liquidity risk

Open Access Article

1 - 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

2 - 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

3 - 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

4 - 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

5 - 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

6 - 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

7 - 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

Open Access Article

8 - 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

Open Access Article

9 - 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

Open Access Article

10 - 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

Open Access Article

11 - 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

Open Access Article

12 - 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

Open Access Article

13 - 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

Open Access Article

14 - 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

Open Access Article

15 - 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

Open Access Article

16 - 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

Open Access Article

17 - 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

Open Access Article

18 - 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

Open Access Article

19 - 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

Open Access Article

20 - 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

Open Access Article

21 - 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

Open Access Article

22 - 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

Open Access Article

23 - 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

Open Access Article

24 - 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

Open Access Article

25 - 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

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Open Access Article

26 - 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

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Open Access Article

27 - 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

Open Access Article

28 - 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

Open Access Article

29 - 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

Open Access Article

30 - 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

Open Access Article

31 - 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

Open Access Article

32 - 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

Open Access Article

33 - 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

Open Access Article

34 - 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

Open Access Article

35 - 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

36 - 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

37 - 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

38 - 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

39 - 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

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