity resources
        Dr.Ahmad Yazdanpanah Zahra Abbasi
        Liquidity management is one of the most important functions of financialmanagement in economic firms. In the case of financial and creditinstitutions especially banks, it has a more important role. Banks requireto maintain a portion of their assets in the form of cash i More
        Liquidity management is one of the most important functions of financialmanagement in economic firms. In the case of financial and creditinstitutions especially banks, it has a more important role. Banks requireto maintain a portion of their assets in the form of cash in order to be ableto respond to their customer’s needs. However, it has an opportunity costfor the bank. In other words, keeping cash in current accounts ormaintaining it by Central Bank or other banks decreases the risk of bankliquidity while it deprives banks of investment opportunities and declinesthe bank returns.In this study, therefore, we tried to design a model in order to forecast thecash amounts of EN-Bank kept in current accounts or maintained byCentral Bank or other banks which is totally called “Bank Liquidity”.Thus, forecast was done based on input cash flow during a specificperiod. Then by comparing this with the goals and strategies of the bank,it has been planned to eliminate the budget deficit or surplus consumptionin order to reach the equilibrium at the end of the period. In this method,current accounts, interbank accounts and funds are considered asliquidity. ARIMA and Minitab software are used in order to estimate themodel.At the end, forecast was done for the next 52 weeks by this model. As aresult, it was observed that bank will be faced surplus liquidity Manuscript profile
      • Open Access Article

        9 - The Relationship of Under pricing with IPO Aftermarket liquidity in Tehran Stock Exchange
        حسن قالیباف اصل رحیم صادقی دمنه مهدیه کلانتری دهقی
        This article deals with study of the relationship of Underpricing with IPOAftermarket liquidity in listed companies on TSE.To achieve this purpose, required financial data from 80 qualified initial publicoffering in nine-year period between the years 2001 and 2009 were More
        This article deals with study of the relationship of Underpricing with IPOAftermarket liquidity in listed companies on TSE.To achieve this purpose, required financial data from 80 qualified initial publicoffering in nine-year period between the years 2001 and 2009 were gathered. Afterdetermination of initial return period, relationship between underpricing andaftermarket liquidity, have been examined in sections 30, 120, 240 trading days afterinitial public offering by multivariable regression tests. Significant of model andcoefficients have been examined by F fisher and T-student tests.The results indicated that underpricing (initial return) is positively related toturnover ratio and negatively related to illiquidity measure. These relation aresignificant after controlling for other factors. Manuscript profile
      • Open Access Article

        10 - Relationship between Stock Liquidity and Investment Opportunities
        حسین کاظمی عباس حیدری
        One of risks which relevance with firm’s stock is stock liquidity. Stock with highliquidity for stockholders and investments have been attractive and increase demand forit. Increasing in demand and attractive for firm’s stock, leads to easy and inexpensivefi More
        One of risks which relevance with firm’s stock is stock liquidity. Stock with highliquidity for stockholders and investments have been attractive and increase demand forit. Increasing in demand and attractive for firm’s stock, leads to easy and inexpensivefinancing and increase in firm’s expanding. More over decrease expected returns ofstockholders. Therefore in this article investigate relationship between stock liquidity andinvestment opportunities which liquidity measure with bid- ask spread, the period from1383 to 1389(Iranian calendar). Results show that there is a positive and relationsignificant between stock liquidity and investment opportunities. More overThere is a negative and significant between stock liquidity and expected returns. Onthe other hand liquidity is one of ingredient which increase firm’s opportunities anddecrease cost of equity capital. Manuscript profile
      • Open Access Article

        11 - Application of DEA in the calculation of consolidated index of stock liquidity (evidence of Tehran Stock Exchange)
        Azar Yaghoubi Khankhajeh azita jahanshad
        In this paper, the pattern of efficiency calculation with data envelopment analysis (DEA) is used to present a consolidated index for representing different dimensions of stock liquidity. Among DEA models, the range adjusted model (RAM) considers both inputs and outputs More
        In this paper, the pattern of efficiency calculation with data envelopment analysis (DEA) is used to present a consolidated index for representing different dimensions of stock liquidity. Among DEA models, the range adjusted model (RAM) considers both inputs and outputs simultaneously; provide measure of efficiency and deals with negative inputs and outputs. Thus in this paper, RAM model is used as a basis for presenting relative consolidated index of liquidity. The next step, units with relative consolidated index equal to one is ranked, based on the full-inefficient frontier ranking method. Results support the effectiveness of data envelopment analysis application for measuring liquidity relative consolidated. Using this method, the stock liquidity consolidated index allocated to each of the companies listed on the, presents different aspects of stock liquidity for stocks in stock exchange, in a way that liquidity of stocks can be compared with each other easily and liquidity of a specific stock can be surveyed during time prides. Manuscript profile
      • Open Access Article

        12 - Liquidity Explanatory Power Considering Different measures of Liquidity
        Maryam Davallou Marzieh Shaker Ardakani
        Present study aims at testing liquidity pricing with an emphasis on 10 different measures and testing liquidity-based trading strategy and comparing it with value/size-based strategy. To this end, a sample including companies involved in Tehran stock exchange during 138 More
        Present study aims at testing liquidity pricing with an emphasis on 10 different measures and testing liquidity-based trading strategy and comparing it with value/size-based strategy. To this end, a sample including companies involved in Tehran stock exchange during 1381-1393 was investigated. Accordingly, portfolio analysis method was applied. It was found out that liquidity is not priced in Tehran stock exchange. Applying difference in mean and GRS tests, it was revealed that liquidity-based trading strategy doesn’t lead to abnormal return. The results are not sensitive to different liquidity measures. Besides, it was found that value/size-based trading strategy is statistically more effective. Manuscript profile
      • Open Access Article

        13 - Lasso artificial intelligence approach in liquidity forecasting Companies listed on the Tehran Stock Exchange
        hamed rajabzadeh جمارودی گرکانلی دوجی آرش نادریان مجید اشرفی
        10.30495/jfksa.2022.19833
        Companies with good domestic cash flows are less likely to rely on external financing, and lenders are more likely to lend to these companies because of their good liquidity. The purpose of this study is to analyze the factors affecting liquidity with the artificial int More
        Companies with good domestic cash flows are less likely to rely on external financing, and lenders are more likely to lend to these companies because of their good liquidity. The purpose of this study is to analyze the factors affecting liquidity with the artificial intelligence approach and also to predict the liquidity of companies listed on the Tehran Stock Exchange. For this purpose, the financial information of 138 companies during 8 years from 2012 to 2020 was used to test the research hypotheses. In this study, the company's operating cash ratio was considered as a dependent variable (liquidity) and financial criteria were considered as the initial independent variable. The results showed that return on assets, tobin's Q ratio,working capital ratio, operating profit margin and dividend among other financial criteria have a greater impact on the company's liquidity with the Rilfe variable approach and also Lasso artificial intelligence approach has a high ability to predict corporate liquidity. It has Tehran Stock Exchange. Manuscript profile
      • Open Access Article

        14 - A study of return cyclical pattern monthly in Tehran stock (by using moving block bootstrap)
        علیرضا عرفانی سولماز صفری
        AbstractCalendar anomalies are the cyclical patterns which cannot be explained byfundamental factors in stock returns. One of the most important anomalies is the Monthseffect of year that their discovery is the opposite of market efficiency theory. Therefore,the purpose More
        AbstractCalendar anomalies are the cyclical patterns which cannot be explained byfundamental factors in stock returns. One of the most important anomalies is the Monthseffect of year that their discovery is the opposite of market efficiency theory. Therefore,the purpose of this article is the examination of stock Anomalies monthly in Tehran Stockmarket in the period 1998-2012 through moving block bootstrap method and Percentileconfidence intervals.The conclusion shows that Farvardin returns average has the positive, significant andhighest return. Accordingly, the liquidity effect and Window Dressing theory could be anexplanation to positive returns in the period 1998-2012. Manuscript profile
      • Open Access Article

        15 - Application of DEA in the calculation of consolidated index of stock liquidity (evidence of Tehran Stock Exchange)
        Keykhosro Yakideh M. Hassan Gholizadeh S. Morteza Mousavinia
        In this paper, the pattern of efficiency calculation with data envelopment analysis (DEA) is used to present a consolidated index for representing different dimensions of stock liquidity. Among DEA models, the range adjusted model (RAM) considers both inputs and outputs More
        In this paper, the pattern of efficiency calculation with data envelopment analysis (DEA) is used to present a consolidated index for representing different dimensions of stock liquidity. Among DEA models, the range adjusted model (RAM) considers both inputs and outputs simultaneously; provide measure of efficiency and deals with negative inputs and outputs. Thus in this paper, RAM model is used as a basis for presenting relative consolidated index of liquidity. The next step, units with relative consolidated index equal to one is ranked, based on the full-inefficient frontier ranking method. Results support the effectiveness of data envelopment analysis application for measuring liquidity relative consolidated. Using this method, the stock liquidity consolidated index allocated to each of the companies listed on the, presents different aspects of stock liquidity for stocks in stock exchange, in a way that liquidity of stocks can be compared with each other easily and liquidity of a specific stock can be surveyed during time prides. Manuscript profile
      • Open Access Article

        16 - Liquidity-adjusted Intraday Value at Risk modeling and risk management: by using Vector Auto Regression (VAR)
        Gholamreza Zomorodian Mehdi Hemmati Asiabarki Hossein Rad Kaftroudi
        Value at risk (VaR) risk assessment and diagnosis method that uses standard statistical techniques that are routinely used in other technical fields, is used. The contract, the value at risk in a given period the maximum expected loss at a given confidence level is meas More
        Value at risk (VaR) risk assessment and diagnosis method that uses standard statistical techniques that are routinely used in other technical fields, is used. The contract, the value at risk in a given period the maximum expected loss at a given confidence level is measured. This article is designed to measure a sequence of high-risk deals with the calculation of Liquidity-adjusted Intraday (LIVaR). Hence, our goal is clear review aspects related to the size of the company's internal liquidity. With the reconstruction of classified information, and significant changes in real output and efficiency without friction (planned) occurred and these two variables were modeled jointly. Risk related to planned cash expenses, was determined at a later stage. Manuscript profile
      • Open Access Article

        17 - The Survey Comparison Between The Traditional Of Liquidity Indices And The New of Liquidity Indices In ISE - Automotive Industry
        عباس طالب بیدختی فریده فرجی
        The main purpose of this paper,is The survey a comparison betweenThe traditional of liguidity indices and the new of liquidity indices in theCompany adopted the Tehran Stock Exchange (Automotive Industry) arehereby to users of financial statements in order to help obtai More
        The main purpose of this paper,is The survey a comparison betweenThe traditional of liguidity indices and the new of liquidity indices in theCompany adopted the Tehran Stock Exchange (Automotive Industry) arehereby to users of financial statements in order to help obtain optimaldecisions. The study population of this study, listed companies in TehranStock Exchange (Automotive Industry) during the years 1383 to 1387and is omissive sampling method has been used and informationnecessary to implement this research with the financial statements andnotes have been collected . For analysis of descriptive and analyticalstatistics have been used.The result indicate that between traditional of liquidity indices andthe new of liquidity indices is positive correlation and all the proposedcriteria for measuring liquidity within the range of assumptions that arespecific to their place are suitable for each of these indicators, howeverafter a liquidity problem have been considered and some other aspects areignored. Manuscript profile
      • Open Access Article

        18 - The relation study between Free Float with Downside Risk and Liquidity on Tehran Stock Exchange (TSE)
        فروغ رستمیان المیرا اسلامی برجلو
        The risk of investing in financial market is one of the investors' major concerns, asmarket participants, confronting any kind of bonds will ask about the risk level. on theother hand, liquidity as an effective element in risking rate and return is considerablyimportant More
        The risk of investing in financial market is one of the investors' major concerns, asmarket participants, confronting any kind of bonds will ask about the risk level. on theother hand, liquidity as an effective element in risking rate and return is considerablyimportant on the stock exchange. Avoiding risk gets investors look for lower riskstocks with high liquidity to provide more financial security. According to studies andresearches, it sees that free float stocks rate can affect on liquidity and stocks risk.Therefore, regarding free float and their changes can be efficient in analyzing marketconditions and help investors make better decisions.The research is tried to study the relationship between Free Float with DownsideRisk and Liquidity on Tehran Stock Exchange (TSE).Considering the years 2004 to 2008, we had 233 companies to test theories. Weused Eviews and SPSS softwares to deal with the relationship between variablesduring 16 quarterly terms.The results confirm the significant relationship between Downside Risk andLiquidity with Free Float. Manuscript profile
      • Open Access Article

        19 - A study of APT and Adj-CAPM Models for Forecasting Expected Return
        Z. Amirhosseini S. Mohseni Behbahani
        The question in a Securities of Iran is which one of models of pricinghave better and more precise result in financial science for pricing stocksof company. In this research the expected return will be explaining inAdj-CAPM on the basis of liquidity and in APT on the ba More
        The question in a Securities of Iran is which one of models of pricinghave better and more precise result in financial science for pricing stocksof company. In this research the expected return will be explaining inAdj-CAPM on the basis of liquidity and in APT on the basis of set ofrisk«price of oil, price of gold, inflation, and rate of foreign exchange,rate of interest and index of stock exchange». The main purpose of thisresearch is the examination of ability explaining Arbitrage pricing theoryand Liquidity adjusted capital assets pricing model. For this purpose,first, the Betas have been computed, and then according to betas,expected return of two models will be computed. Therefore by usingRegression Analyzing and Pearson Correlation we will reach to this resultthat Arbitrage Pricing Theory has more performance and ability thanAdjusted Capital Asset Pricing Model. Manuscript profile
      • Open Access Article

        20 - Determination of Interest Rate in Iran by using Fuzzy logic Method
        Alireze Kazerooni Pooyan Kiyani Zana Mozaffari
        Interest rate is one of the most important monetary policy instrument in an economy. The changes in interest rate leads to changes in other key economic variables like cost of production, Consequently changes in output and price level. However, like the other developing More
        Interest rate is one of the most important monetary policy instrument in an economy. The changes in interest rate leads to changes in other key economic variables like cost of production, Consequently changes in output and price level. However, like the other developing countries, lack of the advanced financial markets and governmental determination of interest rate , the market interest rate can't be observered in Iran. For this purpose, the main objective of this study is to estimate market interest rate index by using information on proxy variables such as inflation rate, rate of return on housing and amount of liquidity in economy during 1981-2012 by using fuzzy logic method. The empirical result indicates that interest rate has shown a lot of fluctuations over time. The maximum (78/7) and minimum (22/4) interest rate index has been in years 1995 and 1985 respectively. Manuscript profile
      • Open Access Article

        21 - 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
      • Open Access Article

        22 - Stock Liquidity: Market Behavior on Online Trading
        Behzad Kardan Mahdi Moradi S. Ali Mousavi Gowki Mahdi Yaghubi
        Online Trading is a great transformation in capital market transactions, along with making access easy and decreasing transactions cost. This research aims to investigate the market behavior about Online Trading, before and after it has been legal. Statistical populatio More
        Online Trading is a great transformation in capital market transactions, along with making access easy and decreasing transactions cost. This research aims to investigate the market behavior about Online Trading, before and after it has been legal. Statistical population includes all firms listed in Tehran Stock Exchange and Iran Fara Bours (OTC) which have at least one trade in each month during March, 2009 and February, 2013. According to the limits, 3792 firm-month observations have been chosen which includes 79 highly traded stock. The results show that Online Trading has a significant positive impact on volume and count of trading stocks, so the stock liquidity increased after online trading has been legal. Although, Online Trading decrease the amount of abnormal return. Also, results show that online trading was effective on significant increasing the Bid-Ask spread. Manuscript profile
      • Open Access Article

        23 - Study the Effect of Stock Liquidity on Excess Return with Five Factors Arbitrage Pricing Model
        Zahra Farshadfar Mansour Khalili Eraghi
        Identifying the important factors of risk and return and optimal resources is one of the most important element to reach the maximum return. This would help individuals and institutions investors searching the best strategy to help them reaching this. This research try More
        Identifying the important factors of risk and return and optimal resources is one of the most important element to reach the maximum return. This would help individuals and institutions investors searching the best strategy to help them reaching this. This research try to study the five factor arbitrage pricing model based on the Cerhat four factor model plus stock liquidity and testing the empirical model in Iran Stock ExchangeFor do that we have used the panel data model for the period of 2008-2012 for 173 active unit in Tehran Stock Exchange Manuscript profile
      • Open Access Article

        24 - The study of effective factors on probability of default banks' credit facilities (The case study of legal customer of Export Development Bank of Iran)
        شمس اله شیرین بخش ندا یوسفی جهانگیر قربان زاد
        The aim of this research is to verify effective factors of legal counterparty creditrisk of Export Development Bank of Iran (EDBI), and design a probability of defaultmeasurement model using logit regression.330 probability samples were selected from companies that took More
        The aim of this research is to verify effective factors of legal counterparty creditrisk of Export Development Bank of Iran (EDBI), and design a probability of defaultmeasurement model using logit regression.330 probability samples were selected from companies that took loans in year 1387(2008-2009) including 256 good pay bank customers and 65 bad pay bank customers.Seven variables have been recognized which have significant influence atcompanies' credit risk among 13 selected financial ratios as effective explanatoryvariables in default probability based on statistics indexes and economic and financialtheories. after significant examining total of the regression with LR statistic finalmodel in 5% level of significance created by them.The results expressed that cash flow on total debt ratio (CSDT), assets turnoverratio (SATA), current ratio (CACD) and liquidity ratio (LR) have a reverse effect oncredit risk. Free cash flow ratio (RETA), total debt ratio (TDTE) and current debts tonet worth ratio (CDTE) have a direct effect on credit risk. Manuscript profile
      • Open Access Article

        25 - Liquidity Risk Management of Firms in Accordance with Sharia Through Private Deposit Funds
        Ali Rahneshin
        Working capital finance and liquidity management in a low-cost, quick and easy way is concern of firms. Hence, financial institutions (including Islamic financial institutions) seeking instruments of providing services in this area. But the firm's liquidity and short-te More
        Working capital finance and liquidity management in a low-cost, quick and easy way is concern of firms. Hence, financial institutions (including Islamic financial institutions) seeking instruments of providing services in this area. But the firm's liquidity and short-term financing and risk management instruments are difficulties to coordination and compliance with Shariah principles. That is why a credit on account service is rarely found in Islamic banks. This paper first reviews the credit on account services provided by Islamic banks. Then we review different methods proposed for the implementation of credit on account services with Shariah. In the end of paper based on firm's working capital process, we recommend a new solution through a new financial institution that is the "private deposit funds". In the new approach, instead of hedging working capital fluctuations through various short-term financing instruments, attempt to reduce liquidity risk by reducing the volatility of cash flows. Manuscript profile
      • Open Access Article

        26 - 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
      • Open Access Article

        27 - Study on Relationship between Stock liquidity and managerial short-termism
        Farzin Rezaei Akram Firouz Alizadeh Radman Malihi Shojae
        Many institutional investment decisions are based on the ease of liquidity of stocks and business units. Investors of these business units are always seeking to leverage their directors to make high-yield investment decisions in the short term. While other ordinary inve More
        Many institutional investment decisions are based on the ease of liquidity of stocks and business units. Investors of these business units are always seeking to leverage their directors to make high-yield investment decisions in the short term. While other ordinary investors who hold a smaller percentage of the company's stock are looking to increase the value of the business unit in the long run.This study was studied with 82 companies in the period 2007-2015. To measure stock liquidity, Amihud's (2002) benchmark was used to measure managerial cash flow from deviations from actual operating activities and real earnings management.. The results of the hypothesis test showed that liquidity of stock has a negative and significant effect on the deviation from actual operational activities. Also, companies with less liquidity are more likely to focus on gains in real profits. In the sense that reducing liquidity risk reduces the likelihood of deviations from actual operational activities. Manuscript profile
      • Open Access Article

        28 - Analysis of the Effects of Relative Price Variability and Monetary Shocks on Inflation in Iran’s Economy
        مجید احمدلو اکبر کمیجانی کامبیز هژبر کیانی فرهاد غفاری
        This paper analyzes the effects of relative price variability and skewness as aggregate supply shocks and liquidity as aggregate demand shocks on inflation in the Iranian economy. For this purpose, the total and state urban price index and M2 for period 1383-1390 and Ar More
        This paper analyzes the effects of relative price variability and skewness as aggregate supply shocks and liquidity as aggregate demand shocks on inflation in the Iranian economy. For this purpose, the total and state urban price index and M2 for period 1383-1390 and Arellano and Bover (1995) and Blundell and Bond (1998) method has been used. The results show that relative price variability and M2 has positive and meaningful effect on inflation. Also, relative price skewness have negative effect on inflation. So, it is needed to consider supply and demand shocks simultaneously in disinflation policies. Manuscript profile
      • Open Access Article

        29 - The Study Of Relationship Between Financial Leverage And Liquidity In Listed Firms Of Tehran Stock Exchange
        Mahmood Yahyazadehfar Shahabeddin Shams Hooman Shababi Sakineh Abbaszadeh
        Manuscript profile
      • Open Access Article

        30 - Investigating the Factors Affecting the Specific Volatility of Stocks in the Iranian Capital Market Using the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) Model
        Monireh Dizaji Asghar Romuozi Asgar Pak Maram Ali paytakhti Oskouie
        10.30495/ijfaes.2023.73861.10137
        Manuscript profile
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        31 - Underpricing, Ownership and Liquidity of Initial Public Offers (IPO) and Their Impact on Performance of IPO Stocks in Equity Markets of India
        V. Vijay Kumar P V. Kumar Gupta
        Manuscript profile
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        32 - Review and Evaluate of Effective Factors on Marketing Management Absorb of Liquidity Techniques Using TOPSIS and AHP(Case Study:Tejarat Bank)
        R. Samadipour Gh. A. Bazaee
        The aim of present study is to investigate and evaluate the effective factors on marketing management of liquidity absorption in Tejarat Bank as an actual case. To identify the most important measures influencing on liquidity absorption, to prioritize criteria of presen More
        The aim of present study is to investigate and evaluate the effective factors on marketing management of liquidity absorption in Tejarat Bank as an actual case. To identify the most important measures influencing on liquidity absorption, to prioritize criteria of present study and to select the best strategy for absorbing liquidity based on priority of studied criteria, Delphi technique, multi-criteria decision-making models and AHP, and TOPSIS technique are used, respectively. Participators included the experts and senior experts of studied area. Thirty experts were selected as sample by Delphi from a group including 10 members and by AHP. At the final stage based on communication matrix and TOPSIS, views of an expert team of experts were used. Data was mainly gathered by questionnaire. Three questionnaires were used: Delphi questionnaire, questionnaire related to experts, and a questionnaire based on communication matrix of main criteria and strategies. The results of prioritizing criteria using AHP concluded that unexpected withdrawal of equity capital is the highest in priority followed by conveyed policies of Central Bank (CB), saving deposits, investment deposits, demand deposit, proper resource management, investment and participations and adequate training for coworkers and finally granted facilities. It can be concluded that the best option for liquidity absorption using TOPSIS is fund diversity followed by strategies to net increase in bank account, increase in current account with CB, and finally deposit absorption. Manuscript profile
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        33 - The relationship between stock liquidity and real earnings management with the moderating role of institutional ownership
        Yassaman Khalili Atefeh Hajiyan Berenjanstki
        Managers in different companies may turn to earnings management in order to increase the amount of bonus received, to show the good status of the company and to maintain their managerial position. Earnings management in different companies done by two methods of accrual More
        Managers in different companies may turn to earnings management in order to increase the amount of bonus received, to show the good status of the company and to maintain their managerial position. Earnings management in different companies done by two methods of accrual and actual earnings management, and in this research, real earnings management, which is less paid attention to in research, investigated. One of the factors that, according to theoretical principles, may affect the amount of real earnings management is the liquidity of stocks. Therefore, in this research, the relationship of stock liquidity with two criteria, Amihud and Amivest, investigated with real earnings management. The statistical population of this research is the companies listed in the Tehran Stock Exchange during the period 2016 to 2022 and the data of this research includes 1029 company-years. Multivariate regressions and panel data method used to test the hypotheses. The result of this research showed that stock liquidity has a significant effect on the amount of real earnings management in companies and institutional ownership moderates this relationship. Manuscript profile
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        34 - The effect of earning management on stock liquidity, emphasizing at life cycle stages )Dikkinson Model Test )
        rasol Baradaran Hassanzadeh Saeed Ghassemi
        The goal of the present research is to investigate about the effect of earning management on stock liquidity during different stages of life cycle of firms enlisted in Tehran Stock Exchange. To realize the research goals we studied 92 firms during the time period betwee More
        The goal of the present research is to investigate about the effect of earning management on stock liquidity during different stages of life cycle of firms enlisted in Tehran Stock Exchange. To realize the research goals we studied 92 firms during the time period between 2008 and 2015. In order to measure earning management we have used a Modified Kaznik Model (1999), and to measure stock liquidity we have used 20 liquidity criteria, through which 17 items are among trading criteria, and 3 remaining criteria are from among information criteria or are order-oriented. Also, to measure firm’s life cycle we have used Dickinson’s Model (2011). To test the hypotheses we have used a multiple variables regression pattern. Results of the present research showed that as earning management increases, the firm’s stock liquidity decreases and also earning management results in a reduction of stock liquidity of firms in emergence and growth stages. Manuscript profile
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        35 - Explain the Information Effect of Stock Liquidity on Dividend
        Hamireza Kordlouie Mehrnoosh Ebrahimi
        In the current study, the information effect of liquidity on the dividend payouts was investigated in the companies listed on the Tehran Stock Exchang., that from the data on 102 companies for the years 2006-2015 were used and the model was estimated in Stata15 software More
        In the current study, the information effect of liquidity on the dividend payouts was investigated in the companies listed on the Tehran Stock Exchang., that from the data on 102 companies for the years 2006-2015 were used and the model was estimated in Stata15 software by using panel logit (tobit) method. The study explores the relationships by using the moderating variables of information disclosure quality, free float and information asymmetry. Moreover, different liquidity measures (Amihud- Corwin and Schultz-the proportion of zeroreturns) were used to generalize the results for other cases.The results indicate that various liquidity factors have significant effects on profit sharing. When the liquidity index is the proportion of zero returns, the effect of moderating variables on the profit sharing is greater than the other variables. Moreover, according to the results of the moderating variables, when the float is the moderating variable, it leads to an increase in the liquidity index effect.According to the results, the liquidity and moderating variables have greater impacts on the cash dividend ranked by the cash flow from the operating activities (DVC) compared with that of the dependent variable of cash dividend ranked by earnings (DVE). It should be noted that the DVC, DVE, and liquidity variables were not endogenous. Therefore, it is confirmed that there is a one-way causality from liquidity towards DVC and DVE. Manuscript profile
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        36 - Measuring efficiency score by cross-efficiency method in data envelopment analysis and its relation to profitability and risk in banks admitted to Tehran stock exchange
        Donya Shikh-hasani Malihe Alifarri Balal Karimi
        The main purpose of this study is to measure the efficiency score by the cross-efficiency method in Data Envelopment Analysis (DEA) and its relation to profitability and risk in banks listed in the Tehran stock exchange for the period 2011-2017. The statistical populati More
        The main purpose of this study is to measure the efficiency score by the cross-efficiency method in Data Envelopment Analysis (DEA) and its relation to profitability and risk in banks listed in the Tehran stock exchange for the period 2011-2017. The statistical population of the study consists of 19 banks listed in Tehran stock exchange. The proposed method is developed in two steps as follows. First, we evaluate the efficiency measures of banks using the cross-efficiency method in DEA. Then, we address the relationship between obtained efficiency scores with risk and profitability of banks through inferential statistics. In order to analyze the data, first, we apply pre-tests of variance homogeneity, F-Layer test, Hausman test, and Jarque and Bera test and then we use multivariate regression test to confirm or reject the research hypotheses.The following three conclusions emerge from the obtained results. First, we have a significant relationship between the credit risk and the efficiency measure of the banks listed in Tehran stock exchange. Second, there is a significant relationship between liquidity risk and the performance of the banks listed in the Tehran stock exchange. Finally, we show that between the profitability and the efficiency score of the banks listed in the Tehran Stock Exchange is also a significant relationship. Manuscript profile
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        37 - A model for identifying factors affecting the timing of liquidity in mutual funds
        hamid sabzali gholam reza zomorodianS Farhad Hanifi
        An investment manager puts the investment fund in a stable position before the market rises and falls. With this approach, in this study, an attempt has been made to model the factors affecting the timing of liquidity in Iranian mutual funds using Structural Equation Mo More
        An investment manager puts the investment fund in a stable position before the market rises and falls. With this approach, in this study, an attempt has been made to model the factors affecting the timing of liquidity in Iranian mutual funds using Structural Equation Modeling (SEM). To achieve this goal, the required information was collected by survey and by designing a questionnaire from investors, experts and specialists in the Iranian capital market for the year 2020. Based on the results, external factors (with a path coefficient of 0.281) and internal factors (with a path coefficient of 0.419) have a significant effect on the timing of liquidity in mutual funds. The larger the coefficient of the path of internal factors indicates the fact that these factors have a stronger effect on the liquidity timing of mutual funds than external factors. Finally, the variables of interest rates on deposits, parallel market and stock returns, inflation rate, oil revenues, economic growth and political developments are external factors that respectively with path coefficients 0.786, 0.827, 0.664, 0.506, 0.582 and 0.404 and the variables of fund management ability and skill, relative life and size of the fund, net value and percentage of cash assets of the fund, return, profitability and capital expenditures of the fund, risks facing the fund and the number of industries in the fund's investment portfolio are intra-corporate factors that respectively with path coefficients 0.756, 0.426, 0.736, 0.553, 0.767 and 0.580, have a significant effect on the liquidity scheduling of mutual funds. Manuscript profile
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        38 - Liquidity Risk Management in Modern Interbank Payment Systems
        rassol khoshbin Farzin Rezaei Mohammad Ali Rastegar
        In this study, in order to measure the liquidity risk in interbank payment systems, the time series of daily data balances of an Iranian bank's payment systems from 01/01/94 to 31/5/98 and then We examined stationary time series with Dickey Fuller and Philips Peron test More
        In this study, in order to measure the liquidity risk in interbank payment systems, the time series of daily data balances of an Iranian bank's payment systems from 01/01/94 to 31/5/98 and then We examined stationary time series with Dickey Fuller and Philips Peron tests and compared the expected value and risk value of payment systems data with the historical method and compared with the Pareto method. The results of the Kopik and Christofferson tests showed that Pareto's generalized approach to better manage banks' liquidity risk is better than historical method based on daily data of payment systems. The bank can then provide liquidity management operations to manage the liquidity risk in the payment system Manuscript profile
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        39 - The Effect of New Liquidity Criteria on Micro structure Disturbance in High Frequency Prices
        Majid Safari Majid Zanjirdar Mahmood Nasrollahi
        This study aimed at investigating the effect of new liquidity criteria on microstructure disturbance in high frequency prices in companies listed in Tehran Stock Exchange. The locative domain of this research is the companies listed in the Tehran Stock Exchange and was More
        This study aimed at investigating the effect of new liquidity criteria on microstructure disturbance in high frequency prices in companies listed in Tehran Stock Exchange. The locative domain of this research is the companies listed in the Tehran Stock Exchange and was during 2012-2017. The current research is among applied researches, and if the classification of types of researches be considered based on the nature and method, the method of the present study is essentially descriptive in terms of the nature, and in terms of the method is considered in correlation researches category. In this study, library method was used to collect data. Based on the Cochran sampling method, 126 companies were selected as the statistical sample. In order to describe and summarize the data collected, the descriptive and inferential statistics are used. In order to analyze the data, variance heterogeneity pre-test, F Limer test, Hausman test and Jarque-Bera test and then multivariate regression test were used to confirm and reject the research hypotheses . The results showed that new liquidity criteria, including price gap, effective gap, and undesirable selective component affect the micro structure disturbance in high frequency prices. Manuscript profile
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        40 - impact of corporate governance strength on stock market liquidity: Emphasizing criteria Amihud, transaction volume and bid-ask spread
        Allah Karam Salehi
        Researchers previous research show that the existence of appropriate corporate governance mechanisms increases the quantity and quality of information disclosed by the company and, as a result, reduces information asymmetry. Foreover, as information asymmetry decreases, More
        Researchers previous research show that the existence of appropriate corporate governance mechanisms increases the quantity and quality of information disclosed by the company and, as a result, reduces information asymmetry. Foreover, as information asymmetry decreases, market liquidity increases. Accordingly, the purpose of this study is the impact corporate governance strength on stock market liquidity in listed companies on Tehran Stock Exchange. For this purpose, a sample of 120 companies during 2011-2017 was selected by systematic elimination sampling. The research method is library and correlation. Following Al-Jaifi et al. (2017), eight corporate governance features are used to measure corporate governance power and three different indicators (including Amihud’s measure, transaction volume, and bid-ask spread) are used to measure stock liquidity. Analysis and testing of hypotheses have been done with the help of generalized least squares regression (EGLS) and with panel data approach. The results show that there is a positive and significant relationship between corporate governance strength and stock market liquidity based on triple criteria, Amihud, Share turnover ratio and bid-ask spread. Manuscript profile
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        41 - Investigating the Effect of Liquidity and Per capita Income on the Housing Market (Using a vector auto regression model)
        shahrzm vahedi Farhad Hanifi seyyed jalal sadeghi sharif
        AbstractThe housing market has been one of the most volatile sectors of the economy in recent times, experiencing periods of stagnation and boom. It is important to note that the housing sector is most closely linked to other sectors of the economy. With the recession, More
        AbstractThe housing market has been one of the most volatile sectors of the economy in recent times, experiencing periods of stagnation and boom. It is important to note that the housing sector is most closely linked to other sectors of the economy. With the recession, the whole economy will be in crisis. Also, the housing sector, given these features, has a stronger impact on investment and housing prices than short-term economic fluctuations, as well as its widespread and past relevance to other sectors, has the potential to generate growth and development in other sectors of the economy and can serve as an endogenous growth incentive. To play a slower role, and to stimulate, to stimulate economic growth in the short term and to drive the recession out. Therefore, further reflection is necessary in this section. Therefore, in this study, using the vector auto regression Time Series (VAR) analysis model, we investigate the interaction between housing price markets of some macroeconomic variables such as liquidity volume, per capita income. The results showed that the volume of liquidity has a significant share in the volatility of the housing market. Therefore, policymakers in the economic field should pay more attention to this. Manuscript profile
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        42 - Investigating the Impact of Stock Market Liquidity on Income Distribution (Selected from Developing and Developing Countries)
        zeynab moridi shahram fatahi Kiomars Sohaili
        Fair distribution of income is one of the concerns of policymakers in developing and developed countries, and despite the economic growth of world countries and the implementation of various policies to combat it, remains one of the most important goals of economic poli More
        Fair distribution of income is one of the concerns of policymakers in developing and developed countries, and despite the economic growth of world countries and the implementation of various policies to combat it, remains one of the most important goals of economic policymakers in the world. One of the important and influential factors in any society for econoears. Capital market liquidity enables long-term investment by raising small and large funds and providing them to business owners, so stock market liquidity can be a good platform for attracting micro and large capital by reducing the risk of liquidity.According to macroeconomic theories, capital accumulation resulting from capital market liquidity is one of the conditions for economic growth, thereby increasing the income of those who are risk averse and more willing to invest in the stock market and those who are risk averse. And it relies solely on wages and salaries from work The results show that liquidity of the stock market as a financial market increases income inequality and in developed countries and decreases income inequality and increases in developing countries. Manuscript profile
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        43 - The empirical test of the impact of Business Environment Risk on the relationship between Liquidity Risk and Financial Performance in the Banking Industry of Iran
        Mohammad Bidgoli ali Esmaeilzadeh Maghari Mehdi Taghavi Marjan Damankeshideh
        This research empirically analyzed the impact of business environment risk on the relationship between Liquidity risk and financial performance in the Banking Industry of Iran. The research samples include 18 Bank over the period 2006 - 2018. The solely research hypothe More
        This research empirically analyzed the impact of business environment risk on the relationship between Liquidity risk and financial performance in the Banking Industry of Iran. The research samples include 18 Bank over the period 2006 - 2018. The solely research hypothesis examined by using multivariate regression model based on panel data method. The method in terms of purpose is an applied research and in terms of the type of research is a correlation method. The evidences indicated that the impact of Liquidity risk on financial performance in the banking industry of Iran is a negative and significant. The impact of business environment risk on financial performance in the Banking Industry of Iran is a negative and significant. The impact of business environment risk on the relationship between Liquidity risk and financial performance in the Banking Industry of Iran is a negative and significant. Manuscript profile
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        44 - The effect of algorithmic trading on the liquidity of investors' shares Iranian stock exchange market
        hamidreza shammakhi
        The development of financial markets is impossible without the development of financial instruments and institutions. With the design and development of new financial instruments, the need for new, fast and smart trading methods is inevitable. In this research, an attem More
        The development of financial markets is impossible without the development of financial instruments and institutions. With the design and development of new financial instruments, the need for new, fast and smart trading methods is inevitable. In this research, an attempt has been made to investigate the effect of using the algorithmic trading method on the liquidity of investors' shares.For this research purpose, the transactions of three major capital market management funds, including Novin Poror, Sabanik and Capital Bonus, have been studied in 1998 and 1999 in relation to the stocks under their management. The trading data of the companies under the management of these funds have been examined in terms of the type of sample distribution and normality.After ensuring the normality of the data distribution, the hypothesis of the research regarding the effect of algorithmic trading on the liquidity of investors' shares has been investigated with the appropriate statistical method. According to the research results, the use of algorithmic trading methods has a direct effect on the liquidity of companies' shares. Manuscript profile
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        45 - Liquidity Trap in Iranian Banks (Based on Indexing of Key Ratios)
        fahimeh baghani Fraydoon Rahnamay Roodposhti
        Today, economic crises and financial market uncertainties affect the stability of institutions and banks, which, as a result of instability from the financial sector, has led investors to achieve satisfactory returns with different constraints Has encountered an environ More
        Today, economic crises and financial market uncertainties affect the stability of institutions and banks, which, as a result of instability from the financial sector, has led investors to achieve satisfactory returns with different constraints Has encountered an environment. The field of financial affairs in today's world is one of the major challenges facing third-world organizations and societies, and we are witnessing the emergence of crises that we are always seeing. Appropriate and timely decisions in this area are very effective in preventing economic, social, cultural and political harm, and plays an important role in creating peace and prosperity in the community. Making the right decision in the financial arena can be considered one of the most important skills of successful managers. In this paper, we try to introduce and explain a model for predicting banks' liquidity trap using financial statements data by collecting information and financial ratios of banks and credit institutions in Iran with the rial approach. Manuscript profile
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        46 - 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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        47 - Modeling the estimation of the price bubble probability in the capital market :Evidence from Tehran Stock Exchange
        sara Dastani Heris taghi torabi Ali Asghar Anvari Rostami
        AbstractThe Tehran Stock Exchange has always seen a lot of fluctuations. Price volatility is a part of the market's nature, and one of the main issues in the capital market is to explain these fluctuations using fundamental patterns. However, sometimes these fluctuation More
        AbstractThe Tehran Stock Exchange has always seen a lot of fluctuations. Price volatility is a part of the market's nature, and one of the main issues in the capital market is to explain these fluctuations using fundamental patterns. However, sometimes these fluctuations go out of their normal form and place themselves in bumpy bumps and sudden crash (crisis) and bring irreparable blows to the stock market. Therefore, in view of the importance of price bubbles, this study presents a model for estimating the likelihood of price bubble formation in the capital market and the main objective of the Tehran Stock Exchange. The statistical sample of this study is the 166 companies listed in the Tehran Stock Exchange between 2007 and 2017. In this study, using spss software and runs test, Skewness and Kurtosis test. we investigated the probability of price bubbles, and then, in order to provide a model for price bubble, the factors influencing price bubbles based on the proposed model have been investigated. The results indicate the probability of bubble occurrence in companies admitted to the Tehran Stock Exchange. Also, results shows that shareholders, P / E ratio and liquidity rate have a significant effect on price bubbles. However the size and transparency of the information did not show a significant effect on the price bubble. Manuscript profile
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        48 - Modeling risk in accordance with the financing structure in the money market based on probabilistic decision theory
        hamidreza iravani hamidreza kordlouieuie narges yazdanian
        has not been raised in recent years, but has been the focus of researchers in recent decades. Different sources of financing make it possible to make the desired investment and can increase the wealth of shareholders. Therefore, considering the importance of risk in the More
        has not been raised in recent years, but has been the focus of researchers in recent decades. Different sources of financing make it possible to make the desired investment and can increase the wealth of shareholders. Therefore, considering the importance of risk in the financing structure, the purpose of this study is to model risk in accordance with the financing structure in the money market based on probabilistic decision theory. In terms of research method, this research is in the category of descriptive-analytical research of the time series type. The statistical population of the study is experts in the field of financial management of banks. In this study, after reviewing various literature in the fields of financial risks and financial ratios of banks, the most important risks were identified. A combination of two methods was used to collect data. By using the library method of the subject literature; A theoretical framework and background were provided for the research, and in the second stage, we modeled by collecting the opinions of experts. In this study, after collecting information, Ahp technique was used. The results showed that systematic risk has the highest priority. Liquidity risk is in the second priority. Income distribution risk in the third priority, operational risk in the fourth priority, capital risk in the fifth priority, credit risk in the sixth priority,Market risk in the seventh priority,Competition risk in the Eighth priority andMarket liquidity risk in the last priority. has it. Manuscript profile
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        49 - Dynamic analysis of a comprehensive model of risk management in the banking system using a systems thinking approach
        seyyed yahya asadollahi aliasghar taherabady farhad shahveisi farshid kheirollahi
        The banking industry, as one of the most important sectors of the economy, plays a very important role in attracting and directing depositors, providing services to people and participating in economic and social development, and in this way, it faces many risks that ar More
        The banking industry, as one of the most important sectors of the economy, plays a very important role in attracting and directing depositors, providing services to people and participating in economic and social development, and in this way, it faces many risks that are particularly important to manage and control. One of the important steps for management of the risk is determination of the factors affecting on it. The purpose of the study is to present a dynamic model for bank liquidity risk management. For this purpose, system dynamics methodology has been used to find the risk-generating structure and provide an effective solution to manage it. In this method, the stimulation of different scenarios is possible by providing a mathematical model. In this regard, the results of the implementation of the four decision-making scenarios on the model were simulated and analyzed. The results show that decreasing the legal deposit and deferred loans and increasing the deposit attraction will affect on reducing banks' liquidity risk. Manuscript profile
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        50 - Provide intelligent classification model based on perceptron artificial neural network (MLP) and hierarchical analysis (AHP) in digital marketing services to prioritize liquidity and investment risk
        Alireza Ashouri Roudposhti Hormoz Mehrani Karim Hamdi
        The present study, using machine learning and polling techniques, attempts to examine the automated strategic model in order to classify and explore the ideas presented about specific services that have been studied in this area in the field of investment. Provide resul More
        The present study, using machine learning and polling techniques, attempts to examine the automated strategic model in order to classify and explore the ideas presented about specific services that have been studied in this area in the field of investment. Provide results in digital marketing services. The neural network-based model, by identifying related opinions, measures different characteristics at different levels of evaluation and automatically categorizes opinions depending on the quality of the presentation. Financial crises in the banking system are usually due to the inability to manage financial risks and liquidity, which is a factor in the lack of transparency and ability to manage capital. Thus, the existence of such uncertainties has reduced the interest of investors in industrial and executive partnerships. This article has been established with the aim of identifying the factors affecting liquidity risk and also providing an intelligent model for predicting and classifying liquidity risk factors, identifying and prioritizing the factors involved. For this purpose, the method of intelligent measurement using perceptron neural network (MLP) has been used, which is considered as a practical approach to artificial intelligence. For this purpose, the necessary studies on financial information and liquidity in Bank Mellat branches in Tehran (consisting of 36 branches) have been considered and for the sample population, a random cluster set of 374 selected customers and investors has been used. Manuscript profile
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        51 - The Impact of Excess Cash Holding on Liquidity Risk by Using Liu’s Theoretical framework
        Seyedeh Neda Habibzadeh sina kherdyar Seyed Mozaffar Mirbargkar Mehdi Meshki Miavaghi
        The aim of the current research is to study the impact of excess cash holding on liquidity risk regarding to the stock trading indexes, and based on management and investment approach of liu (2006) theoretical framework that respectively includes twelve-month liquidity More
        The aim of the current research is to study the impact of excess cash holding on liquidity risk regarding to the stock trading indexes, and based on management and investment approach of liu (2006) theoretical framework that respectively includes twelve-month liquidity risk and beta liquidity risk. In this research, multiple regression and ordinary least square method have been used for testing hypotheses. The research sample includes the 130 companies which listed in Tehran stock exchange, and the period of study includes seven years from the 2011 to 2017. Results show that excess cash holding has significant and negative impact on twelve-month and beta liquidity risk, which the impact of excess cash holding on twelve-month liquidity risk is more than beta liquidity risk. Moreover, regarding to the stock trading indexes, excess cash holding leads to reducing liquidity risks, which the level of decreases in beta liquidity risk is more than twelve-month liquidity risk. Overall, holding excess cash by companies due to reducing liquidity risks, however, regarding to the stock trading indexes, the results show more decrease in beta liquidity risk based on investment approach, therefore, this study can deeply represent excess cash holding reduce the market liquidity effect on the liquidity risk. Manuscript profile
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        52 - 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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        53 - Mutual Fund Liquidity Risk Management Tools
        seyed hossein hosseini mohammad hassan ebrahimi sarveolia moslem Peymani
        Due to the continuous cash flow of Open-End mutual funds, liquidity risk is the most important risk of this financial institution. The main challenge of managing the liquidity of these funds is to provide cash in the event of a crisis and to face redemption requests. Fu More
        Due to the continuous cash flow of Open-End mutual funds, liquidity risk is the most important risk of this financial institution. The main challenge of managing the liquidity of these funds is to provide cash in the event of a crisis and to face redemption requests. Fund run and the pressure to finance and sell assets will transfer costs and possibly leave a portfolio of less liquid assets for the remaining investors.it is necessary to use liquidity management tools to control the repurchase pressure, share costs fairly and protect the interests of remaining investors.while reviewing and introducing common liquidity risk management tools of this industry in the world, the need to provide the possibility of using any of these tools for fixed income funds and stocks, the possibility of using any tool in normal and / or special conditions, and the necessity / non-necessity of approval of the use of the tool by the regulator before use, as the three key components of the use of these tools, has been deliberately fuzzily consulted by experts. After sending the questionnaire and during the two stages of the survey, a final agreement was reached by the experts on the use of Swing Pricing and Anti-Dilution Levy in any situation and at the discretion of fund managers and the use of Redemptions In-kind, Redemption Gates, and Suspension of Redemptions in special circumstances and with the approval of the regulator. No consensus was reached on the need to provide the use of Side Pockets. Manuscript profile
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        54 - Investigating the Effect of Investors' Behavioral Tendencies on Stock Market Liquidity: (Quantile Regression Approach)
        Ebrahim Asghari Mohammad Mehdi Abbasian Fredoni Seyedhossein Naslmosavi
        Behavioral financial theory shows that changes in securities prices have no fundamental reason and the behavioral tendencies of investors play an important role in determining prices.In recent studies, the rationality of investors has been seriously challenged, and the More
        Behavioral financial theory shows that changes in securities prices have no fundamental reason and the behavioral tendencies of investors play an important role in determining prices.In recent studies, the rationality of investors has been seriously challenged, and the results of studies suggest that prices are determined more by psychological attitudes and factors than fundamental variables, so the study of stock market psychology has become more important. Therefore, the purpose of this study is to Investigating the effect of investors' behavioral tendencies on stock Market liquidity in the capital markets of selected Islamic countries. The statistical sample consists of the capital markets of 14 selected Islamic countries during the period 2008 to 2020.Quantile regression method was used to estimate the research model using Eviews 9.0 software. The results show that the behavioral tendencies of investors have a positive and significant effect on stock market liquidity. Also, among the macroeconomic variables, the growth rate of money supply and the growth rate of industrial production have a positive and significant effect on stock market liquidity and the inflation rate has a negative effect on stock market liquidity. Based on the results, investors' behavioral tendencies increase the volume of transactions and stock market liquidity. In fact, the results of the research reinforce the argument that the behavioral tendencies of investors can be the source of changes in liquidity. Manuscript profile
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        55 - Liquidity analysis based on principle of fluidity of physics: a new approach.
        Fraydoon Rahnamay Roodposhti
        Liquidity is one of the main and crucial elements of capital market which resulted inits ultimate performance and is a indicator of its development. As such Liquidityleads to availability of required funds and finance for active investment firms in Stockmarket.The main More
        Liquidity is one of the main and crucial elements of capital market which resulted inits ultimate performance and is a indicator of its development. As such Liquidityleads to availability of required funds and finance for active investment firms in Stockmarket.The main purpose of this research is to analyse stocks liquidity using the physics principlesthat is considered to be one of the innovative concepts which increases the possibility of acomprehensive analysis in the subject matter as well as increased financial knowledgethrough other scientific branches such as physics and introduction of a new concept calledfinancial physics.This research in terms of methodology, philosophical and analytical and its approach is areview and extension which has been carried out by analysing the relevant literature andrelated literature.The findings of the research show that firstly, the analysis of stock liquidity using theprinciple of fluidity means, liquid properties in analyzing the states of this matter in physics,is more comprehensive and of the scientific foundations, and secondly, the interactionbetween the disciplines of finance and physics is the field of science development.subsequently, the results show that the stock market and its analysis can be determinedmore rationally by taking advantage of the characteristics of the liquid. fourth, the results ofthis study revealed that the roots of liquidity (fluidity) of liquid translation (liquid) derivedfrom liquid properties i.e. fluidity and flow. being transparent and …). Manuscript profile
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        56 - Explanation of the Role of Investors’ Emotional Inclination on the Stock Liquidity of Firms Listed on Tehran Stock Exchange
        hamid moridipour Mahmoud Hemmatfar mohammad hasan janani
        Many studies introduce the liquidity of assets, one of the variables considered by investors, to be influenced by various factors such as investors’ emotions. The investors’ emotions in the market are explained by the financial behavioral approach. This appr More
        Many studies introduce the liquidity of assets, one of the variables considered by investors, to be influenced by various factors such as investors’ emotions. The investors’ emotions in the market are explained by the financial behavioral approach. This approach is the opposite of the classical financial theories. Hence, this study was mainly aimed at investigating the relationship between investors’ emotional features and the stock liquidity in the Iranian stock market. To this end, the data of 95 active firms from those listed in stock exchange market in a 7-year period from 2013 to 2019 (Solar Years 1392-1398) were investigated using a multivariate regression model based on the panel data method. The results of testing the research hypotheses revealed a significant relationship between the investors’ emotional features and the stock liquidity of large and small firms. Given the significance level of the research model’s modulators, the high and low emotional features in small firms have a significant negative relationship with stock liquidity; however, this significant relationship was not confirmed for large firms. Furthermore, the significance of the whole regression model may be concluded given F statistic. Based on Durbin-Watson statistics, there is no strong autocorrelation between the research variables. Manuscript profile
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        57 - Modeling the Liquidity Risk Spillover Between Banks Accepted in the Tehran Stock Exchange Market
        abas banisharif mir feyz fallahshams zad fathi
        The analysis and examination of the spillover of risks among markets has been emphasized in practice for some decades by the theorists and scholars from different fields. The complex atmosphere of the financial markets and the close relationship between these markets an More
        The analysis and examination of the spillover of risks among markets has been emphasized in practice for some decades by the theorists and scholars from different fields. The complex atmosphere of the financial markets and the close relationship between these markets and also the necessity of predicting the future economic changes prompted the financial researchers to take an effective step to attain the goals of the financial and economic system by discovering and analyzing the relationships between those markets. Identifying the financial risks in banking industry and the way they are transferred among different banks is one of the main financial issues that has a significant role in realizing the risk management of the financial institutes and banks. The present research was conducted to examine the spillover of one of the financial risks (liquidity risk) among the banks listed on Tehran Stock Exchange. The liquidity adjusted Value-at-Risk (LaVaR) has been used to evaluate the liquidity risk and the required data has been gathered from 8 banks listed on Tehran Stock Exchange on daily basis from 2011 to Sep. 2020. The method of spillover of the risks to each other has been modeled based on GARCH-DCC model. All obtained coefficients had a significant difference with zero in the estimated model and at 95% confidence level, and the estimated variance equation indicate the existence of spillover of liquidity risk as mutual among the banks Manuscript profile
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        58 - Provide a model for measuring the effects of banking risks on the stability of the banking system
        reza mohammadi fatemeh sarraf Fraydoon Rahnamay Roodposhti Zohreh Hajiha
        Examining the effects of banking risks such as credit, liquidity, market and operational risk along with continuous economic growth through the implementation of monetary policy is an important goal. Liquidity and credit system are also related to the stability of the b More
        Examining the effects of banking risks such as credit, liquidity, market and operational risk along with continuous economic growth through the implementation of monetary policy is an important goal. Liquidity and credit system are also related to the stability of the banking system, and weaknesses in adapting to risk and stability in this area can cause a lot of damage to banks in the face of risks for banks.The statistical population of the study includes all banks listed on the Tehran Stock Exchange during the years 1389 to 1398, some of which were examined by elimination sampling. In this regard, 6 hypotheses were proposed and using multivariate regression and The collected data were analyzed using Eviews software. The results of data analysis showed that market risk (exchange rate fluctuations and interest rate fluctuations) has a significant effect on bank stability. To be. Finally, other findings showed that credit and liquidity risks also had a significant effect on bank stability. Manuscript profile
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        59 - Factors affecting liquidity management in pharmaceutical companies: Bayesian averaging approach
        ghodratolah talebnia Ramin Pourabdolahian tehrani Hamidreza Vakilifard Jahanbakhsh asadnia
        AbstractOne of the powerful tools in examining the financial performance of companies is the liquidity of that company and is one of the decision-making indicators of investors. Examining the financial statements of companies is the most important step in investing and More
        AbstractOne of the powerful tools in examining the financial performance of companies is the liquidity of that company and is one of the decision-making indicators of investors. Examining the financial statements of companies is the most important step in investing and in this study, 50 effective variables of financial statements on liquidity management are included in the model. Using Bayesian averaging model approach, 12 non-fragile variables affecting the liquidity management of pharmaceutical companies, which include current liabilities, accumulated profit and loss, P / S, operating profit (loss), gross EPS, net cash inflow (outflow), Total Net Return on Investments, Total Net Flow of Investment Activities, Receiving Financial Facilities, Total Net Flow of Financing Activities, Cash Balance at the Beginning of the Year and Cash Balance at the End of the Year were identified. According to the results of liquidity management of pharmaceutical companies is a multidimensional process; Because the variables related to financial statements, balance sheet and profit and loss and cash flow affect this index. The multidimensionality of the factors influencing this process will require coordination among policy makers active in the industry so that the time inconsistencies created in the decision-making process do not make the situation of companies worse. Manuscript profile
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        60 - Environmental Niche Capacity and Peer Effect in Funding Liquidity Risk of Banks
        Tayebe Bakhtiarian Gholamhossein Asadi Hossein Abdo Tabrizi Teymor Mohammadi
        Peer effects is a pervasive phenomenon in a business world and several theories have been proposed to explain that. Since this phenomenon can have different positive or negative consequences in different domains, therefore, in this paper using information and competitio More
        Peer effects is a pervasive phenomenon in a business world and several theories have been proposed to explain that. Since this phenomenon can have different positive or negative consequences in different domains, therefore, in this paper using information and competition based theories and Organizational ecology theory and By defining an index called environmental niche capacity, the relationship between the index and peer influence has been investigated in banking industry of Iran in order to help to form macro prudential policy to control peer effects as a systemic risk factor in that industry. The research sample includes all active banks of Iran from 2002 to 2016 and the models used are linear regression model based on Manski's approach with unbalanced micro-panel data and two stage least squares method to estimate peer effects coefficient and linear regression model with time series data to evaluate relation between peer effects and environmental niche capacity index and also concentration and uncertainty index. The evidences shows that the correlation of niche index is significant both during boom and bust, but during recession the coefficient is increased by approximately 2/1 times, indicating the importance of liquidity management by central bank to control peer effects systemic factor and crisis formation in the banking system. Manuscript profile
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        61 - Dynamic Optimization of Investment Portfolio under Liquidity with Benchmark Process
        Razeih Fatehpour mohsen hamidian shadi shahverdiani Ali Najafi Moghadam Zohreh Hajiha
        Investors are looking to choose the optimal combination of assets and allocate their wealth among them in such a way that they can achieve the goal of investing (increasing the revenue that can be seized in future periods). The main issue in this study, considering the More
        Investors are looking to choose the optimal combination of assets and allocate their wealth among them in such a way that they can achieve the goal of investing (increasing the revenue that can be seized in future periods). The main issue in this study, considering the conditions of high liquidity or low liquidity of companies' stocks and portfolio selection models, is the use of a new tool to select investment portfolio. The statistical sample for 27 companies active in the time domain from the beginning of April 2014 to March 2017 has been considered. The use of asset liquidity index to optimize portfolios using and benchmarking process has made a significant difference in portfolio weights, yields and risk compared to the Markowitz model. Also, the results of calculating the trainer criterion showed that the optimization model obtained from the benchmarking process of the value function has a higher performance than the portfolios obtained from the Markowitz model. . Manuscript profile
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        62 - presenting a model to optimize liquidity measures in tehran stock exchange
        Alireza Fatemi Iraj Noravesh Farhad Hanifi Mani Sharifi
        liquidity is a fundamental aspect of stock market efficiency and in terms of methodology , most of the theories related to the structure of financial markets account for the implications of liquidity behavior more than other market characteristics . therefore , the cent More
        liquidity is a fundamental aspect of stock market efficiency and in terms of methodology , most of the theories related to the structure of financial markets account for the implications of liquidity behavior more than other market characteristics . therefore , the central role of market liquidity in the form of prices , and reducing the costs and risks of sustainable development and stability of financial systems is important , so liquidity issue has attracted much attention in recent years in academic studies as well as in important publications . in this research , the criteria of each liquidity type are introduced and the relationship between them is studied . in fact , the main question of this research is what measure is the criterion for the selection of liquidity in tehran stock exchange . the purpose of this thesis is to evaluate and compare liquidity capability and design a model for explaining liquidity measures in tehran stock exchange with emphasis on 11 different measures . for this purpose , a sample of eight firms listed in tehran stock exchange ( tse ) during the period 1380 to 1389 were reviewed . to achieve the goal of this research , factor analysis - vikor 's numerical algorithm which is one of multi - criteria decision making methods is used . Manuscript profile
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        63 - The relationship between stock liquidity, cost of capital, and family ownership
        omid farhad toski mohammad hasan janani mahmood hematfar
        The main purpose of this research is to investigate the relationship between stock liquidity and cost of capital and family ownership in 113 companies among the companies listed in the Tehran Stock Exchange during the period of 1391 to 1395. The research method is corre More
        The main purpose of this research is to investigate the relationship between stock liquidity and cost of capital and family ownership in 113 companies among the companies listed in the Tehran Stock Exchange during the period of 1391 to 1395. The research method is correlational and multivariate regression has been used using combined data with a fixed effect regression model approach. The research findings indicate that there is a positive and significant relationship between the Amihud lack of liquidity variables and the number of trading days with cost of capital equity, and there is a negative and significant relationship between the spread ask – bid price and the cost of capital equity. Also, there is a positive and significant relationship between the percentage of free floatation shares and the number of trading days with the cost of capital debt and there is a negative and significant relationship between the bid – ask spread and with the cost of debt capital. Also, there is a positive and significant relationship between the Amihud lack of liquidity variables and the number of trading days with the weighted average cost of capital, and there is a negative and significant relationship between the price bid – ask spread and the value of transactions with the weighted average cost of capital. In addition, the family ownership variable has a positive and significant effect on the between stock liquidity and weighted average cost of capital. Manuscript profile
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        64 - Examining the Impact of Managers' Social Capital on Bank Risks
        seyed moosa mohamadi Reza Gholami jamkarani mirfeiz fallah shams
        Banks are the most important institutions in terms of mobilization and allocation of financial resources and savings.The risk of banks along with their performance has always been considered. Many factors affect the bank risks which have been investigated in various stu More
        Banks are the most important institutions in terms of mobilization and allocation of financial resources and savings.The risk of banks along with their performance has always been considered. Many factors affect the bank risks which have been investigated in various studies. The concept of social capital has been considered in recent years, but little research has been conducted about the relationship between social capital and the bank risks. Managers' social capital can be defined as the number of social relationships between company managers and their counterparts in other companies and other groups. the main objective of this research was to examine the impact of managers' social capital on bank risks. The research hypotheses testing were conducted using the correlation statistical method of panel data by the data on 30 banks of the I. R. Iran. Conclusively, 260 data-years were extracted to test the hypotheses. The results of the research showed that social capital had a reversal and significant effect on a variety of bank risks, including credit risk, liquidity risk and operational risk. Manuscript profile
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        65 - Effect of Exchange approved transactional recipes on the liquidity of Stocks listed companies in Tehran Stock Exchange
        Mohammad hasan ebrahimi sarvolia Mir feyz fallahshams Mohamad jafar meykade Meysam alimohammadi
        In this study, the effect of instruction approved by the Stock Exchange on the trading liquidity of the shares of the listed companies in Tehran Stock Exchange are examined. For this purpose, the effect of five recipes with the information disclosure record companies, p More
        In this study, the effect of instruction approved by the Stock Exchange on the trading liquidity of the shares of the listed companies in Tehran Stock Exchange are examined. For this purpose, the effect of five recipes with the information disclosure record companies, publishers disciplinary accepted in Tehran Stock Exchange, received telephone orders using Contact Center Brokerage, regulations pertaining to applicants for purchase of major trading stocks and shares priority Tehran Stock Exchange and OTC consisted of 6 females and 4 notes and purchases of securities in the period 01.01.1386 to 31.03.1392 has been studied. Using data from 164 companies listed in Tehran Stock Exchange recipes Mlamlaty results show a significant impact on the liquidity of the Securities Exchange Act of shares. Manuscript profile
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        66 - The comparative study of earning management and liquidity of stocks between the listed firms of Tehran stock exchange and OTC of Iran
        Mahdi Moradi Saeed Shayan Nazar Zakiyeh Marandi
        Stock liquidity, including the factors affecting the financial decisions of investors in capital markets. On the other hand, earnings management influence over the content of the information released by the Company, indirectly affect the investment decisions.The purpose More
        Stock liquidity, including the factors affecting the financial decisions of investors in capital markets. On the other hand, earnings management influence over the content of the information released by the Company, indirectly affect the investment decisions.The purpose of this study was to compare the earnings management and stock liquidity between the firms Stock Exchange and OTC Iran. The study is descriptive -correlational studies .This study have been carried based on data published by firms listed in Tehran Stock Exchange and OTC Iran, in the period of years 2011 to 2015 with a sample of 152 Stock Exchange and 35 OTC firm.The method used to test hypotheses panel data regression. The hypotheses analysis was performed using R statistical software. The results of hypotheses testing shows that real earnings management in companies in the OTC stock is greater than the Stock Exchange companies. The results also show accrual earning management in OTC is more than firms Stock Exchange. As for the liquidity of shares in the Stock Exchange and OTC companies in Iran there was no significant difference. Manuscript profile
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        67 - Evaluating stock liquidity with its quantitative and cryptic qualitative measures by means of MULTIMOORA fuzzy group decision making
        Reza Sheikh Azadeh Hajjar maryam Azari takami
        Being a principle factor for investors in asset allocating, stock liquidity gains a lot of attention from researchers in its measures and various assessment techniques and numerous measures have been introduced. In this study stock liquidity is evaluated with its preval More
        Being a principle factor for investors in asset allocating, stock liquidity gains a lot of attention from researchers in its measures and various assessment techniques and numerous measures have been introduced. In this study stock liquidity is evaluated with its prevalent quantitative and cryptic qualitative measures by means of MULTIMOORA fuzzy group decision making. This multi-objective optimization by ratio analysis approach which is the combination of three different methods, called Ratio system, Reference point method and Full multiplicative form, and uses Dominance theory for evaluating final ranking in ordinal environment, is used to evaluate and compare the liquidity of 10 stocks from food and beverage production industry group according to 8 quantitative and qualitative measures. The results show the robustness of MULTIMOORA as well as the ranking and preferences of company stocksʼ liquidity. Manuscript profile
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        68 - An Investigation of Affecting Factors in Bid Ask Spread as a Measure for Information Asymmetry
        Heidar Foroughnejad Mohsen Moradijoz
        This study examines the effective factors in bid ask spread as a measure for information asymmetry among listed firms in Tehran’s stock exchange. In this study, the effect of share’s liquidity risk variables, market liquidity risk, , market liquidity, number More
        This study examines the effective factors in bid ask spread as a measure for information asymmetry among listed firms in Tehran’s stock exchange. In this study, the effect of share’s liquidity risk variables, market liquidity risk, , market liquidity, number of transactions, and trading volume of bid ask spread is investigated. In this line, five hypotheses were suggested. A sample consisting of 107 firms (642 firms-year) among the Listed Firms in Tehran’s Stock Exchange (from 2007 to 2012) were collected and tested through combined data method to test the hypotheses. The results verify the first and second hypotheses in that the number of transactions and trading volume has significant relationship with bid ask spread.  However, no relationship was found to be between liquidity risk, market liquidity risk, and market liquidity with bid ask spread. Manuscript profile
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        69 - Investigation of the variable of the illiquidity risk and the effect it’s on the excess of stock return in the stock market
        Hosein Mohammadpour Zarandi S.M. Tabatabaei Mozdabadi
        The current research was carried out to investigate the relationship between risk and return based on the investors’ views. The research, in addition to a thorough investigation of the variable of the illiquidity risk, investigates the effect whereof on the excess More
        The current research was carried out to investigate the relationship between risk and return based on the investors’ views. The research, in addition to a thorough investigation of the variable of the illiquidity risk, investigates the effect whereof on the excess of stock return. The research utilized the variables IMV, HML, and SMB for measuring purposes and a portfolio method to reduce the correlational effects of the variables. This longitudinal study completed over a 7-year time span and the analysis of the results stood witness to the significantly positive relationship between the ratio of illiquidity and the excess of stock return. Moreover, the research utilized a mathematical model to investigate the degree of such significance. The research concluded with the analysis of the results of the investigation into the companies’ stocks over the very time span of 7 years (1999-2005). Manuscript profile
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        70 - The exploration of affective factors on price bulb in Tehran exchange
        Mohammadhassan Ebrahim Sarvolia Mirfeyz Fallah Shams Shahnaz Azarang
        The Tehran exchange after reopening in 1368 ,has been undergone fluctuations during its activities that these fluctuations often were market inherent and indicate what it has happened in the markets. But sometimes the market reacts suddenly. Perhaps the decline of share More
        The Tehran exchange after reopening in 1368 ,has been undergone fluctuations during its activities that these fluctuations often were market inherent and indicate what it has happened in the markets. But sometimes the market reacts suddenly. Perhaps the decline of share market in 1383 was one of these reactions. In this research we explore the price bulb in public companies in Tehran exchange. firstly by using of box Jenkins method, we estimate the residual of model and  based on model residual ,the continuum, skew and unit root has been used that the price bulb have been occurred during 1383 to 1388. Then by testing price bulb, all of companies that have been undergone to high growth and decline of price in exchange are divided to 2 companies. One without bulb and other one with price bulb. In order to prediction of bulb, the independence variables inside of companies like company size ,shareholders demography ,p/e ratio, information transparency and liquidity speed have been used. In the next step, by using of binary logit and probit regression method, a model has been designed for the prediction of price bulb. for model reliability, the data 6 months before bulb expression have been used. The test of hypothesis show that there is no significant relationship between independent variables (company size, shareholders demography, P/E ratio, information transparency, liquidity speed) and price bulb, except 2 companies inherent independent variable(share floatability and company size).   Manuscript profile
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        71 - Design and Explanation of a Model for the Registration and Listing of company's shares to achieve the development of Tehran Stock Exchange based on 1404 vision of Islamic Republic of IRAN
        Hamid Mirmoini Gholamhosein Asadi Mohammadreza Hamidizadeh Ahmad Roosta
        The present research was conducted with the aim of designing and explaining the model of registration and public offering of stocks in order to develop Tehran Stock Exchange based . The research was applied in terms of aim, correlational and survey based in terms of met More
        The present research was conducted with the aim of designing and explaining the model of registration and public offering of stocks in order to develop Tehran Stock Exchange based . The research was applied in terms of aim, correlational and survey based in terms of method of data collection, and mixed (quantitative-qualitative) and exploratory in terms of type of collected data. The population consisted of two parts: qualitative part which is including ten persons of university teachers and economic-financial researchers those selected by targeted method and capital market participants, in Tehran among whom 384 individuals were selected as a sample size using Cochran formula and random sampling method. In the section of questionnaire, a researcher-made questionnaire with 52 questions was utilized which were about pre-offering measures, post-offering requirements, Successful Initial Public Offering of shares, accepting shares, liquidity and Tehran Stocks Exchange. The validity of the interview questions were approved using the opinions of the related experts (Content Validity) while the validity of the questions used in the questionnaire were approved using construct validity in two parts of convergent and divergent. In addition, the reliability of the questionnaire was approved using the Cronbach's alpha method which the results of the validity and reliability were acceptable. On the other hand, analysis of the qualitative data was carried out through coding and content analysis. Moreover, analysis of the quantitative data was done using Correlation test through SPSS software and Structural Equation Modeling (SEM) through Smart PLS software. The results demonstrated that holding meeting for introducing and appropriate informing, advertising initial public offering of securities, determining the right time of initial offering and appropriating pricing are factors affecting pre-offering measures, and management of liquidity of securities, management of fluctuations in securities, and innovation in derivative instruments are among factors influencing post-offering requirements in Tehran Stocks Exchange. According to the identified components, a model was presented in the field of accepting and offering stocks in order to develop Tehran Stock Exchange based on Islamic Republic of Iran's horizon vision in 2025 which the model fitting criteria were acceptable. Moreover, the test results indicated that pre-offering measures and post-offering requirements had impact on IPO in Tehran Stocks Exchange; IPO had impact on Tehran Stocks Exchange; accepting shares had impact on Tehran Stocks Exchange; liquidity had impact on Tehran Stocks Exchange; liquidity had impact on IPO. Manuscript profile
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        72 - Forecasting Stock Price Manipulation in Capital Market
        Mirfeiz Falah Shams Hamid Reza Kordlouei Amir Dehghani
        The goal of the present article is extending and developing Multiple Disciminant Analysis (MDA) method which is able to distinguish buble price in Tehran stock exchange. The principal goal of the present study is to offer model for approximating buble price and also the More
        The goal of the present article is extending and developing Multiple Disciminant Analysis (MDA) method which is able to distinguish buble price in Tehran stock exchange. The principal goal of the present study is to offer model for approximating buble price and also the factors efficient to make the model work at Tehran stock exchange. In order to do so by applying separation method a sample consisting of 397 companies accepted at Tehran stock exchange were selected and information related to their price and volume of trades during years 2001 until 2009 were collected and then through performing runs test, skewness test and duration correlative test the selected companies were divided into 2 sets of with bubble price and non bubbled companies. In the next stage by investigating cumulative return process and volume of trades in bubbledted companies, the date of starting bubble price was specified and in this way the multiple discriminant analysis, and by using information related to size of company, clarity of information, ratio of P/E and liquidity of stock one year prior bubble price; a model for forecasting bubble price of stocks of companies present in Tehran stock exchange were designed. At the end the power of forecasting model was studied by using data of test set. Whereas the power of forecasting MDA model was 90.2%; the model has high power to anticipate bubble price. Manuscript profile
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        73 - Measurment of stock liquidity criteria surrounding capital raising decisions
        Ebrahim Abbasi Alireza Rajabpour
        This study investigates the explaining ability of the stock liquidity criteria before and after capital raising decisions by using stock rights and stock dividends.For this purpose liquidity criteria including trading volumes, trading value, number of trading days, trad More
        This study investigates the explaining ability of the stock liquidity criteria before and after capital raising decisions by using stock rights and stock dividends.For this purpose liquidity criteria including trading volumes, trading value, number of trading days, trading frequency and the number of buyers are investigated.This study includes are month before closing  the symbol and one month after opening the symbol following extra ordinary assemblies on stock right and stock dividends issue.This paper investigates 215 capital raising cases during 2005-2010 years in Tehran stock exchange. The results of the pairs t-test demonstrated that the mean liquidity criteria after capital raising in comparasion with before that doesen’t have any significant differences. But there is significant and positive correlation between percent of capital raising with liquidity criteria. Manuscript profile
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        74 - Analysis of factors affecting expected stock returns based on the implied cost of capital
        Azita Jahanshad Mahmood Parsaei
        Expected return on equity is an important variable in the analysis of financial firms. Accurate measurement of this variable and its determinants is one of the most important issues in financial research. Due to inefficient estimates of the expected return on realized More
        Expected return on equity is an important variable in the analysis of financial firms. Accurate measurement of this variable and its determinants is one of the most important issues in financial research. Due to inefficient estimates of the expected return on realized returns, accounting and financial studies have suggested an alternative approach to estimating expected returns. This approach implied cost of capital (ICC) called on the firm's internal rate of return that the firm's stock price equals the present value of future cash flows expected return. The main objective of this paper is to investigate the determinants of expected returns estimated based on implied cost of capital for listed companies in Tehran Stock Exchange is 89. The determinants of expected returns in previous research, several factors as independent variables and controls included liquidity, long-term return on investment, growth potential, the level of stock prices, value companies, financial leverage, firm size and systematic risk in was used. Multivariate statistical methods to test the hypotheses were used. The results indicate that the liquidity, growth potential, the level of stock prices, firm size and firm value estimated in accordance with the expected returns implied cost of capital models, positive significant relationship exists. Also, a significant negative relationship between long-term reversal of capital, financial leverage and systemic risk with expected return implied cost of capital estimates are based on the reverse. Manuscript profile
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        75 - The Relation Between one Economic Events with the Concepts of Changing Regime about Returns, Risk and Liquidity in Stock Market
        Hassan Ghalibafasl Naser Elahi Masoomeh Torkaman Ahmadi Yadolah Dadgar
        The stock market is one of the most important parts of the capital market. There are defined concepts in this market that are more important than the other ones. Meanwhile, it can be mention to liquidity, risk and return. Given the important three variables has tried to More
        The stock market is one of the most important parts of the capital market. There are defined concepts in this market that are more important than the other ones. Meanwhile, it can be mention to liquidity, risk and return. Given the important three variables has tried to model know as GARCH regime and Markov regime switching, the relationship between these concepts with the concepts of changing the regime by important economic events in country's history such as article 44 of the constitution is examined. According to the results of three- regime GARCH model, the most important  Article 44 events in the changes of stock return's volatility process regimes has been identified, due to the behavior of institutional investors in low-volatility regimes in comparison with high-volatility liquidity.  Manuscript profile
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        76 - The effect of the political cycle on the Tehran Stock market trading volume and liquidity
        Farhad Hanifi Ghasem Gholamlou
        This study examines the impact of political cycle on Tehran stock  Exchange performance. Political cycle is a four-year cycle that Is known to  political business cycle and   Presidential cycle. Political cycle theory shows  that stock returns&n More
        This study examines the impact of political cycle on Tehran stock  Exchange performance. Political cycle is a four-year cycle that Is known to  political business cycle and   Presidential cycle. Political cycle theory shows  that stock returns  fall  during  the first  half  of a presidency, and  rise  during  the second  half  of a presidency .Also Stock market performance in different years from a government in USA  Indicated stock returns is lower in the second year than in other years .In this study, stock market performance is measured by Trading volume and  Liquidity Index. The research method is based on the goal, application and is based on the method  descriptive .we used two methods to collect data and content,library method and  Using the Exchange documents. The study used descriptive and inferential statistics. Statistical analysis was performed using SPSS software. The results of this research indicate that There is significant relationship Between the independent variable (Political cycle) and  dependent variables ( Trading volume and Liquidity Index ). In other words, there is significant difference between Thehran stock performance (Basis of  two  indicators) the first half and second  half of a presidency. Also, there is no significant difference between Thehran stock performance the different years of a presidency. In summary , this research shows Tehran Stock Exchange follow the political cycle. Manuscript profile
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        77 - The relationship between the amount of free float and liquidity of shares in Companies listed on the Tehran Stock Exchange
        Mohammadreza Monjazeb Sajjad jalali
        This study investigates the association of free float and liquidity of the stock. In addition to considering any reasonable investor in making an investment return and risk criteria should also consider liquidity to be able to determine the relationship between liquidit More
        This study investigates the association of free float and liquidity of the stock. In addition to considering any reasonable investor in making an investment return and risk criteria should also consider liquidity to be able to determine the relationship between liquidity indicators (turnover, value of transactions, number of transactions, number of days of trading and turnover trading stock) Tehran Stock Exchange with a free float of 164 companies were investigated. For this purpose, trimester data were collected from the 1391- 1385 companies. Using the combined data (panel) regression models were estimated. The results showed that all of the free float and liquidity indicators, there is a significant relationship. Given the values ​​of the estimated coefficients, in order of most to least about trading stock turnover, number of days traded, turnover, number of trades, the trades are free float variable. Manuscript profile
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        78 - Stock Liquidity, Investment Efficiency, and Firm's Performance: Evidence from Tehran Stock Exchange
        Heidar Foroughnejad Mohsen Moradi Joz Hossein Heidari Ghader Masoumi Khanghah
        This study investigates the relationship between stock liquidity, investment efficiency, and firm's performance in Tehran Stock Exchange. In this study, three criteria including trading volume ratio, the bid ask spread, and Amihud's stock liquidity ratio are used to qua More
        This study investigates the relationship between stock liquidity, investment efficiency, and firm's performance in Tehran Stock Exchange. In this study, three criteria including trading volume ratio, the bid ask spread, and Amihud's stock liquidity ratio are used to quantify stock liquidity. Moreover, the model of Biddle et al and that of Tobins'Q are applied to determine investment efficiency and firms's performance, respectively. In so doing, the data of 115 firms listed in Tehran Stock Exchange for the period between 1387 and 1391 was collected and tested by using the multi-variable regression model based on panel data. The experimental results indicate that the first research hypothesis- the significantly positive impact of stock liquidity on investment efficiency- is statistically confirmed in a way that stock liquidity leads to investment efficiency. In addition, the investment efficiency results in an increase in firm's performance. The results also show that the bid ask spread criterion is of more effective and explanatory power than those of trading volume and Amihud's stock liquidity. Manuscript profile
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        79 - Predicting Liquidity Trap in Companies with Financial Clinic Approach
        Mahnaz Nojavan Mahmoud Lari
        Financial reporting has significant attention for users. The main objective of financial reporting is to provide information to predict cash flows and  to assess the financial position.One of the tools uses to determine the company's financial position is analysis More
        Financial reporting has significant attention for users. The main objective of financial reporting is to provide information to predict cash flows and  to assess the financial position.One of the tools uses to determine the company's financial position is analysis of financial ratios. Financial ratios are designed to help evaluation of  financial statements. Managing  of the company's liquidity is one of  the most important duties of senior executives and the amount and speed of rotation of the liquidity of a company makes it profitable and competitive. The main objective of this research is to explain model predictions of liquidity traps and to review the relationship between liquidity trap  with financial clinic approach in companies listed in Tehran stock exchange during the period of 2010 -2014. In this regard, four hypotheses developed by using correlation and regression analysis. The results of the research indicate that there is significant relationship of time by creating Liquidity trap between the lack of favorable efficiency,  unfavorable combination of current assets, lack of effective follow-up collection of receivables and other ill treatment cost - but it is not meaningful.    Manuscript profile
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        80 - The Features of Financial Stress in Iran's Capital Market
        Ali Reza Ma'toufi
        This study examines the characteristics of Financial Stress identified consistent with the literature research, including Uncertainty about Fundamental Value of Assets, Asymmetry of Information, Decreased Willingness to Hold Risky Assets and Decreased Willingness to Hol More
        This study examines the characteristics of Financial Stress identified consistent with the literature research, including Uncertainty about Fundamental Value of Assets, Asymmetry of Information, Decreased Willingness to Hold Risky Assets and Decreased Willingness to Hold Illiquid Assets in four hypotheses. The research method is descriptive and correlational and to analyze the relation between independent and dependent variables, multiple regression statistical methods were used. Then, to test the research hypotheses, using data on firms listed in Tehran Stock Exchange, through the sampling cup, 95 companies were selected as samples. The present results confirm the hypothesis that show all the variables mentioned above are indicators of financial stress in the capital markets in Iran.    Manuscript profile
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        81 - Portfolio Rebalancing Model based on Fuzzy Decision Theory
        Zahra Amirhosseini Laleh Shabani Barzegar
        In this paper, we used portfolio rebalancing strategy as a mechanism for review of the stock of investor The Fuzzy approach to trading costs.  The designed Model is based on three key factors, expected return, risk and the stock Degree of liquidity. To test the mo More
        In this paper, we used portfolio rebalancing strategy as a mechanism for review of the stock of investor The Fuzzy approach to trading costs.  The designed Model is based on three key factors, expected return, risk and the stock Degree of liquidity. To test the model, we used data and information of traded stocks on the Tehran Stock Exchange during the period 1388 to 1390 and with arrival of Enter the subjective expectations levels of investors, we have examined the performance of the model in two scenarios. The results can show the subjective expectations levels of investors than expected return, risk and liquidity in order to re-balancing of Investors portfolio. Manuscript profile
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        82 - The investigation of relationship between stock liquidity and Stock price synchronicity using the simultaneous equations system in the accepted companies in the Tehran Stock Exchange
        Ahmad Fallahzadeh Abarghooie Akram Taftiyan Forough Heyrani
        The stock market liquidity is very important due to its various roles and effects in the capital market and plays an important role in the stock market quality. On the other hand, the Stock price synchronicity reflects the amount of market information relative to specif More
        The stock market liquidity is very important due to its various roles and effects in the capital market and plays an important role in the stock market quality. On the other hand, the Stock price synchronicity reflects the amount of market information relative to specific information in the stock price of the companies. some studies have examined the effect of stock market liquidity on Stock price synchronicity and other studies that test the effect of the Stock price synchronicity on stock market liquidity. Therefore, the present study examines the relationship between stock market liquidity and Stock price synchronicity in listed companies in the Tehran Stock Exchange during the period from 2008 to 2015. In this study, 66 companies were selected as samples Using a systematic Omissive method and for the simulation of Stock price synchronicity, the model presented by Piotroski and Roulstone (2004) has been used. Then simultaneous equations system was estimated using a two-step regression method. The results of the estimation indicate the existence of a two-way relationship between the Trading volume, stock turnover, the stock market illiquidity ratio (Amihud), and the Amivest liquidity ratio as the criteria for assessing stock market liquidity and Stock price synchronicity in Tehran Stock Exchange.   Manuscript profile
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        83 - Liquidity, Investment Style?
        Maryam Davallou
        Sharp specified investment styles by four characteristics: (1) “identifiable before the fact” (2) “not easily beaten” (3) “a viable alternative” and (4) “low cost”. The paper is aimed to test mentioned four characteristics More
        Sharp specified investment styles by four characteristics: (1) “identifiable before the fact” (2) “not easily beaten” (3) “a viable alternative” and (4) “low cost”. The paper is aimed to test mentioned four characteristics about liquidity in Tehran Stock Exchange (TSE). To this end, a sample composed of listed firms in TSE has been examined during 1379 to 1389. One and two-dimensional portfolio study approaches and regression analysis have been used to test above characteristics. According to research findings, Even though portfolios which have different liquidity level that allocated by turnover to meet “identifiable before the fact” condition but return of extreme portfolios based on liquidity is very low relative to other styles. The results do not confirm superior performance of investment strategy based on liquidity so “not easily beaten” characteristic for liquidity style is not verified in TSE. Nevertheless, it can beat the market by putting together liquidity and other investment styles. In accordance with research outcomes, liquidity does not have more information content than other investment styles so it is not taken into account “viable alternative”. Since half of stocks in portfolio based on liquidity are interchanged by rebalancing, so it cannot manage this strategy passively and “low cost” condition is not confirmed. Liquidity as risk factor also is not viable and is only liner combination of identified risk factors in other asset pricing models.   Manuscript profile
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        84 - Investigating the Simultaneous Relationship between Credit and Liquidity Risks and Their Impacts on Financial Stability of Banks; A Quintile Regression Approach
        Musa Bozorg Asl Farrokh Barzideh Mohammad Taghi Samadi
        Risk management is an integrated procedure which helps banks to measure and control their risks. Due to the recent banking crises and nature of banking activities, central banks have made it compulsory for banks to have independent risk committees. Also, financial insta More
        Risk management is an integrated procedure which helps banks to measure and control their risks. Due to the recent banking crises and nature of banking activities, central banks have made it compulsory for banks to have independent risk committees. Also, financial instability is another factor which can lead banks to distress and bankruptcy. This study investigates the simultaneous relationship between credit risk and liquidity risk and their impacts on financial stability of Iranian banks over the period of 2005-2014 using panel data approach. Results of the simultaneous equation modeling show that in general, liquidity risk and credit risk have significant positive relationship with each other. In other words, every one unit increase in liquidity risk will cause the credit risk to increase by 0.38 unit and every one unit increase in credit risk leads to 0.51 unit increase in liquidity risk. Moreover, we employ the quantile regression to examine the effect of these two types of risk on the different quantiles of financial stability of commercial banks in Iran. Results show that credit risk and liquidity risk negatively affect the financial stability and increase probability of bankruptcy of the Iranian banks. Moreover, we demonstrate that the magnitude of the negative impact is much higher for the banks in the lower quantiles that have lower financial stability comparing with the banks in upper quantiles having higher financial stability.     Manuscript profile
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        85 - 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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        86 - Modeling Liquidity Risk Management in Banking Using System Dynamics Approach
        Seyyed Yahya Asadollahi Ali Asghar Taherabadi Farhad Shahveisi Farshid Khairollahi
        10.22034/amfa.2020.1899914.1424
        Manuscript profile
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        87 - Identify and Rank the Effective Factors of Financial Risks and Efficiency in Insurance Companies Listed on the Stock Exchange using the Delphi Method
        Marzieh Ahmadi Saied Sehhat Maryam khaliliaraghi Hashem Nikoumaram
        10.22034/amfa.2022.1948348.1671
        Manuscript profile
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        88 - Design and Formulation of Strategic Liquidity Management Strategies in the Banking Industry (Case study: Rafah Bank)
        Alirahm Bagheri Azar Moslemi Masoud Taherinia Ebrahim Givaki
        10.22034/amfa.2022.1958080.1747
        The purpose of this study was to design and formulate strategic liquidity management strategies in the banking industry. In this research, in order to combine qualitative and quantitative data, a sequential integrated exploratory method will be used, according to the cl More
        The purpose of this study was to design and formulate strategic liquidity management strategies in the banking industry. In this research, in order to combine qualitative and quantitative data, a sequential integrated exploratory method will be used, according to the classification model with emphasis on qualitative data. Therefore, according to its objectives, the present study is part of applied research and in terms of the research process is part of descriptive and exploratory research that was conducted in two parts: qualitative and quantitative. The statistical population of the present study was the qualitative part of the managers of the Welfare Bank. The sampling method was to achieve theoretical saturation and 25 people were selected as the sample size. Therefore, a survey was used to collect information and according to the data collection, two types of tools were used to review documents, interviews, and questionnaires, and the evaluation method of the questionnaire was performed with a 5-point Likert scale. The Cronbach's alpha questionnaire was used. SWOT analysis was used to analyze the data. The results showed that the Welfare Bank has many opportunities to develop appropriate liquidity management strategies. As it was observed, the chart stretches towards the opportunities and strengths of the offensive situation, which requires strategic planning to use the strengths and opportunities, and 11 strategies were developed for this purpose. Manuscript profile
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        89 - Stock Liquidity and Return Predictability; Is There a Connec-tion? (Evidence from an Emerging Market)
        Mojtaba Alifamian Ali Eshaghzade Abdolkarim Maleknia
        10.22034/amfa.2022.1957711.1744
        Manuscript profile
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        90 - The Effect of Liquidity and Credit Risk on the Relationship be-tween Business Activities and Fluctuations in the Price of all Com-panies Listed on the Tehran Stock Exchange
        Ahmad Sarlak Mitra Mohammadtalebi Bahareh Mohammadtalebi
        10.22034/amfa.2017.529062
        Manuscript profile
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        91 - Investigate Factors Affecting on the Performance of Agricultural Machinery Companies Based on Taxonomy Algorithm
        Vahide Hajihassani
        Manuscript profile
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        92 - Financial crisis and profit smoothing technique
        Behrooz Ghorbani mehrdad ghanbari babak jamshidinavid Alireza Moradi
        The financial crisis is a long-term process which affects many financial and operational aspects of companiesand the financial reporting system has played a major role in this process by employing different accounting methods.The purpose of this study is to analyze the More
        The financial crisis is a long-term process which affects many financial and operational aspects of companiesand the financial reporting system has played a major role in this process by employing different accounting methods.The purpose of this study is to analyze the financial crisis by applying the method of smoothing the profit and considering the effects of the variables of the positive accounting theory.This research is a semi-experimental analytical researchWhich is applied in terms of purpose and is classified as descriptive research. Data were analyzed using a sample of 144 listed companies in Tehran Stock Exchange,during the period of 10 years (2007 to 2016), the data were combined and the multivariate regression model was analyzed.The results of the first to third hypotheses indicate thatthere is no significant relationship between the lack of liquidity, the inability to fulfill obligations and the failure of the operation with the profit smoothingand the reason for this is that the companies did not pay much attention to the use of smoothing in the context of the financial crisis.There is also a significant and inverse relationship between bankruptcy and profit smoothingwhich shows that companies facing bankruptcy by smoothing the profits seek to improve the conditions of bankruptcy. Manuscript profile
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        93 - The Impact of the Level Liquidity on the Risk of Financial Distress of Companies Listed In the Tehran Stock Exchange
        Shokraleh Khajavi
        This study examines the impact of liquidity on the risk of Financial Distress company pays.  For assessing the level of liquidity of model Opler and for assessing the risk of Financial Distress than two patterns Ohlson (1980) and Zavgyn (1985) is used. To analyze t More
        This study examines the impact of liquidity on the risk of Financial Distress company pays.  For assessing the level of liquidity of model Opler and for assessing the risk of Financial Distress than two patterns Ohlson (1980) and Zavgyn (1985) is used. To analyze the hypothesis of correlation test and multiple linear regression in two ways Enter and Stepwise is used.  This research is qualitative in terms of approach and practical in terms of objectives. Also, the method of correlational research survey is used. Statistical population in this research, listed companies in the Tehran Stock Exchange and the sample included 63 companies during the period 2009 to 2013. According to the Analysis and hypotheses of the study results show that level of liquidity risk of Financial Distress companies affected and with reduced levels of liquidity Financial Distress raises and one of the solutions run companies of the risk of Financial Distress in possession of sufficient cash to meet its cash needs on time. Manuscript profile
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        94 - Asymmetric effects of changes in liquidity volume on the added value of transportation, warehousing and communication
        مهناز حاله کامبیز هژبرکیانی فرید عسگری محمدصادق علیپور
        AbstractOne of the important and effective success factors in development planning is the knowledge of the structure and potential of different sectors in the economy. Transportation, warehousing and communication sub-sectors are among the sectors of the country's econo More
        AbstractOne of the important and effective success factors in development planning is the knowledge of the structure and potential of different sectors in the economy. Transportation, warehousing and communication sub-sectors are among the sectors of the country's economy, which have a significant share in the gross national product, and therefore, the factors affecting its added value should be considered by economic policy makers. On the other hand, in the direction of formulation and macro-economic decisions, the amount and direction of influence (symmetry or asymmetry) of monetary policies, including changes in the volume of liquidity, on macro-variables has always been the concern of economic policymakers. Therefore, in the upcoming study, we will dynamically examine the direction and degree of influence of the added value of the transportation, warehousing and communication sub-sector from asymmetric changes in the volume of liquidity using time series data annually during the period 1363 to 1398 and for For this purpose, the autoregression model with non-linear distribution breaks and the edge test approach have been used. The results show that there is a long-term relationship (collinearity) between the variables of the model, and the shocks of changes in the volume of liquidity in the studied model have an asymmetric effect and have larger coefficients in the long run. Based on other research results, the interest rate of bank loans on the added value of this sub-sector is positive and significant, and the elasticity of the added value of the mentioned sub-sector in the investigated model is higher than the interest rate of bank loans in relation to the changes in the volume of liquidity in the short and long term. Manuscript profile
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        95 - The effect of liquidity and diversification on choosing the optimal investment portfolio
        ABBAS KHADEMPOUR ARANI Mehdi Madani Zaj AmirReza Keyqobadi QolamReza Zomorodian
        Examining the results in the case where there is a liquidity cost and a diversification index in the model, shows that the industries that have more stability in their stock prices over time have more weight in the optimal portfolio. In addition, performing statistical More
        Examining the results in the case where there is a liquidity cost and a diversification index in the model, shows that the industries that have more stability in their stock prices over time have more weight in the optimal portfolio. In addition, performing statistical analysis with total index return data in this case does not show the existence of a significant relationship between the average portfolio return data and the average return of the total index .By removing the cost of liquidity from the model, the examination of the output data shows that the average weight share of the petroleum products industry and the metal ore industry increases compared to the previous state, which means that these two industries are less liquid; Meanwhile, the average return and value at risk of the portfolio increases in this case. Performing statistical analysis with total index return data in this case shows a significant relationship between the average return of the portfolio and the average return of the total index. In the case of removing the diversification limit from the model, the results of the research in this case show that the average weight of the selected industries in the optimal portfolio changes, but this change is not very noticeable, and the result is that this limitation can be ignored in the model; In addition, performing statistical analysis with total index return data shows a significant relationship between the average portfolio data in this case and the average index return. Manuscript profile
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        96 - The Effect of Environmental Risks, Corporate Strategy and Capital Structure on Firm Performance in Petro chemistry Industry
        maryam khalili araghy beitollah akbari moghadam masoumeh ataollahi
        Many scientists have studied coaxial model which examines the relationship between Environment Risk, Corporate Strategy and Capital Structure on Firm Performance. The present study tries to use the existing structures and theories in the context of financial management More
        Many scientists have studied coaxial model which examines the relationship between Environment Risk, Corporate Strategy and Capital Structure on Firm Performance. The present study tries to use the existing structures and theories in the context of financial management and corporate strategy to examine the influence of these variables on the performance. It also aims to shed light on the relationship between financial management and corporate strategy. To examine the relationship between structures and dimensions and to understand the existence of their relationship, some alternatives investigated by the previous studies have been reviewed. In designing this project, the data on petrochemical companies gathered within a period of 5 year (2001-2005) were investigated. All companies holding shares in Tehran Stock Exchange Hall of Petrochemical Industries comprise the statistical population of the study. To analyze the research data, descriptive statistics including means, standard deviation as well as inferential statistics including correlation coefficients, Pearson and ANOVA tests were carried out by SPSS software. In general, the results show that the variable of coaxial model consisting of the environment risks, corporate strategy and capital structure have somehow an impact on the company performance. To sum up, the use of the model such as the coaxial model has a positive effect on corporate performance. Manuscript profile
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        97 - The effect of audit quality on reducing credit risk and liquidity risk of banks listed on the Tehran Stock Exchange
        mohamad mohamadi morteza kazemi
        Abstract: Independent and effective auditing is a part of corporate governance system. Banking supervisors need to pay attention to the effectiveness and necessity of an independent auditor. This means that following the audit quality of management, take corrective act More
        Abstract: Independent and effective auditing is a part of corporate governance system. Banking supervisors need to pay attention to the effectiveness and necessity of an independent auditor. This means that following the audit quality of management, take corrective action in a timely manner in response to credit and liquidity risks. In general, the activity of an independent auditor is a necessary assurance about the activity of banks, thus the risk of loss, liquidity and damage to the bank's credit helps. If these risks are not well managed, they can lead to the loss of banks and financial institutions and ultimately their bankruptcy. The purpose of the research is applied research. This research is of descriptive correlation type and research method is post-event type. A multivariate regression model will be used to test the hypotheses. The library method is used to collect information about the literature on the subject and background of the research and the formulas for extracting the research variables to test the research hypotheses, the financial information of banks listed on the Tehran Stock Exchange in the period from 1394 to 1398 has been used and the final sample consists of 15 companies that were selected after applying the restrictions in this study. The experiments were performed using Eviews8 software and panel data statistical technique (fixed effects). With the findings of the first hypothesis, it was observed that audit quality has a significant inverse effect on credit risk. The second hypothesis also showed that audit quality has a negative and significant effect on liquidity risk. As a result, it was found that the quality of auditing in banks can lead to a reduction in credit risk and liquidity risk. Manuscript profile
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        98 - Investigating the Impact of Economic Uncertainty on Stock Liquidity with an Emphasis on CEO Tenure
        Arash Derajhshanmehr roghayeh nazari Ali Mashayekhi
        In the current study, the impact of economic uncertainty on stock liquidity has been investigated with an emphasis on CEO tenure. This research is practical in purpose, and from a correlation methodological perspective, it is causal (post-event). The research population More
        In the current study, the impact of economic uncertainty on stock liquidity has been investigated with an emphasis on CEO tenure. This research is practical in purpose, and from a correlation methodological perspective, it is causal (post-event). The research population consists of companies admitted to the Tehran Stock Exchange. A systematic elimination sampling method has been used to select 124 companies from 2012 to 2019. In this research, macroeconomic variables, including changes in the inflation rate, interest rate, exchange rate and gross domestic product (GDP), have been used to assess economic uncertainty. Furthermore, both autoregressive conditional heteroscedasticity (ARCH) and generalized autoregressive conditional heteroscedasticity (GARCH) models have been employed to investigate uncertainty. Finally, by using the panel data model and multivariate regression, research hypotheses have been investigated. According to the results of the classical hypothesis test based on variance heterogeneity, the generalized least squares (GLS) method has been utilized. According to research findings, economic uncertainty has a substantial impact on stock liquidity. The interactive effects of CEO tenure along with changes in inflation and interest rates on stock liquidity are inverse and significant. For economic growth and exchange rate changes, however, they are positive and significant. . Manuscript profile
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        99 - The Effects of Money Market on Gold Market with a Systemic Dynamics Approach
        fatemeh khani Ahmad Jafari Samimi amirmansor tehranchian mohammdali ehsani
        10.30495/eco.2021.1926550.2501
        Abstract The purpose of this paper is to apply the system dynamics approach to forecasting the price of gold in Iran, identify the factors affecting the price of gold and simulate the trend of the impact of monetary policy on the price of gold in the period 1405-2010. More
        Abstract The purpose of this paper is to apply the system dynamics approach to forecasting the price of gold in Iran, identify the factors affecting the price of gold and simulate the trend of the impact of monetary policy on the price of gold in the period 1405-2010. The simulation is performed with Wenzim software. In different scenarios, the present paper simulates the change in liquidity volume, consumer price index and bank interest rates on the gold market. The results show that the price of gold is not only affected by the global ounce price and the value of the dollar, but also the control of liquidity and curbing inflation will play a significant role in stabilizing the gold market. The results confirm that the volume of liquidity and the consumer price index have a direct impact and a significant role in increasing the price of gold. The findings also show that changes in bank interest rates have no effect on changes in gold prices. Manuscript profile
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        100 - The Effects of Liquidity Creation on Systemic Risk: by Concentration on Banks Balance Sheet Structure
        somaye sadeghi
        10.30495/eco.2023.1983098.2740
        This study investigates the determinants factors of systemic risk in Iranian banks during 2013-2022. The contribution is on banks liquidity creation and their balance sheet structure. For this purpose, the systemic risk of banks has been estimated and ranked by marginal More
        This study investigates the determinants factors of systemic risk in Iranian banks during 2013-2022. The contribution is on banks liquidity creation and their balance sheet structure. For this purpose, the systemic risk of banks has been estimated and ranked by marginal expected shortfall (MES) index, using dynamic multi-garch models. The results by using Panel GMM method indicate that an increase in the balance sheet liquidity creation causes the vulnerability of banks to increase. Also, the liquidity creation on the side of assets (holding non-cash assets) significantly increases the systemic risk for banks, while which on the side of debts (holding of demand deposits) reduces the banks systemic risk and their fragility. In addition, the findings indicate that the bigger the size, the more non-traditional activities (non-interest income) and the higher the ratio of non-performance loans, the higher systemic risk in banks. while the higher capital adequacy in banks, the lower the systemic risk. Manuscript profile
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        101 - The non-linear effect of liquidity and debt repayment on banks profitability in Iraq
        Kiumars Shahbazi Mohammad Ali Mahdi Abed
        10.30495/eco.2024.1997671.2793
        This 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 More
        This 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
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        102 - Effect stock liquidity and excess leverage: Emphasis on information asymmetry
        Allah Karam Salehi Aliyar Mehdipour Abbas Baharipour
        Maximizing shareholder wealth and reducing the capital cost are among the goals of financial managers. In this regard, deciding on financial leverage (capital structure) is one of the most effective ways to achieve these goals. On the other hand, the value of the compan More
        Maximizing shareholder wealth and reducing the capital cost are among the goals of financial managers. In this regard, deciding on financial leverage (capital structure) is one of the most effective ways to achieve these goals. On the other hand, the value of the company's stock and the expected return of shareholders are also affected by the stock liquidity factor. Lower stock liquidity is expected to lead to relatively greater use of debt. In addition, information asymmetry plays a key role in how managers make decisions about how to finance and determine the company's capital structure. Therefore, this paper investigates the effect of information asymmetry on the relationship between stock liquidity and excess leverage in the Tehran Stock Exchange during 2012 to 2018 using the information of 133 selected companies. The results show that there is a negative and significant relationship between stock liquidity and excess leverage and information asymmetry moderates this relationship and reduces its tensity. In fact, in companies with high information asymmetry, due to the lack of simultaneous access to information and the existence of information asymmetry, the negative impact of liquidity on excess leverage is less tensity and less. Manuscript profile
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        103 - The Impact of Investment Decisions and Tax Management on Stock Liquidity
        Amir Shams
        The purpose of this study is to investigate the impact of investment decisions and tax management on stock liquidity and also to investigate the moderating role of company liquidity (current ratio) in the impact of investment decisions and tax management on stock liquid More
        The purpose of this study is to investigate the impact of investment decisions and tax management on stock liquidity and also to investigate the moderating role of company liquidity (current ratio) in the impact of investment decisions and tax management on stock liquidity. In this regard, 140 companies (1400 year-company views) during the period 2010 to 2019 have been studied. In order to test the research hypotheses, a multiple linear regression model has been used using panel data with a random effects pattern. The results of this study show that at the same time, investment decisions based on the growth of current and fixed assets and tax management have a significant positive effect on stock liquidity. The results also showed that investment decisions based on the growth of current and fixed assets and tax management separately have a significant positive effect on stock liquidity. In addition, the results indicate that the company's liquidity has a positive and significant effect on the impact of investment decisions based on the growth of current assets and tax management (simultaneously and separately) on the liquidity of the company's shares. However, in this study, no evidence of significant impact of corporate liquidity on the simultaneous impact of investment decisions based on fixed asset growth and tax management on stock liquidity was found and also based on the evidence presented in this study, it was claimed that corporate liquidity can not influence growth decisions based on growth. Adjusts fixed assets on stock liquidity. Manuscript profile
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        104 - The analysis of relationship between economic uncertainty shock and stock market illiquidity using Time-Varying Structural VAR Model (TVSVAR)
        seyed hamed poorhosseini Hossein Sharifi Renani Saeed Daie-Karimzadeh
        Uncertainty can have profound consequences for both companies and individuals hoping to make optimal decisions for their benefit. Economic agents in financial markets are generally concerned about uncertainty in the political, economic and environmental spheres. When pr More
        Uncertainty can have profound consequences for both companies and individuals hoping to make optimal decisions for their benefit. Economic agents in financial markets are generally concerned about uncertainty in the political, economic and environmental spheres. When prior expectations are compromised by the increased likelihood of uncertain outcomes, agents must wait for the waves of uncertainty to dissipate before making sound financial decisions. In this research, the relationship between economic uncertainty shock and illiquidity of the stock market has been analyzed using the Time-Varying Structural Vector Auto-regressive model TVSVAR during the years 2008:4-2020:3. The obtained results indicate that the effect of the economic uncertainty shock on illiquidity was positive and increasing in most of the periods and years under investigation, and the effect of the shock of liquidity volume growth on illiquidity had a decreasing effect in most of the periods and years. The effect of inflation shock on illiquidity increased in all the studied periods and years, but in 2016 and 2020, it had a decreasing effect in the final period. Manuscript profile
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        105 - State Dependent Effects of Monetary Aggregates on Exchange Market Pressure in Iran's Economy
        Mohsen Tooti Seyed Yahya Abtahi Jalil Totonchi Zohreh tabatabaeinasab
        The purpose of the present study is to investigate the effects of monetary aggregates on exchange market pressure of Iran's economy using quarterly data and during the period of 2001:02- 2021:04. For this purpose, exchange market pressure index has been calculated More
        The purpose of the present study is to investigate the effects of monetary aggregates on exchange market pressure of Iran's economy using quarterly data and during the period of 2001:02- 2021:04. For this purpose, exchange market pressure index has been calculated by Edwards (2002) and Kumah (2007) approach; The results show that the exchange market pressure index of Iran's Economy follows a nonlinear pattern. After that, using the unit root test of Lee and Strazisich (2003), which is based on the minimum Lagrange coefficient (LM) test, the time series has been confirmed in terms of the structural break point, and then using by the approach proposed by Lee and Strazisich (2003), the residual of the time series has been extracted. The results of Markov Switching GARCH model indicate that in the low regime of exchange market pressure, the monetary base variable with a coefficient of 0.29 has the greatest effect on the pressure of the Iranian currency market, followed by liquidity and money variables respectively with coefficients 0.06 and 0.01 increase the pressure of the currency market, with the switch of the regime and being in the high regime of exchange market pressure, the variables of monetary base, liquidity and money with the coefficients of 0.88, 0.54 and 0.31 lead to pressure in the currency market, therefore, the application of contractionary monetary policy and control of monetary aggregates should be considered as a strategic point for economic policy makers. Manuscript profile
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        106 - The Role of Financial crises in the impact of Liquidity on Stock Returns: Empirical evidence from Tehran Stock Exchange (TSE)
        Ehsan Rajabi
        The possibility of financial crises in the recent years is more than ever during the development of financial markets. In the last two decades, economic figures and financial statements show an unprecedented increase in corporate bankruptcies. The financial crisis can s More
        The possibility of financial crises in the recent years is more than ever during the development of financial markets. In the last two decades, economic figures and financial statements show an unprecedented increase in corporate bankruptcies. The financial crisis can spread to financial markets and play role for impact of liquidity on stock. In this paper, we investigate the effect of liquidity on stock returns by using panel data method for 177 listed companies on the Tehran Stock Exchange in the period of 2007-2020.The results indicate that liquidity during the global financial crisis does not have a significant effect on share returns. In bankrupt companies, share returns have also increased by liquidity has increased. In other words, by increasing the share liquidity of the bankrupt companies, share returns will be increased. All so, when economic growth (year 2007, 2012, 2013, 2015, 2018, 2019) is negative, liquidity affect returns pasetively. The development of new financial instruments such as investment funds will increase the liquidity of stocks and, of course, increase stock returns, which will ultimately improve the development of the capital market for attracting liquidity and micro-capital of society to this financial market. Manuscript profile
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        107 - Financial Market Illiquidity Shocks and Dynamics of Economic Growth with Threshold Vector Autoregression Approach
        hamed poorhosseini Hossein Sharifi Renani Saeed Daie-Karimzadeh
        Liquidity is an important indicator for the development of the capital market because it shows that a capital market with high liquidity and improved capital allocation leads to an increase in the long-term prospects of economic growth. The present research examines the More
        Liquidity is an important indicator for the development of the capital market because it shows that a capital market with high liquidity and improved capital allocation leads to an increase in the long-term prospects of economic growth. The present research examines the relationship between financial market illiquidity impulses and economic growth dynamics in the period of 2008:4-2021:4. Amihud index (2002) has been used to extract the illiquidity index of the stock market. Using generalized Dickey-Fuller unit root (ADF) and Heggie tests, the normality of the time series has been confirmed. The results of threshold vector autoregression (TVAR) estimation show that the effect of illiquidity on inflation in high and low regimes is positive and significant, and also the effect of illiquidity on inflation is greater at lower levels of illiquidity. The effect of illiquidity on economic growth is negative. On the other hand, lack of liquidity at higher levels can cause more fluctuations in economic growth. Therefore, in the field of economic growth management, it is necessary for policymakers to pay special attention to the liquidity situation in the financial markets. In severe recession situations, reducing illiquidity in financial markets by using market stabilization funds can prevent recession and improve economic growth. Manuscript profile
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        108 - Investigating the Relationship Between Interest Rates and Liquidity in Tejarat Bank
        Ali Akbar Baghestani Reza Rahimi
        Interest rates are one of the most effective channels of money transfer. Interest ratescan potentially affect the economy as a whole by determining the level of manyeconomic variables such as investment, capital flows, credit demand, bankprofitability, liquidity and exc More
        Interest rates are one of the most effective channels of money transfer. Interest ratescan potentially affect the economy as a whole by determining the level of manyeconomic variables such as investment, capital flows, credit demand, bankprofitability, liquidity and exchange rates. Since the profit curve can absorb andpredict the future progress of the economy, it is expected that by creating theconditions for future expectations, it will affect the behavior and profit of the bankin creating more liquidity. Therefore, in this study, Auto Regressive Distributed Lag(ARDL) model was used to investigate the effect of interest rates on liquidity. Theresults showed that the variables of interest rates and capital have a positive andsignificant effect on liquidity, while inflation has a negative effect. Therefore, achange in bank interest rates will lack the necessary efficiency to stimulate the realsector of the economy. Determining bank interest rates without considering changesin inflation rates cannot explain why there is no savings in banks. In order forgovernments to be able to provide the central bank with the tools it needs tostimulate the real sector of the economy, it is essential that efforts be made to reduceeconomic risk in addition to empowering the central bank to rationalize bank interestrates. In this case, the central bank will be able to use bank interest rates as anefficient tool to manage liquidity and convert it into investment and productionflows. Manuscript profile
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        109 - Oil revenues and economic growth in Iran: evidence from the space-state model
        Seyed Ahmad Hashemi Miri hamid kakaei Gholamreza Abbasi Hooshang Momeni Vesalهan
        One of the most important concerns of policymakers is achieving high economic growth. Accordingly, in the present study, the effect of oil revenues, human capital, liquidity and investment on economic growth in the period of 1991-2021has been investigated in the form of More
        One of the most important concerns of policymakers is achieving high economic growth. Accordingly, in the present study, the effect of oil revenues, human capital, liquidity and investment on economic growth in the period of 1991-2021has been investigated in the form of space-state model. The results of the research showed that the impact of oil revenues, investment and human capital on economic growth was positive and decreased over time. Also, liquidity has a uniform negative effect on economic growth. Therefore, improving the performance of the National Development Fund can provide the basis for a greater positive impact of oil revenues on economic growth. Also, if macroeconomic stability is not established, the increase in liquidity will lead to the transfer of money to non-productive activities and subsequently to the reduction of economic growth. On the other hand, in the conditions of macroeconomic instability, it will not be possible to increase the formation of fixed capital, and in this way, the improvement of economic growth will be limited. Manuscript profile
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        110 - The effect of macro monetary and financial variables on stock price index of Tehran Stock Exchange
        mohammad sadegh Sheykh
        In recent decades, the role of the capital market and the expansion of financial markets had a relatively high relationship with the economic growth of countries. Countries such as America, Japan, England, South Korea, Singapore and other developed countries have made g More
        In recent decades, the role of the capital market and the expansion of financial markets had a relatively high relationship with the economic growth of countries. Countries such as America, Japan, England, South Korea, Singapore and other developed countries have made great use of these financial markets and especially the stock exchange for economic development and growth. In this research, by conducting the ARDL test in the period of 1991-2020, we investigated the long-term and short-term relationships between the variables, with a one percent change in the variables of liquidity and consumer price index, respectively, 26. 4.0.34% will be added to the stock price index of Tehran Stock Exchange. the coefficients of all variables can be interpreted at a significant level of 5%. with a one percent change in the variables of liquidity volume and consumer price index, 1.46, 0.52 percent will be added to the stock price index of Tehran Stock Exchange, respectively. Meanwhile, with a one percent change in monetary base variables and financial development, the stock price index of Tehran Stock Exchange will decrease by 0.86% and 0.67%, respectively. it can be said that with increasing liquidity and after that, the price level increases, the value of assets and production inputs of companies and economic institutions increases. If the price increase of listed companies' products is more than the growth of production costs, the profits of companies will increase and inflation from the future cash flow channel of earnings can have a positive effect on stock prices. Manuscript profile
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        111 - The Impact of Implementing Privatization Program in Tehran Stock Exchange Price Index (TEPIX)
        Sohaila Khoshnevis Yazdi Ibrahim Khush Ghamat
        In this study, by analyzing the quarterly data of Tehran stock exchange price index, liquidity, the transfer of state-owned enterprises to the non-governmental sector through the stock exchange and the total transfer of shares during the years 2003-2004, and collecting More
        In this study, by analyzing the quarterly data of Tehran stock exchange price index, liquidity, the transfer of state-owned enterprises to the non-governmental sector through the stock exchange and the total transfer of shares during the years 2003-2004, and collecting about 48 samples using the Vector Self-Regression Model (VAR), the assumption of the influence of the independent variables on Tehran stock exchange price index has been tested. In addition to the assignment of state-owned enterprises to the non-state sector by the stock exchange, two variables of the liquidity volume and total transfers can also be effective in evaluating these effects on the index.   Manuscript profile
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        112 - Examination of the Relationship between Internal and External Liquidity and the Capital Cost
        Mohsen Hamidian Mohammad Hussein Asadi Moshizi
        The cost of capital is important as a criterion for making investment decisions, creating the optimal capital structure, measuring the performance indicators and declining the future liquidity to determine the value. The provided funds are used in the assets with the ho More
        The cost of capital is important as a criterion for making investment decisions, creating the optimal capital structure, measuring the performance indicators and declining the future liquidity to determine the value. The provided funds are used in the assets with the hope to gain efficiency. A company works optimally when the efficiency of the company is more than its costs. Therefore, the cost of capital is the minimum rate of return that gaining it is essential to maintain the value of the company. Given the importance of liquidity of the company assets in order to reduce the cost of capital, especially in the financial crisis, the impact of this factor is examined on the cost of company capital. The managers should have enough information about the cost of capital, which is often called the minimum expected rate of return for the items such as taking decisions for capital budgeting, establishing optimal capital structure and so on. The required information in this research is extracted from the text of the audited financial statements and explanatory notes of the companies listed in Tehran Stock Exchange for the years 2010 to 2014. The time period of the research consists of 5 consecutive years from 2010 to 2014 and the research sample includes 195 companies listed in Tehran Stock Exchange. The method of hypotheses testing in this study is the panel data which is done by using software EVewis8 and according to the output of the software, the significance of the relationships between variables is investigated. The results of testing the research hypotheses suggest that a liquid market for real assets increases the operational flexibility and also the ability to create cash. Manuscript profile
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        113 - Impact of Monetary PolicyonInterest Rate in Iran
        Zahra KeshavarzMohammadian Oranous Parivar Ali Hasanzadeh
        Monetary policy is considered as one of the main economic tools, accompanying fiscal policies in forming a set of powerful items for applying economic policies.The main role ofmonetarypolicyis controlling money volume and liquidity.This paper reviews the impact of monet More
        Monetary policy is considered as one of the main economic tools, accompanying fiscal policies in forming a set of powerful items for applying economic policies.The main role ofmonetarypolicyis controlling money volume and liquidity.This paper reviews the impact of monetary policy on interest rate in Iran during 1352-1385 via OLS.To this aim, the relation between money volume and interest rate is investigated through ordinary least square method. The results indicate that money volume has on direct effect on interest rate. In addition, there is a direct relation between consumer price index and interest rate. Finally, a direct relation between national income and interest rate is concluded. Manuscript profile
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        114 - Liquidity Shock and Expected Stock Return Case study: listed companies on Tehran Stock Exchange
        Hossein Karbasi Yazdi Seyed Saeid Daryabari
        The speed of liquidity of the stock is an important factor of decision making at the capitalmarket. Investor considers the amount of liquidity in choosing investment options besides theirrisk and return. The present study aims to assess the relationship between liquidit More
        The speed of liquidity of the stock is an important factor of decision making at the capitalmarket. Investor considers the amount of liquidity in choosing investment options besides theirrisk and return. The present study aims to assess the relationship between liquidity shocksand expected stock returns on Tehran Stock Exchange. Target population of the researchconsists of all listed companies on Tehran Stock Exchange and 115 companies of the statisticalpopulation were chosen as the research sample from 2007-2012. It is a descriptive study inwhich correlational approach is applied. Research variables include liquidity shock andexpected stock returns which are examined through the application of statistical methods. Theachieved findings indicate that there is a significant direct relationship between liquidity shockand expected stock returns at the listed companies on Tehran Stock Exchange Manuscript profile
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        115 - The Relationship between Corporate Investment and Stock Liquidity with an Emphasis on the Role of Financial Constraints in the Iranian Capital Market
        Sara Mosayebi Roya Darabi
        The main purpose of the present study is to examine the relationship between corporate investment and stock liquidity with an emphasis on the role of financial constraints of Iran's capital market in the companies accepted at Tehran Stock Exchange from 2013 to 2017. The More
        The main purpose of the present study is to examine the relationship between corporate investment and stock liquidity with an emphasis on the role of financial constraints of Iran's capital market in the companies accepted at Tehran Stock Exchange from 2013 to 2017. The theoretical foundations of the present study were collected using the library research method through the books, theses papers, and the statistical information was collected using financial statements and relevant notes. The present study employed panel method as the analysis method, and it used EVIEWS7 for analysis. The results of the study suggest that there is a significant relationship between corporate investment and stock liquidity. In addition, the financial constraints have an inverse and significant effect on the relationship between corporate investment and stock liquidity Manuscript profile
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        116 - Evaluation on the Relationship between Assets Liquidity and Stock Liquidity
        Manizheh Firoozi Hassan Hemmati Hassan Ghodrati
        Stock Liquidity risk can be thought as one of the factors affecting the investors expected return. Clarifying a measure according to the specifics of the company to measure the stock liquidity could help the investors to make better decisions. In this study, we examine More
        Stock Liquidity risk can be thought as one of the factors affecting the investors expected return. Clarifying a measure according to the specifics of the company to measure the stock liquidity could help the investors to make better decisions. In this study, we examine the relationship between assets liquidity and stock liquidity in hole of druggist firms listed in Tehran Stock Exchange during the years 1387 and 1388. We use the turnover ratio. The results show that there is a significant relationship between the assets liquidity and stock liquidity. This relationship depends on market expectations regarding the deployment of the firm's liquid assets. Thus our hypothesis links stock liquidity to managerial actions that change the liquidity of the firm's assets, such as investment financing, and payout. Consistent with my prediction, I find that after controlling for firm fixed effects, increase in asset liquidity increases stock liquidity, too.The relation is stronger when the manager is less likely to convert liquid assets into illiquid assets such as for low market to book, during economic recessions, and when expected payout is high. Manuscript profile
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        117 - Survey the influence of stock liquidity on the stock return listed at the Tehran stock Exchange
        Younes Badavar Nahandi Mehdi Zeynali Azhdar Maleki
        The speed of liquidity of the asset is an important factor of dicision makings ai the capital market.investors consider the amount of liquidity in choosing investment options besides their risk and retum.the impact of this attribute of the securities on the variables of More
        The speed of liquidity of the asset is an important factor of dicision makings ai the capital market.investors consider the amount of liquidity in choosing investment options besides their risk and retum.the impact of this attribute of the securities on the variables of capital market is the subject of many financial researches.the purpose of this research is surveying the influence of stock liquidity on the stock return corporations listed at the Tehran stock exchange.In this research Bid-Ask spread and share Turnover were considered as the criteria of liquidity and the size of the firm&the ratio of book value to market value and finance leverage were taken as the control variables.In this way,89 firm of the statistical population were selected as the research sampel from 2005-2009.This study is descriptive-comparative with applied goals and Research hypothesis were tested using combined regression method.The results of the research showed that,there is a positive relationship between Bid-Ask spread and share turnover as the criteria of liquidity with stock return corporations listed at the Tehran stock exchange.           Manuscript profile
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        118 - Application of optimal theory for Forcast Path of Iran Liquidity
        Mostafa Rajabi Homayun Ranjbar Fojan Tadayon
        Since the process of economic development rests on the five-year program is to develop. Implement these programs require financial resources and liquidity expansion that can to lead to negative economic effects may include swelling. The optimal path of liquidity dete More
        Since the process of economic development rests on the five-year program is to develop. Implement these programs require financial resources and liquidity expansion that can to lead to negative economic effects may include swelling. The optimal path of liquidity determining based on the objectives of develop programs. Therefore, the comparison of used this path can help to policy makers. Accordingly, the aim of this paper to forecast optimal path of liquidity during developed fifth. So, Liquidity volume is extracted using the results of simultaneous equations based on the structure of the economy in optimal control theory. In this regard, we tried to estimate the simultaneous equations system by a three-stage least squares method using a time series of variables during the period 3691- 7002,and the optimum amounts to forecast during the period 7002-7032.in end, optimal path of liquidity by used liquidity growth rate based on development plans goal.   Manuscript profile
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        119 - The role of effective factors on Net Spread on private and State-owned Commercial Banks in Iran
        Rafik Nazarian Amirabbas Hasheminejad
        The Spread is generally considered as a sign of efficiency in any Banking system throughout the world. This important indicator is equal to the difference of two ratios which are the revenues from facilities to total facilities of the bank ratio. An increase of this ind More
        The Spread is generally considered as a sign of efficiency in any Banking system throughout the world. This important indicator is equal to the difference of two ratios which are the revenues from facilities to total facilities of the bank ratio. An increase of this indicator means more cost of raising funds for demanders of funds. But it is, on the contrary, a signal for higher efficiency of banking system. The main objective of this research is to measure the net spread of public banks and appraisal of effects of three groups of banking policy making and aggregate economy variables on net spread changes throughout the years 1377 to 1386.Calculations show that the average net spread of public banks throughout 1377 to 1386 equals 6.161 and from 1382 to 1386. it has fallen to 5.361.The outcomes of econometrics model reveal that the rate of change in most banking financial indications (such as sight deposit to total deposit ratio, non performing loan ratio, legal deposit ratio and non-interest based revenue to total revenue generating asses ratio) exert meaningful but different effects on the rate of change of underlying variable. Although the private banks have been operating since 1381, the positive multiplier of the herfindahl – Hirschman Index or HHI concentration indicator shows that banking industry in Iran has continually been a monopoly of public sector. However the related numeral multiplier implies a gradual change of current structure towards less monopoly. Manuscript profile
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        120 - The Impact of Credit Risk on the Banking System's Performance: (PANEL VAR Approach)
        علی احمدی حسین‌علی احمدی جشفقانی اصغر ابوالحسنی هستیانی
        Iran's banking industry due to the lack of adequate development of capital markets and inefficiencies in the market long-term and short-term financing to undertake major economic activity. Accordingly, lending an important part of the financing operations of any bank a More
        Iran's banking industry due to the lack of adequate development of capital markets and inefficiencies in the market long-term and short-term financing to undertake major economic activity. Accordingly, lending an important part of the financing operations of any bank account, but the probability of timely repayment of the loan and facilitates the credit risk in banks and inattention in this regard to adverse results in the performance of the banks, if the amount of risk in the public and private banks also have significant differences, it is also the impact of such risks on the performance of these banks will be different. Given the importance of this study is to evaluate the effect of credit risk on the banking system as well as comparison of public and private ‌Y credit risk in banks during the period 1383-1392 has been discussed. In this regard, the operation panel data regression methods were used. The results showed jolts to the size of a standard deviation leads the credit risk of bank liquidity, return on assets and profitability of banks will be reduced. Based on the results, the long-term role in determining the profitability of banks is credit risk, but liquidity and efficiency in the long run significantly affected ‌Ha bank assets with credit risk. Manuscript profile
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        121 - ارزیابی ، علل و پیامدهای عمده بحران اقتصادی در ایران
        محسن رضایی
        Manuscript profile
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        122 - Presenting a Comprehensive Model for Measuring the Liquidity Risk of Banks Listed on the Tehran Stock Exchange (Case Study: Mellat Bank)
        Toraj Azari Mojtaba Tastori Reza Tehrani
        10.30495/fed.2022.694721
         AbstractLack of liquidity management of banks is one of the most important risks for any bank and lack of attention to liquidity risk leads to irreparable consequences. Preventing liquidity risk requires a comprehensive measurement method but liquidity risk is com More
         AbstractLack of liquidity management of banks is one of the most important risks for any bank and lack of attention to liquidity risk leads to irreparable consequences. Preventing liquidity risk requires a comprehensive measurement method but liquidity risk is complicated issue, and this complexity makes it difficult to provide a proper definition. In addition, defining liquidity risk determinants and formulation of the related objective function to measurement its value is a difficult task. To address these problems and assess liquidity risk and its key factors, in this study we propose a model that uses artificial neural networks and Bayesian networks. Design and implementation of this model includes several algorithms and experiments to validate the model. In this paper, we have used Levenberg-Marquardt and Genetic optimization algorithms to teach artificial neural networks. We have also implemented a case study in Bank Mellat to demonstrate the feasibility, efficiency, accuracy and flexibility of the research liquidity risk measurement model.  Manuscript profile
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        123 - Presenting A Model In Liquidity Management Decision Making Based On monetary instruments In Iran.
        omid yonesi gholamreza memarzad tehran
        This paper examines the liquidity management decisions based on the country's monetary instruments. First, the success rate of monetary instruments performance was examined and then in line with the studies and literature discussed, the decisions made in the past ten ye More
        This paper examines the liquidity management decisions based on the country's monetary instruments. First, the success rate of monetary instruments performance was examined and then in line with the studies and literature discussed, the decisions made in the past ten years; beside, type of implementation of this policy based on multi-criteria decision making model SWARA and group decision making model in policy making have been discussed. In next Step, based on the monetary policy indicators that are derived from the research, the effects of monetary instruments are measured. This study is qualitative in terms of research data and Survey data are collected through 60 questionnaires and interviews. The validity of the questionnaire was confirmed based on the views and opinions of the professors in this field. Reliability of results was also confirmed and the results showed that the amount of decisions in executing liquidity management was different and in order to increase the impact of liquidity management on the country's economy and society's welfare, monetary instruments and its priority must be scrutinized. Manuscript profile
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        124 - Modeling to Predict the Liquidity Risk of Iran's Government Banks Using Artificial Neural Networks and Accounting Indicators
        Mahdi Khosroyani Farzaneh Heydarpoor
        10.30495/faar.2022.697091
        AbstractOne of the most important risks of bank is liquidity risk, so banks must have appropriate information systems to measure, predict and control liquidity risk. Banks manage their liquidity risk using different tools and methods, depending on the conditions and typ More
        AbstractOne of the most important risks of bank is liquidity risk, so banks must have appropriate information systems to measure, predict and control liquidity risk. Banks manage their liquidity risk using different tools and methods, depending on the conditions and type of activity. Despite the fundamental differences in the size, type of activity and structure of Government owned banks,is it possible to model and forecast the liquidity risk of state banks? To answer this question in this study, using the accounting information of Government banks in Iran, and the research accounting indicators were calculated and liquidity risk was modeled by the multilayer perceptron neural network. Then, the difference between the results of the model and the real data was measured by MSE. The research results showed that the designed model can be used to predict the liquidity risk of Iran's Government owned banks. Manuscript profile
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        125 - 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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        126 - Integrated Multi-Objective and Econometrics Model for Stock Portfolio Optimization
        Abbas KhadempourArani Amirreza Keyghobadi Mehdi MadanchiZaj Gholamreza Zomorodian
        10.30495/faar.2022.693677
        AbstractFor the growth and development of countries, companies, and even individuals, investment on their part is necessary and vital, and these investments should be optimal for more benefit and effectiveness. Since the introduction of Markowitz's theory and even befor More
        AbstractFor the growth and development of countries, companies, and even individuals, investment on their part is necessary and vital, and these investments should be optimal for more benefit and effectiveness. Since the introduction of Markowitz's theory and even before that, the concept of optimal investment as a compromise between risk and return has been considered. During several decades after that, new definitions and dimensions of optimal criteria and especially risk have been proposed.In this article, an attempt has been made to present a model of liquidity risk using the concept of diversification in the form of Shannon's entropy and an econometric approach, an optimal portfolio of investments with the lowest risk and the highest return, in the form of a portfolio of 4 industrial groups of the Tehran Stock Exchange, including metal groups. Essentially, banks, oil products and metal ores, which have the highest market value of the Iranian stock market, should be provided.The statistical data of this research for selected industries include daily price index return and daily price gap return between 2015 and the end of 2019. To calculate the liquidity risk, using multivariate GARCH methods, the variance-covariance matrix of price index return and price gap, calculated and used in the presented model, and finally the optimal weight using coding in MATLAB software and using algorithm optimization method The genetics of non-excessive ranking of the second edition has been calculated for selected industries.The output results of the model show that the optimal weight of the groups with less variance in the optimal portfolio is higher. Besides, the effect of removing the concept of liquidity from the model leads to an increase in the weight of industries that have less liquidity, and along with the increase in risk, the return of the optimal portfolio also increases in this case. Also, by removing the limitation of Shannon's diversification index, the output results show that this limitation has almost no effect on the optimal weights (at least in this model). Manuscript profile
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        127 - Liqidity risk management in open market operations with GlueVaR criteria
        Rasoul khoshbin Farzin Rezaei Mohammad Ali Rastegarsorkheh
        Due to the prevalence of granting interbank credit for collateral in order to start open market operations (OMO) in Iran and the need for more liquidity risk management in banks, in this study to manage liquidity risk in interbank payment systems, from the statistical c More
        Due to the prevalence of granting interbank credit for collateral in order to start open market operations (OMO) in Iran and the need for more liquidity risk management in banks, in this study to manage liquidity risk in interbank payment systems, from the statistical community Daily Data of New Payment Systems in the Banking Industry and Statistical Sample of the Time Series The sum of the daily data balances of the payment systems of an Iranian bank from 01/01/94 to 05/31/1398 has been used. Then, according to the data structure and the fact that the time series were not the sums of the normal payment systems, the GlueVaR criterion was used, which was introduced to eliminate the shortcomings of the two CVaR and VaR criteria and is a linear combination of them. Accordingly, the Liquidity Risk appetite chart has been reported with six different scenarios so that banks can store the cash flow of liquid assets in proportion to their attitude. The results show using the GlueVaR criterion to manage liquidity risk, due to the use of two different levels of confidence and two metrics of risk and expected loss, has the necessary flexibility for different attitudes towards liquidity risk. Manuscript profile
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        128 - Multivariate Portfolio Optimization under Illiquid Market Prospects
        Nastaran Sarvipour fatemeh samadi
        The aim of the current research is to optimize the multivariate portfolio optimization algorithms under illiquid market (commodity and financial) perspective. In this regard, an optimization model for portfolio risk-return assessment with LVaR constraints is investigate More
        The aim of the current research is to optimize the multivariate portfolio optimization algorithms under illiquid market (commodity and financial) perspective. In this regard, an optimization model for portfolio risk-return assessment with LVaR constraints is investigated using reasonable financial and operational scenarios. This approach is achieved by minimizing LVaR. The research method is descriptive and correlational. The statistical population is the companies admitted to the Tehran stock exchange, which were selected by systematic elimination sampling (screening) of 100 companies that were present in the stock exchange during the financial years of 1392-1399.The required information was extracted through the new Rah Avard software and the official website related to the Tehran Stock Exchange Organization. The unit root test of the variables was investigated using the method of Lin and Chui, and the basics of econometrics were discussed, and the variables were investigated using the vector auto-regression method (VAR) using Eviews and MATLAB statistical software. Based on the results, it can be said; Liquidity affects commodity and financial markets. Also, the effect of optimization algorithms and modeling techniques on portfolio management and risk assessment was confirmed Manuscript profile
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        129 - Design and Explain Stock Market Liquidity Model of Product Market Competition Based on Adaptive Econometric Model and Fuzzy Logic Approach
        hassan Heydari Sultan Abadi hossein panahian
        One of the risks associated with a company's stock is liquidity. Stock with high liquidity are attractive to shareholders and investors and increase demand. Stock liquidity is one of the most effective measures of market efficiency, especially in terms of information an More
        One of the risks associated with a company's stock is liquidity. Stock with high liquidity are attractive to shareholders and investors and increase demand. Stock liquidity is one of the most effective measures of market efficiency, especially in terms of information and is widely used in examining the factors affecting the supply of useful information. in this study, we designed and explained the stock liquidity model with respect to the product competition component. To select the sample, all companies listed in Tehran Stock Exchange from 2007 to 2019 are surveyed. not eligible were removed. Ten main variables affecting liquidity based on previous research were entered into the research model and the hypotheses were tested using regression model. Then, stock liquidity model was introduced through teaching and learning in Fuzzy neural network, which is an analytical-mathematical research method. The prediction obtained from fuzzy neural network is very accurate due to the comprehensive search method and the final model is confirmed with adjusted coefficient of determination of 77%. According to the results, liquidity depends on five influential factors including stock return, firm size, investment opportunity, Herfindahl Hirschman index and Lerner index Manuscript profile
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        130 - Risk modeling of financing structure according to probabilistic decision theory through ANP
        Hamidreza Iravani Hamidreza Kordlouie Freydoon Rahnamay Roodposhti Narges Yazdanian
        Different types of risks threaten financial and credit institutions. Therefore, managers of organizations must identify and manage the existing risks. The risk that directly affects the profitability of financial and credit institutions is called financial risk. Financi More
        Different types of risks threaten financial and credit institutions. Therefore, managers of organizations must identify and manage the existing risks. The risk that directly affects the profitability of financial and credit institutions is called financial risk. Financial risks include: balance sheet structure risks, income and profitability structure, capital adequacy, credit risk, liquidity risk, interest rate risk, market risk and exchange rate risk. Banking industry is one of the most sifnificant and critical section of economics which faces many sorts of risk. Financial structur risk is the most threating one that in case of non centrolling will lead to bankruptcy . the purpose of study is modeling risk in compaliance with finance structure in money market based of probabilistic decition theory. The populational of the research is experts and bank fanciancial statements after reviewing the literature all the aspects of risks and also financial ratios are being identifined. After gathering data ANP techinques are being app;ied . resuls show that the srquence of risks are, market , credit, liquidity, capital. The significance of risks are as follow: credit, capital, liquidity, income disturbution, market and systematic. Manuscript profile
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        131 - Using the Bid-Ask Spreads as a Proxy for Transaction Costs in adjusting the CCAPM
        sedighe alizadeh mohammad nabi shahiki tash reza rosahan
        This study aims to estimate the bid-ask spread criterion based on the daily highest and lowest prices and to imply this criterion as a proxy for transaction costs. Then, using this type of transaction costs and liquidity, the consumption-based capital asset pricing mode More
        This study aims to estimate the bid-ask spread criterion based on the daily highest and lowest prices and to imply this criterion as a proxy for transaction costs. Then, using this type of transaction costs and liquidity, the consumption-based capital asset pricing model is modified. To perform experimental tests. Daily data is collected from 47 companies accepted on the Tehran Stock Exchange and for the period 2009 to 2018. This study is carried out on 20 portfolios formed based on liquidity criteria Liu (2006), DVOL, Size, and Gibbs. The results of this study show that the capital asset pricing model based on traditional consumption has a poor performance in explaining the return on cross-sectional stocks and liquidity-adjusted CCAPM can explain the bigger portion of cross-sectional return changes compared to the traditional CCAPM model. Also, the results show that the entry of trading cost variables and liquidity risk leads to improved CCAPM. Manuscript profile
      • Open Access Article

        132 - Identifing and ranking the affectinve factors on liquidity timing in Iranian mutual funds
        hamid sabzali gholamreza zomorodian farhad hanifi
        Mutual funds are one of the types of financial intermediaries, including institutions that sell their investment unit to the public, raise funds and invest them in a variety of securities. However, managing mutual funds is fraught with complexities and difficulties that More
        Mutual funds are one of the types of financial intermediaries, including institutions that sell their investment unit to the public, raise funds and invest them in a variety of securities. However, managing mutual funds is fraught with complexities and difficulties that arise from achieving optimal returns and cash flow management as the most important management criteria. Market scheduling, meanwhile, is an important dimension for mutual funds. With this approach, in this study, an attempt has been made to identify and rank the factors affecting the timing of liquidity in Iranian mutual funds. The results of the study showed that the returns of parallel markets and stocks (weighing 0.206), bank interest rates (weighing 0.194) and political developments (weighing 0.193) are the most important external and macroeconomic factors that affect liquidity and liquidity timing in mutual funds. In addition, among the internal factors, the three variables of ability and management skills of the fund (weighing 0.206), net value and percentage of cash assets of the fund (weighing 0.1734) and the risks facing the fund (weighing 0.1726) are the most They have had an impact on liquidity and the timing of liquidity in mutual funds. Manuscript profile
      • Open Access Article

        133 - An investigation of stock market liquidity, ownership, and capital structure choices using Panel VAR
        zahra ghorbani alireza daghighiasli marjan damankeshideh roya seifipour hooshang momeni vesalian
        This research investigates stock market liquidity, ownership, and choices of capital structure using the Panel VAR model for 50 companies listed in the stock exchange over 2013-2019. According to the results of Panel VAR estimates, a one standard deviation shock to owne More
        This research investigates stock market liquidity, ownership, and choices of capital structure using the Panel VAR model for 50 companies listed in the stock exchange over 2013-2019. According to the results of Panel VAR estimates, a one standard deviation shock to ownership structure caused the capital structure to increase in terms of companies’ debts, and this effect continued by increasing debts. Also, after some periods, the impact of the shock to corporate ownership structure on capital structure in terms of debts achieved its highest point and was followed by a decreasing trend..Analysis of variance showed that 0.03% of the impacts were caused by shocks in ownership structure, 0.5% was related to liquidity shocks, 0.09% was related to shocks in the corporate size, 0.005% was related to shocks in sale growth rate, 0.02% was related to shocks in fair value of assets, 0.08% was related to shocks in profitability, 0.51% was due to shocks in the consumer price index, and 3.93% was related to shocks in exchange rate volatility. Among the variables considered, exchange rate volatility, inflation, liquidity, and ownership structure, respectively, had the most impact on the capital structure for companies listed in the stock exchange over annual periods. Manuscript profile
      • Open Access Article

        134 - Modelling of appropriate pattern in order to forecast systemic liquidity risk of corporate stocks in capital market of Iran, by using multivariate GARCH models and Markov switching approach
        Seied Hamid Reza Sadat Shekarab Fereydon Ohadi mohsen Seighaly Mirfaze Fallah
        This research aims to model and present an appropriate pattern in order to forecast systemic liquidity risk of corporate stocks in capital market of Iran. For this purpose, 486 listed companies in Tehran stock exchange and OTC from 2011 to 2020 were sampled and then the More
        This research aims to model and present an appropriate pattern in order to forecast systemic liquidity risk of corporate stocks in capital market of Iran. For this purpose, 486 listed companies in Tehran stock exchange and OTC from 2011 to 2020 were sampled and then the companies were divided into four groups (portfolios) according to combination of indicators and types of activites of companies. Then by using types of multivariate GARCH models and comparing them, finanlly the VAR(1)-DBEKK(1,2) was selected as an optimum pattern . The results of research showed significant relationships among of liquidity shocks and volatilities with all of subsections, and consequently the main hypothesis based on “presence of systemic liquidity risk of corporate stocks in capital market of Iran” was accepted. In a way that the portfolios of company stocks with a “low level of liquidity- industry section” and “low level of liquidity- financial section” respectively had maximum and minimum liquidity shocks transmission of effects on future returns of the other portfolios, as well as the portfolio with a “high level of liquidity- financial section” had maximum volatility persistence and liquidity risk transmission to other portfolios. Manuscript profile
      • Open Access Article

        135 - Explain the factors affecting stock liquidity using genetic algorithm and minimum and maximum correlation (MRMR) methods
        Mahmoud Rezaei Hossein Panahian Mahdi Madanchi Zaj Hasan Ghodrati
        Liquidity of stocks is an important challenge in the capital market. Identifying the factors affecting liquidity helps to predict the stock liquidity situation and thus stock risk management. The purpose of this study is to find the factors affecting the liquidity of st More
        Liquidity of stocks is an important challenge in the capital market. Identifying the factors affecting liquidity helps to predict the stock liquidity situation and thus stock risk management. The purpose of this study is to find the factors affecting the liquidity of stocks. For this purpose, in the first stage, using the research literature and experts, the influencing factors are identified and using the methods of minimum redundancy and maximum correlation (MRMR) and genetic algorithm, the effective variables are selected. In this research, using Excel software and existing raw data, the required data was created and then using support software and neural network toolbox and support vector machine was created. . Finally, the extracted variables using MRMR include stock market value, intensity of product market competition, GDP growth, equity returns, stock returns, inflation rate and family ownership, and using the financial model of financial leverage, government ownership, Equity returns, GDP growth, share buoyancy percentage, market type and board (on the stock exchange and OTC), the intensity of competition in the product market were selected. Manuscript profile
      • Open Access Article

        136 - Analyzing the demand side of commonality liquidity in the Tehran Stock Exchange market: a non-linear autoregressive approach with NARDL distribution breaks.
        Omid Aghaei meybodi sayed yahya abtahi hamid khajeh mahmoodabadi gholamreza Askarzadeh
        In the last few decades, market participants have given considerable attention to the of liquidity in financial markets. Commonality liquidity and shared movements in transaction costs associated with such a phenomenon have significant consequences in the microstructure More
        In the last few decades, market participants have given considerable attention to the of liquidity in financial markets. Commonality liquidity and shared movements in transaction costs associated with such a phenomenon have significant consequences in the microstructure of the market. The analysis and identification of such commonalities enables the investor and the policy maker to discover the evidence related to inventory risk and asymmetric information in increasing the liquidity of the stock market. From the non-linear autoregression method with NARDL distribution breaks between the seasonal periods of 2008:01 to 2020:12. The asymmetric long-term results show a negative and significant relationship between the positive rate of return shock and Commonality liquidity and a positive and significant relationship between the negative market return shock and commonality liquidity. The variables of monthly investment by institutional investors, commonality liquidity and exchange rate of return have a positive and significant relationship with commonality liquidity. Export logarithm has a negative and significant relationship with, uncommonality liquidity. Manuscript profile
      • Open Access Article

        137 - Functioning of the Management Pattern, Asset- Debt, on the Understanding of the Relationship between Risk and Returns, Liquidity
        Robabeh Bahramian Fraydoun Rahnamay Roodposhti Mehdi Madanchi zaj
        In the investment culture, there is a consistent principle that capital is risky and risky and tends towards profitability. This study examines the efficiency and risk taking into account liquidity variables and liquidity risk based on the function of debt management mo More
        In the investment culture, there is a consistent principle that capital is risky and risky and tends towards profitability. This study examines the efficiency and risk taking into account liquidity variables and liquidity risk based on the function of debt management model for the period 1391-1396. The purpose of this research is to use the target and the dimension of the correlation of the time series and the information gathering using library studies. Using the secondary data extracted from the financial statements of the company's investment financing specialist holdings Analyzes the correlation relationship. The statistical population of this research is the specialized housings of social security investment company (SHASTA). The researcher selected all members of the community for sampling, and the collected observations. Data analysis was performed using the multivariate regression model presented in the study using Eviews software. The findings showed that liquidity had a negative and significant effect on returns. Also, liquidity risk of the company and liquidity risk of the market have a significant relationship with the return on debt assets. Manuscript profile
      • Open Access Article

        138 - Stock Deposit Certificates, a Modern Instrument for Financing, Maintaining Management Control and increasing liquidity in Capital Market
        Mehdi Zolfaghari reza Kiani
        Looking for financial markets development in developed countries and emerging markets, the different financial instruments have been introuduced to meet the wide and variety demand of investors. These instruments include a wide range of stocks, fixed income securities, More
        Looking for financial markets development in developed countries and emerging markets, the different financial instruments have been introuduced to meet the wide and variety demand of investors. These instruments include a wide range of stocks, fixed income securities, derivatives contracts and a combination of them. In this regard, the stock deposit certificates as a financial engineering product, not only pleys as a financing Instrument in the capital markets, but according to the having the unique features, but increases the stock market efficiency by increasing stock liquidity. It also maintains the management control of major shareholders. Therefore regarding to the low liquidity of Iran stock market and lack of the companies willingness for financing through the issue of new shares (despite the serious need) due to loss of managerial control, in this paper we introduced the operating model of the stock deposit certificates that it was localized for Iran stock market. This instrument is considered as a new instrument in corporate financing (without loss of management control) and increase the efficiency of capital markets (through increased liquidity).   Manuscript profile
      • Open Access Article

        139 - The role of privatization in Iranian economy on the deepening of the stock market (with an emphasis on the liquidity ratio)
        MohammadEbrahim mohammadPourzarandi masoomeh torkaman ahmadi
        One of the main goals of governments in privatization implementation, along with goals such as increasing revenues and improving economic efficiency, is the development of stock markets. In this study, using the Bay and Peron technique, structural break is observed in t More
        One of the main goals of governments in privatization implementation, along with goals such as increasing revenues and improving economic efficiency, is the development of stock markets. In this study, using the Bay and Peron technique, structural break is observed in the liquidity variable as one of the signs of the stock market depth. The model implies the existence of at least two effective and valid structural breaks and shows that in many related events, the implementation of privatization led to increased market liquidity as one of the principles of market development and led to a stock market has more depth. Also, using the MRS-GARCH method, it was determined that privatization on the emergence of regime change in the yield variables of stock market index has affected the duration of the third, fourth and fifth development plans in the form of dynamic models. Manuscript profile
      • Open Access Article

        140 - Comparative Comparison of Liquidity Elements and Distribution of Profit of Assemblies during the Depression and Prosperity of the Capital Market of Iran
        Mona Najmi Abdolmajid Dehghan Masomeh piryaei
        The purpose of this research is to investigate the relationship between stock liquidity and dividend income during recession and prosperity in companies accepted in Tehran Stock Exchange. Statistical sample of 109 companies accepted in the capital market, whose informat More
        The purpose of this research is to investigate the relationship between stock liquidity and dividend income during recession and prosperity in companies accepted in Tehran Stock Exchange. Statistical sample of 109 companies accepted in the capital market, whose information was available for the period 2012 to 2017, were selected by systematic exclusion method. The research carried out in terms of the target type is a part of applied research and the research method is correlated in terms of content and content. For analyzing the hypotheses, panel analysis has been used. Research findings show that there is a positive and significant relationship between stock liquidity and dividend income. There is also a positive and significant relationship between stock liquidity and dividend profits during the boom period. While there was no significant relationship between stock liquidity and dividend during the recession period. Manuscript profile
      • Open Access Article

        141 - Income inequality,poverty and the liquidity of stock markets
        annahita zandi
        According to development theories, achieving higher economic growth and creating economically viable opportunities for low income groups is the focus of development strategies; but over time, it has become clear that, despite high economic growth in some The low income More
        According to development theories, achieving higher economic growth and creating economically viable opportunities for low income groups is the focus of development strategies; but over time, it has become clear that, despite high economic growth in some The low income and poor groups have not benefited from its benefits; in other words, for proper distribution of income, in addition to continuous economic growth, other instruments and policies are also needed. The forthcoming study examines the effect of liquidity of the stock market on the amount of inequality of income during Period 1376-1396 Payments. The results obtained by maintaining certain factors, including the traditional financial development criteria, indicate that there is a negative correlation between stock market liquidity and Gini coefficient as a measure of income inequality. In addition, the findings indicate that there is a negative correlation between stock liquidity and the poverty rate. In the final set of quizzes, the division of wage increases into two parts (the increase due to stock liquidity and the vertical increase in liquidity) resulted in less evidence of reducing inequality and poverty due to the increase in wages due to liquidity. Manuscript profile
      • Open Access Article

        142 - An Investigation on liquidity Risk in Tehran Security Exchange Market with non-trading days: Insights from liquidity-adjusted CAPM
        Pedram Samiee Tabrizi Ali Najafi moghadam
        Stock liquidity risk can be considered as one of the most important factors in determining the expected returns of investors.Determining a suitable measure based on the characteristics of the company in the capital market that can help define the liquidity of the stock, More
        Stock liquidity risk can be considered as one of the most important factors in determining the expected returns of investors.Determining a suitable measure based on the characteristics of the company in the capital market that can help define the liquidity of the stock, would lead to a proper decision of investors. In this regard, in the present study, the effect of the systemic liquidity risk of assets (in particular stocks) in the Tehran Stock Exchange was investigated during the years 1385-1395.  In this research, the d non-trading days are used as liquidity indicators of stock trades.  It was found that, first, The co-movement between individual stock liquidity and market liquidity is not significantly related to stock returns. Second . The co-movement between market returns and individual stock liquidity is positively related to stock returns. Third, The co-movement between market liquidity and individual stock returns is negetivly related to stock returns. Manuscript profile
      • Open Access Article

        143 - The effect of financial leverage on the Company's operating liquidity (within the model GOEL)
        kamran karimi Shadi Shahverdiani Afsaneh Naeemifar
        The main aim of the present study is to examine the effect of financial leverage on operating liquidity in listed companies of Tehran Stock Exchange. Statistical population of the present study is consisted of companies listed on Tehran Stock Exchange during the time pe More
        The main aim of the present study is to examine the effect of financial leverage on operating liquidity in listed companies of Tehran Stock Exchange. Statistical population of the present study is consisted of companies listed on Tehran Stock Exchange during the time period of 2008 to 2014 and sample volume is equal to 118 companies by using screening method and after the elimination of outlaying observations. In this study, financial leverage was taken as independent variable in order to study its effect on current ratio, cash flow conversion cycle margin of the operational cash flow and return on assets. In this study, in which panel data with fixed and random effects were used, results obtained from firm data analysis by using multivariate regression at 95% confidence level indicated that financial leverage has a direct effect on return on assets. It was also indicated that financial leverage has a reverse effect on current ratio and cash flow conversion cycle. In addition financial leverage did not affect on the margin of the operational cash flow. Manuscript profile
      • Open Access Article

        144 - The Relationship of Free Float, Stock Returns, Liquidity and Corporate Value
        Abdorreza Asadi Hoda Imantalab
        The purpose of this study is to investigate the relationship between free float stock and return, liquidity and the value of listed companies in Tehran stock exchange. For analyses data collected from 134 listed companies over seven years of 2010 to 2016 has been used i More
        The purpose of this study is to investigate the relationship between free float stock and return, liquidity and the value of listed companies in Tehran stock exchange. For analyses data collected from 134 listed companies over seven years of 2010 to 2016 has been used in the study. To analyze the data and testing the hypotheses, the study has employed multiple regression models with several variables using panel data structure. The results show that based on testing the first hypothesis, the relationship between free float and stock return is significantly positive. Moreover, based on the second hypothesis, whereas the effect of current ratio is insignificant but the significance of the total model is accepted and the relationship between free float and stock liquidity is significantly positive. In the third hypothesis the total regression model is also significant, so there is a positive and significant relationship between free float with companies value. Manuscript profile
      • Open Access Article

        145 - Impacts of Intellectual Capital on the Assets and Share Liquidity : Evidence from Tehran Stock Exchange
        khosro moradi shahdadi Ali Asghar Anvary Rostamy Mohammad Hossein Ranjbar seyed jallal sadeghisharifasl
        Asset and share liquidity regards two major subjects in financial literature. Liquidity increases firms’ attractiveness instock markets and reduces their risk and financing costs. According to the literature, one expect that firms with a higher value of intellectu More
        Asset and share liquidity regards two major subjects in financial literature. Liquidity increases firms’ attractiveness instock markets and reduces their risk and financing costs. According to the literature, one expect that firms with a higher value of intellectual capital intelligently pay more attention to their asset and shar liquidity. This research aims to investigate the impacts of intellectual capital on asset and share liquidity of companies listed in Tehran Stock Exchange. For this purpose, data for 147 manufacturing companies for the period of 1388-1394 was gathered. In order to measure intellectual capital Pulic model applied. To measure the asset liquidity the liquidity ratio, and to measure share liquidity, the liquidity rank of companies that announces by Tehran Stock Exchange was used. In orer to test the hypothese, multi- variable regression models with combined data method applied. The results indicate significant relations between intellectual capital with both asset and share liquidity in Tehran Stock Exchange, which means that companies with a higher intellectual capital are more liquid. Manuscript profile
      • Open Access Article

        146 - Investigating Factors Affecting Pistachio Exports in Iran during 2001-2019
        Narges Tavakoli Dastjerdi Reza Sedaghat Hamid Mohammadi
        10.22034/jon.2021.1915854.1096
        Manuscript profile
      • Open Access Article

        147 - The Effect of Moral Hazard of Managers on the Stock Illiquidity and Firm Value with Emphasis on Corporate Governance Mechanisms
        bahman abdigolzar Younes Badavar Nahandi
        10.30495/afi.2022.1949470.1094
        Moral hazard is created as a result of factors such as delegated powers to managers and their motivation to use these powers for self interest and can have consequences such stock illiquidity and devaluation of the company. The main purpose of this study is to investiga More
        Moral hazard is created as a result of factors such as delegated powers to managers and their motivation to use these powers for self interest and can have consequences such stock illiquidity and devaluation of the company. The main purpose of this study is to investigate the relationship between moral hazard with stock illiquidity and firm value with emphasis on corporate governance mechanisms. The research data were collected through the financial statements of 180 companies listed on the Tehran Stock Exchange over a period of 14 years from 2007 to 2021. Panel data and multiple regression model were used to test the research hypotheses. The results of the study showed that the moral hazard of managers has a positive and significant effect on the illiquidity of stocks Also, the moral hazard of managers has a negative and significant effect on the firm value.The interactive index of moral hazard and corporate governance has a negative and significant effect on stock illiquidity and has a positive and significant effect on firm value. Therefore, moral hazard of managers has undesirable consequences such as devaluation of the company and stock illiquidity, and corporate governance mechanisms weaken the destructive consequences of moral hazard of managers. By being aware of the adverse consequences of moral hazard of managers and also the effect of corporate governance mechanisms on weakening the severity of moral hazard, it is possible to make optimal decisions to control moral hazard by strengthening corporate governance mechanisms and serving the interests of stakeholders, especially shareholders. Manuscript profile
      • Open Access Article

        148 - Investigating of the relationship between liquidity and firms’ ownership concentration whit considering moderating role of corporate governance
        shokrollah khajavi GholamReza Rezaei Amir Safaiee
        10.30495/afi.2021.1939936.1045
        The main purpose of this research is to study the relationship between ownership concentration and liquidity for the companies listed on Tehran Stock Exchange (TSE) with considering moderating role of corporate governance. Another Aim was from purpose of this study is t More
        The main purpose of this research is to study the relationship between ownership concentration and liquidity for the companies listed on Tehran Stock Exchange (TSE) with considering moderating role of corporate governance. Another Aim was from purpose of this study is to extend priorresearch on this topic. to achieve goals, an attempt will be made to answer the following question: “Is there a significant relationship between ownership concentration, corporate governance, and liquidity?” The research population composes of total companies listed in the TSE and statistical sample composes of 145 companies. The regression analysis whit SPSS and Eviews software are used for testing hypothesis of the research. The results suggest that there is a negative relationship between ownership concentration and liquidity. The relationship between corporate governance and liquidity is positive and significance. Also, the results showed that corporate governance have a moderating role in the relationship between ownership concentration and liquidity. Manuscript profile
      • Open Access Article

        149 - Investigating the contrarian trading strategy performance in the Tehran stock exchange based on the firm's risk criteria
        Ebrahim Qashqai Allah Karam Salehi ali mahmoodirad
        10.30495/afi.2023.1972605.1172
        Purpose: In traditional financial theory, the efficient market hypothesis states that market efficiency prevails in every stock exchange. However, evidence of market anomalies such as momentum effect and reversal effect exists. The aim of this study is to examine the pe More
        Purpose: In traditional financial theory, the efficient market hypothesis states that market efficiency prevails in every stock exchange. However, evidence of market anomalies such as momentum effect and reversal effect exists. The aim of this study is to examine the performance of the reverse trading strategy under risk measures. To achieve this objective, four hypotheses were proposed.Methodology: This research employs a descriptive correlational method. The population of the study consists of all listed companies in the Tehran Stock Exchange during the period from 2013 to 2020. A systematic sampling technique was used to select a sample of 118 companies. Reverse profit is considered as the dependent variable, while systematic risk, liquidity risk, credit risk, and financial leverage are considered as explanatory variables.Findings: The findings indicate that systematic risk has a positive effect on reverse profit in all holding and formation periods. Liquidity risk does not have a significant impact on reverse profit. Credit risk and financial leverage have a positive effect on reverse profit. Furthermore, the results show that the influence of systematic risk, credit risk, and financial leverage on reverse profit is greater in the 24-month period compared to the 12-month and 36-month periods.Originality / Value: The results of this study provide valuable insights for portfolio investors and managers to consider company risks when investing through the reverse trading strategy. Additionally, market participants should focus on high levels of systematic risk, credit risk, and financial leverage when utilizing the reverse trading strategy, as these risk dimensions present opportunities for them to achieve extraordinary returns. Manuscript profile
      • Open Access Article

        150 - Investigation relationship between stock liquidity, empire building, firms’ value (Evidence from Tehran Stock Exchange)
        Marzieh Ebrahimi Shaghaghi Hossein Eslami Mofid Abadi Somayeh Najafy
        Abstract Purpose: The purpose of the present study is to examine the relationship between stock liquidity, empire building and company stock valuation. The issue of liquidity in company shares is one of the important issues in the capital market for real and legal inve More
        Abstract Purpose: The purpose of the present study is to examine the relationship between stock liquidity, empire building and company stock valuation. The issue of liquidity in company shares is one of the important issues in the capital market for real and legal investors, and the investigation of its effect on various criteria, including the imperialization of company managers and also the value of companies, has been discussed by many thinkers in financial and capital fields. . : The results of the hypothesis test show that there is a significant relationship between the liquidity of stocks and the growth criteria in the company's assets, as well as the growth in property, machinery and equipment, and in the second main hypothesis, the results show that the liquidity of stocks has a significant effect. It is worth it. The method of this research was to collect data from the database of the stock exchange organization and also library studies. The regression method used was also multi-variable, and the structure of the data entered into it was of the company year table type. To evaluate the purpose of the research, two main hypotheses have been proposed, and the results of the hypotheses have been evaluated at a significance level of 0.05. Manuscript profile

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