XML
-
-
List of Articles
-
Open Access Article
1 - Market failure using the basket recommended by the Coalition
Peyman Tataei fraydoon Rahnamay RoodposhtiSpecial mathematical techniques have been developed in order to analyze conflict-competition situations. Game theory provides a formal analytical framework with a set of mathematical tools to study the complex intersections among rational players (Osborne, 2004). Severa MoreSpecial mathematical techniques have been developed in order to analyze conflict-competition situations. Game theory provides a formal analytical framework with a set of mathematical tools to study the complex intersections among rational players (Osborne, 2004). Several approaches have been produced to the Portfolio selection problem, which became popular among researchers with the article of Harry M. Markowitz, published in Journal of finance in 1952, which occupies an essential place in the literature. Canonical Coalition Game Theory is among these approaches. In this paper the optimality of a portfolio partnership which will be created by each player’s strategies (stocks) with identical targets but different Beta capabilities will be examined first with a zero-sum game and then with establishing a coalition among different Beta groups(players). The obtained optimal gain will be distributed to each stock using Shapley vector. As a result the performance of the model’s portfolio was positive and better than market performance which resulted negative return during testing period. Manuscript profile -
Open Access Article
2 - Simulate the Model of the Effects of Alternative Assets Volatility on Overall Index of Tehran Stock Exchange and Housing Prices with Using System Dynamics
habibollah Ranaei Kordsholi abbas abbasi Hooman PashootanizadehAccording to the importance of effectiveness and influence of alternative assets in the portfolio theory framework and proportional to the fluctuation of these assets in our country, predicting the probable changes in the price of these assets and their influence on the MoreAccording to the importance of effectiveness and influence of alternative assets in the portfolio theory framework and proportional to the fluctuation of these assets in our country, predicting the probable changes in the price of these assets and their influence on the Tehran Stock Exchange's index and the price of real estate proportional to the changes on the international price of oil, is vital to get analyzed from different angles. The purpose of this research is to present a model to predict the influence of the alternative assets on the Tehran Stock Exchange's index. This model is built with the factors including system dynamics, currency rate, gold price, international price of oil and real estate's price. The virtual model is built with Vensim DSS software. The conclusion is that on the long run, the changes of gold price and currency rate have a reverse effect on the Tehran Stock Exchange's index and real estate's price. Considering that the Iran's economy is factor based and is mostly dependent on the oil's price, increasing the price of oil will cause the Tehran Stock Exchange's index and real estate's price to increase on the long run Manuscript profile -
Open Access Article
3 - Volatility Spillover between Oil Price, Exchange Rates, Gold Price and Stock Market Indexes with Structural Breaks
elaheh sefidbakht Mohammad Hossein RanjbarVolatility spillovers among financial indices, indicates the process is the transfer of information between markets. Given that financial markets are connected, Ayjad information in one market can affect other markets. In the meantime, modeling the volatility of returns MoreVolatility spillovers among financial indices, indicates the process is the transfer of information between markets. Given that financial markets are connected, Ayjad information in one market can affect other markets. In the meantime, modeling the volatility of returns in different markets and communicate with each other from the perspective of these markets Supplier Institute academics and financial area, to be used in the prediction, the matter of It results in. In this study, the tiny fluctuations in oil markets, currencies, gold and stock model BEKK bivariate GARCH, without the use of structural failure and also with regard to the use of the algorithm ICSS and model VAR, tested and the relationship between them through Granger causality test was carried out. The results show that if the calculation of structural failure in the equation disregard, changes in exchange rates on the price of oil does not have the price of gold and stock index has a significant effect, in this case oil price changes on any of the variables studied has no effect. On the other hand, gold price changes can affect stock index and stock changes can also affect the exchange rate. But when the failure of structural equations is used will be different results. Manuscript profile -
Open Access Article
4 - Estimation and Comparison of Short-Term Interest Rate Equilibrium Models Using Islamic Treasury Bills
moslem peymany zohreh hooshangiIn the following paper, short-term interest rate is modeled using some of the most prevalent single factor equilibrium models in Iran. In this research, model’s performance is compared to each other using some indicators relating to model fitness, interest volatil MoreIn the following paper, short-term interest rate is modeled using some of the most prevalent single factor equilibrium models in Iran. In this research, model’s performance is compared to each other using some indicators relating to model fitness, interest volatility and interest level changes. For this purpose, Islamic treasury bill yield data were obtained from the period 1394 to 1395 and the models were estimated using generalized method of moments. The findings of this research illustrate that Brennan-Schwartz and CKLS models perform better in interest rate fitness compared to other restricted models. Also, Brennan-Schwartz model show more predictive power than other models. In addition, short-term interest rate of Islamic Treasury Bill exhibit some mean reverting feature and the level of long term mean is estimated as well. Although all the models perform poorly in interest rate volatility fitness, there are some evidences showing that it is sensitive to the level of interest rate. Manuscript profile -
Open Access Article
5 - Fuzzy – neural model with hybrid genetic algorithms for stock price forecasting in auto industry in Tehran security exchange
ehsan Sadeh reza Ehtesham Rasi ali Sheidaei NarmigiSelection of appropriate time and price in trading stocks has an important role in investment decisions on profit and loss of investors in capital markets. Nonlinear intelligent systems, such as artificial neural networks, fuzzy- neural networks and genetic algorithms, MoreSelection of appropriate time and price in trading stocks has an important role in investment decisions on profit and loss of investors in capital markets. Nonlinear intelligent systems, such as artificial neural networks, fuzzy- neural networks and genetic algorithms, would be used to forecast stock prices motions. In this article,a model of stock prices motions has been designed using Adaptive Neuro- Fuzzy Inference System (ANFIS)integrated with genetic algorithm, in which two different groups of fundamental and technical variables have been employed as model inputs. According to Model outputs,the rate of forecasting errors in both groups of inputs is not significant and these systems are able to forecast daily stock prices. The Mann-Whitney test has been used to measure the accuracy of models and it was found that there is no significant difference between results of prices forecasted in both methods. Both methods are able to forecast next day price with an insignificant error provided that at least one of the inputs in both methods has a linear dependence with price, . Also, results show that these systems do not work properly to forecast prices of high volatility stocks Manuscript profile -
Open Access Article
6 - Estimating Extreme downside risk premium using Extreme Value Theory Approach
Maryam Davallou Mahdiyeh DashtiRecent year’s financial crisis gives rise to pay attention to extreme losses. Investors suffer from extreme losses and since unusaull outcomes probability is not far, investors concern about extreme tail of return distribution. This paper is aimed to examin extrem MoreRecent year’s financial crisis gives rise to pay attention to extreme losses. Investors suffer from extreme losses and since unusaull outcomes probability is not far, investors concern about extreme tail of return distribution. This paper is aimed to examin extreme downside risk (EDR) that is calculated by extreme value theory (EVT) which is designed to explain uncommon events. For this purpose, a sample composed of 243 listed firms in Tehran Stock Exchange is examined for 1384 to 1394. Portfolio study approach and Fama- McBeth (1973) regression are used to EDR pricing test. The results confirm EDR pricing and statistical significancy of extreme downside risk in TSE. This research shows that potential loss from extreme downside returns, EDR, is captured by asset pricing as a risk factor. Also, the effects of other risk measures including volatility, valu at risk and right tail mesure are stronger than EDR and if their effectes is controlled, EDR risk premium is no longer statistically significant. Manuscript profile -
Open Access Article
7 - The impact of financial flexibility on capital structure decisions with Using Brian Clark and Farkland and Wang
Ali Najafi moghadamIn the present study attempts to explore the relationship between the cash value (financial flexibility) and financial leverage (capital structure) examined the impact of flexibility was studied capital structure decisions.Terms of increase or decrease in the past years MoreIn the present study attempts to explore the relationship between the cash value (financial flexibility) and financial leverage (capital structure) examined the impact of flexibility was studied capital structure decisions.Terms of increase or decrease in the past years. And we can conclude that this hypothesis can not be confirmed based on Brian Clark. But Fvlkandr model and Wang demonstrated that financial flexibility and leverage in recent years, and this year there was a significant relationship According to Clark 2011 match. When the final value of financial flexibility is high, the influence of variables (eg, interest, depreciation and amortization expense, fixed assets, etc.), the leverage will be of little importance and little visible change in their leverage. Companies that have high marginal value of financial flexibility are inclined to maintain the current period debt capacity significantly, it is likely that in the near future, but a deliberate attempt to temporary deviations from their target leverage ratios. Manuscript profile -
Open Access Article
8 - Neuro-Genetic Structure to valuation of Initial Public Offering
ali rostami Emad Falamarzi sara FaroughiConsidering stock market history, major concerns in the first phase to enter the capital market is that what the right price for the initial public offering and could they convince investors to buy shares. Besides that, there are also investors concerns about the accura MoreConsidering stock market history, major concerns in the first phase to enter the capital market is that what the right price for the initial public offering and could they convince investors to buy shares. Besides that, there are also investors concerns about the accuracy of the pricing stocks. This study uses nonlinear method has resolved this issue. Study provides a model pricing initial public offering of shares on the Tehran Stock Exchange. The research period between 1382 to 1393. Research population 145 enterprises entering the Tehran Stock Exchange in this period of time and the sample of study is according to the condition of the Company and continuous investment of funds and access to company data, were reduced to 103 companies. The proposed network is a neural network optimized the genetic algorithm to determine the price of shares of new companies entering the stock exchange.With a choice of 12 variables affecting the price of initial public offerings and one dependent variable (Initial Public Offering price) suitable model to _ pricing than other linear models presented. The results of the fourth measure, RMSE, MAE, R-SQUARE, U-THEIL reflect the correct pricing proposed model, in most cases. Manuscript profile -
Open Access Article
9 - The relationship between horizon of institutional investors and Information Content of unexpected dividends
Mahdi Moradi elham parandeh zakiyeh marandiThe purpose of this study is to investigate the relationship between the horizon of institutional investors and information content of unexpected dividend earnings. This study is a descriptive-correlational study. In order to achieve the research goal, 86 companies were MoreThe purpose of this study is to investigate the relationship between the horizon of institutional investors and information content of unexpected dividend earnings. This study is a descriptive-correlational study. In order to achieve the research goal, 86 companies were selected from among listed companies in Tehran Stock Exchange between 2011 and 2015. The present study includes three hypotheses that examine the relationship between the horizon of institutional investors in general and the perspective of long-term and short-term of institutional shareholders with unexpected dividend.To analyze the hypothesis using panel data regression analysis through software Spss20 and Eviews7. The findings showed that the horizon of institutional investors in general and the perspective of long-term and short-term of institutional shareholders have a Reverse and significantly relationship on unexpected dividends as a measure of unexpected earnings information content. Therefore, improving horizon of institutional investors reduces the difference between profit and dividend forecast becomes true. Manuscript profile -
Open Access Article
10 - Optimal Pairs Trading strategy under Statistical Variability of the Spread Process
Fatemeh Azizzadeh Nasrin EbadiThe appropriate investment and decision making about taking of correct long and short position needs proved strategies. In this research, pairs trading have been studied and a new non-parametric approach proposed based on Renko and Kagi construction which are two Japane MoreThe appropriate investment and decision making about taking of correct long and short position needs proved strategies. In this research, pairs trading have been studied and a new non-parametric approach proposed based on Renko and Kagi construction which are two Japanese charting indicators. The proposed approach exploits information about the variability of spread process and a constant long-run mean dose not find for spread process but trade towards it like other methods of pairs trading and the only needed assumption is remaining constant of statistical properties of the spread process volatility. In this research, profitability of proposed method have been proved theoretically mean-reverting process with stochastic volatility , then pairs trading have been performed based on this approach on selective data of Tehran stock exchange . The results of implementation show that used strategy obtain 52.91% per return in stock pair of KHTRAC and KHTOGHA, 33.645 per return in stock pair of KHMOHAREKEH and KHODRO for appropriate selection of H. Manuscript profile -
Open Access Article
11 - The Effect of Managers Myopia on Investors Behavior in the Capital Market
seyed hamed naghibi esfahani Mohammadreza AbdoliThis research aims to measure the stock market reaction to the manager’s myopia. Manager myopia tends to increase the current stock prices and inflate the current profitability by decreasing long term profitability or increasing cash flows. The statistical popula MoreThis research aims to measure the stock market reaction to the manager’s myopia. Manager myopia tends to increase the current stock prices and inflate the current profitability by decreasing long term profitability or increasing cash flows. The statistical population of this research is all companies listed on Tehran Stock Exchange during the years 1385 to 1394 (Hijri calendar). After applying some filters and restrictions, 117 companies were selected and investigated. The results indicate that myopia does not have a significant negative impact on abnormal returns, obtained at the time of profit report. Overall results indicate that the capital market in the form of efficiency (stocks and time of profit report) don’t have significant reaction to manager’s myopia. In the same time, manager’s myopia has a positive significant effect on return on future assets, as a measure of future financial performance. In summary, the results indicate that the capital market doesn’t react to manager’s myopia but manager’s myopia affects future financial performance of investigated companies. Manuscript profile -
Open Access Article
12 - The evaluation of Systemic Risk in the Iran Banking System by Delta Conditional Value at Risk ( CoVaR) Criterion
asadollah farzinvash naser elahi javad gilanipour Ghadir MahdaviThe Banking Crisis is previous decades caused the discussion of Systemic Risk in the financial market, including the Banks, has been taken into Consideration by Policy- makers. Based on this in this research using Delta Conditional Value at Risk (CoVaR), the Systemic ri MoreThe Banking Crisis is previous decades caused the discussion of Systemic Risk in the financial market, including the Banks, has been taken into Consideration by Policy- makers. Based on this in this research using Delta Conditional Value at Risk (CoVaR), the Systemic risk in Iran Banking Section has been evaluated. For this reason, seventeen banks out of all ones which have been listed in Tehran Stock Exchange and the equity of their Owners from 1389 to 1395 was available, have been chosen. The results Show that CoVaR for Khavarmianeh Bank Was the most (15.61) and for Sarmayeh Bank was the least (0.32). These results indicate that the crisis or disturbance in Khavarmianeh Bank more than the other Banks, affects the Financial System and Sarmayeh Bank has the least effect. In other words, any crisis in khavarmianeh Bank will give a rise of about 15.61 Percent to the Financial System risk, while the corresponded value for the Sarmayeh Bank is only 0.32 percent. Manuscript profile -
Open Access Article
13 - Iran Stock Market Prediction Based on Bayesian Networks and Hidden Markov Models
Zohreh Alamatian Majid Vafaei JahanStock market behavior is one of the most complex mechanisms, considered by researchers. Financial markets are influenced by the external and internal factors. External factors such as political and social factors are not measurable, so prediction the trend of stock mark MoreStock market behavior is one of the most complex mechanisms, considered by researchers. Financial markets are influenced by the external and internal factors. External factors such as political and social factors are not measurable, so prediction the trend of stock markets is focused on internal factors. This study suggests a hybrid approach based on Bayesian Networks and Hidden Markov Models to predict trend of stock market. The used variables are 6 index of Tehran Stock Exchange, which have the most correlation coefficient with target stock, and 22 technical indicators. Bayesian networks are utilized to find the relationships between variables, and the effect of each variable in prediction considered from conditional probability tables. Hidden Markov Model is designed for sets of extract from Bayesian networks. The proposed model tested on four company’s stock names Mobarakeh Steel, Iran Khodro, Mellat Bank and Iran drug. The average accuracy of the proposed system is 83.26 %. The experimental results show that the suggested procedure has higher performance for prediction of stock markets in comparison with other previous methods. Manuscript profile -
Open Access Article
14 - Denoising of financial time series using wavelet analysis
Hojjatollah Sadeghi zahra dehghani firoozabadievery series of Wavelet coefficients includes part of time series in the scale of different time series. Implementation of the wavelet transform, using the best Wavelet at the right levels has significant impact on the results of the results of the financial Moreevery series of Wavelet coefficients includes part of time series in the scale of different time series. Implementation of the wavelet transform, using the best Wavelet at the right levels has significant impact on the results of the results of the financial analysis. the purpose of this study is to explanation of the importance of the concept of scale-time and the use of different time intervals in checking the behavior of the financial markets to be determined whether the removing noise from the time series can accurate the decisions we have to make in the future or not? Therefore we analyzed 16 selected index of the Tehran Stock Exchange using software "R" and using Wavelet transformation up to five levels for 250 data then put them all under noise removing process. In the next step we used two methods for evaluation the noise removing process. one clustering all the selected index in the dendrogram method And the other one time series predictions of total index which includes 500 data and the use of the data that has been noise removed into two methods of Haar wavelet and Daubechies. The results of both method claim better performance using Wavelet removing noise using Daubechies wavelet in this series. our main goal is using the wavelet analysis and noise removing from time series and using that in financial topics. Manuscript profile
-
The rights to this website are owned by the Raimag Press Management System.
Copyright © 2021-2024