XML
-
-
List of Articles
-
Open Access Article
1 - Modeling and Forecasting Distribution of Return on the Tehran Stock Exchange Index and Bitcoin with the GAS Time Variable Method
Mohammad Ebrahim Samavi hashem nikoomaram Mahdi Madanchi Zaj Ahmad YaghobnezahdPredicting returns with the least error is one of the most important issues in financial markets that has been considered by many researchers in recent decades .Traditional linear and nonlinear models due to the inefficiency of linear models in market turbulence, the la MorePredicting returns with the least error is one of the most important issues in financial markets that has been considered by many researchers in recent decades .Traditional linear and nonlinear models due to the inefficiency of linear models in market turbulence, the lack of correct extraction of the conditional distribution form of data due to the failure to record the conditional distribution dynamics in nonlinear models and the existence of limiting assumptions, it lacks the ability to predict returns in different market conditions. In order to eliminate the disadvantages of traditional models, in the present study using a new time-variable method called generalized autoregressive score (GAS) in order to predict the distribution of return of the total index of the stock exchange during the period 2010 to 2020 and for Bitcoin during the period 2014 to 2020. The results of modeling for the two assets by the new GAS model are compared with the results of the GARCH and AR models and their performance is tested for inside and outside the sample. The results show that in order to predict the daily return, the overall index of the new GAS model has a better performance and in order to predict the daily return of bitcoin, the GARCH model has been preferred. Manuscript profile -
Open Access Article
2 - Stock Price Synchronicity Based on Uncertainty in Monetary Policies
saeed salehi narges yazdanian hoda hemmati seyedalireza mirarab baygiThe purpose of this research was to investigate the role of uncertainty in monetary policies on the synchronicity of company’s stock prices. The statistical population of the research consists of all the companies listed in Tehran Stock Exchange between 2010 and 2 MoreThe purpose of this research was to investigate the role of uncertainty in monetary policies on the synchronicity of company’s stock prices. The statistical population of the research consists of all the companies listed in Tehran Stock Exchange between 2010 and 2019, of which 118 companies have been studied as a statistical sample of the research. The research data were analyzed using regression models using the pooled data method. In order to measure the uncertainty in monetary policies, two methods based on the entropy of exchange rate values and also fitting the GARCH heterogeneous variance model were used. The findings of the regression models showed that the increase in uncertainty in the monetary policies of each period under both the entropy criteria and the GARCH model has an adverse effect on the synchronicity of the stock prices in the future period. Therefore, the degree of stock prices synchronicity in each period can be predicted by relying on the uncertainty of monetary policies of the past period and the company's financial ratios. Also, the results showed that managers' strategies in order to reduce the debt ratio, increase cash retention and under investment to deal with the uncertainty caused by monetary policies, have a moderating effect on the relationship between this uncertainty and price synchronicity and strengthen the size of its effect on the synchronicity of the stock prices in the future period. Manuscript profile -
Open Access Article
3 - Stock portfolio optimization based on the combined model of omega ratio and mean-variance Markowitz based on two-level ensemble machine learning
sanaz faridi Mahdi Madanchi Zaj amir daneshvar shadi shahverdiani fereydoon rahnamaIn this paper, the stock portfolio of active companies listed on the Tehran Stock Exchange is optimized based on the combined model of omega ratio and mean-variance Markowitz (MVOF). For this purpose, 480 companies listed on the Tehran Stock Exchange during the years 13 MoreIn this paper, the stock portfolio of active companies listed on the Tehran Stock Exchange is optimized based on the combined model of omega ratio and mean-variance Markowitz (MVOF). For this purpose, 480 companies listed on the Tehran Stock Exchange during the years 1390 to 1399 were selected and based on the input data, the companies were filtered. Hence a combined method consisting of trading rules optimization method based on technical analysis (6 indicators RSI, ROC, SMA, EMA, WMA and MACD) and two-level collective learning machine (SVM, RF, BN, MLP and KNN) for Data training and purchase signal presentation were addressed. Therefore, 85 companies were selected to optimize the stock portfolio. To teach the data, 85 companies filtered by the combined method were used and the number of different classes with 50 learners was used. The results show that using the OF model compared to the MVF model has the highest stock portfolio returns during the years 1395 to 1399. While the MVF model has the lowest investment risk. As a result, by combining the above models, the stock portfolio return in this method is much higher than other methods. While the investment risk was lower. Therefore, if the MVOF model is used, the return on the stock portfolio will increase and the investment risk in it will decrease. Manuscript profile -
Open Access Article
4 - Investigation of Volatility Forecast Errors using Geometric Brownian Motion and GARCH Models in Sector Indices of Tehran Securities Exchange
Ershad Emami Alireza Heidarzadeh HanzaeiCurrent study compares forecasting capability of GARCH (1,1) against Geometric Brownian Motion, GBM, model for daily volatility of indices. The question is to study whether accuracy of GBM forecast differ significantly from its comparing model. Our data consists of 5.5 MoreCurrent study compares forecasting capability of GARCH (1,1) against Geometric Brownian Motion, GBM, model for daily volatility of indices. The question is to study whether accuracy of GBM forecast differ significantly from its comparing model. Our data consists of 5.5 years (2015 – 2019) of daily logarithmic returns from 38 sector indices within Tehran Stock Exchange. The data was split into estimation period (5 years of daily data) and forecast period (daily data of the remaining 6 months). The competing models were estimated using maximum likelihood method and based on moving window approach, in which the length of estimating period was kept fixed, and projections were conducted on a daily basis. Root Mean Square Error, RMSE, approach was employed to measure forecasting error of each model. The one with less error will express more capability in forecasting daily volatility. With only three instances of a precise forecast, GARCH showed a relatively worse performance, in comparison to GBM.. Manuscript profile -
Open Access Article
5 - The role of monetary variables and financial frictions on the stock market in the form of DSGE model
Lleila Barati yazdan goodarziThe purpose of this paper is to investigate the impact of monetary policy and financial frictions on the stock market. In this study, the role of imperfections in financial markets as well as monetary policy on capital market performance and other macroeconomic variable MoreThe purpose of this paper is to investigate the impact of monetary policy and financial frictions on the stock market. In this study, the role of imperfections in financial markets as well as monetary policy on capital market performance and other macroeconomic variables has been evaluated. In this regard, the statistical information of the period of 1989-2021 was used based on the frequency of seasonal data. The method used in this study is to solve the Dynamic Stochastic General Equilibrium (DSGE) model. The results obtained from the monetary policy shock in this study showed that due to the existence of imperfection in the financial markets, it leads to volatility and instability in the capital market. In fact, the shock of the monetary policy has led to a change in the rate of return in the markets and this issue has affected the demand and supply of stocks. In addition, the monetary policy shock has had real effects on the economy. Manuscript profile -
Open Access Article
6 - Investigation of turbulence Contagion and risk dynamics of real and virtual currency with DCC conditional model
ALI BAGHBAN HAMIDREZA KORDLOUIE mirfeyz fallah Reza Gholami JamkaraniThe foreign exchange market has a very close relationship with other markets and exchange rate changes cause changes in other markets. Contagion means the transfer of fluctuations from one market to another, due to their close relationship. The present study has investi MoreThe foreign exchange market has a very close relationship with other markets and exchange rate changes cause changes in other markets. Contagion means the transfer of fluctuations from one market to another, due to their close relationship. The present study has investigated the contagious risk of turbulence. In this study, the contagious effect of real and virtual currency fluctuations has been measured. The data used in this study, including the exchange rate of the dollar based on the euro and the price of bitcoin in the period 01/2015 and 2020/01, were collected and examined by the generalized multivariate conditional variance heterogeneity(MGARCH) and DCC method. The present study is based on the classification of research based on method, nature and direction, respectively descriptive survey, applied and post-event. The results of this study confirm the relationship between the volatility of real currency and virtual currency. In other words, the main hypothesis of the research on the contagion of virtual and real exchange rate fluctuations has been confirmed unilaterally from virtual exchange rate to real exchange rate. Manuscript profile -
Open Access Article
7 - Designing native decision-making model for selecting venture capital in emerging companies: A mixed study
Mohammad Reza Radfar Gholamreza ZomorodianPresent study aims to design and explain the decision-making native model for selecting venture capital investment in emerging companies. In this regard, in order to achieve this goal, based on the qualitative approach of the theme analysis, the qualitative data was con MorePresent study aims to design and explain the decision-making native model for selecting venture capital investment in emerging companies. In this regard, in order to achieve this goal, based on the qualitative approach of the theme analysis, the qualitative data was conducted through interviewing experts and venture capital companies, and then the decision-making native model for selecting venture capital investment in emerging companies is designed. Subsequently, in a quantitative approach, a questionnaire was developed and completed by managers of venture capital companies. To analyze the data of the questionnaire, a confirmatory factor analysis was used. The results indicate that all themes introduced in this study include: financial features, product or service, features of market and industry, risk type, entrepreneurial experience, intellectual property rights, personal competence of entrepreneur, marketing capabilities, exit strategy, participation, responsibility and social effect, rules and regulations, innovation, personality traits of entrepreneur, investment horizon, entrepreneur’s character and information asymmetry are effective for selecting venture capital in emerging companies. Manuscript profile -
Open Access Article
8 - Optimal Portfolio of Syndicated Loans with Downside Risk Approach
hossein rezaei Mohammad Oghbaei JazaniIn the bank-based structure of the country's economy, banks are most responsible for financing, especially at the level of large projects. The purpose of repaying a loan through a syndicated mechanism is to reduce the undesirable risk and increase the effective loan rat MoreIn the bank-based structure of the country's economy, banks are most responsible for financing, especially at the level of large projects. The purpose of repaying a loan through a syndicated mechanism is to reduce the undesirable risk and increase the effective loan rate. The statistical population of this study is the balance sheet information of the last five years (1396-1400) of banks listed on the Tehran Stock Exchange. In this research, the postmodern theory of portfolio based on variance of unfavorable data or half-variance-half-covariance has been used. To test the research hypothesis with the help of MATLAB software, the contact point of the efficient boundary of the model and the capital market line at different interest rates has been calculated and the optimal portfolio of syndicated loans has been determined. The results show; The payment of syndicated loans in the form of civil partnership and Mudaraba contracts has the highest interest and the lowest risk, and in contrast, forged loan agreements and installment sales have the lowest interest and the highest risk Manuscript profile -
Open Access Article
9 - The impact of gold prices on global exchange rate fluctuations and ounces
behzad fakari Ameneh Anooshehpour Hossein Hossein AbadiThe impact of gold on other economic and non-economic variables, as well as the impact of gold prices on other financial and investment markets, has made planning and policy-making in this area difficult. One of the common mistakes in the same policy is to consider the MoreThe impact of gold on other economic and non-economic variables, as well as the impact of gold prices on other financial and investment markets, has made planning and policy-making in this area difficult. One of the common mistakes in the same policy is to consider the degree of impact and the impact of the price of gold on other variables. For this purpose, in this study, using Markov switching method and with daily data from August 2013 to August 1400, excluding non-common days, the main variables affecting the price of gold in Rials were investigated. The results of the study showed that there are two regimes in the study period, the point of separation of these two regimes was the withdrawal of the United States from the UN Security Council. The elasticity of the rial price of gold to the exchange rate fluctuations in the second regime compared to the first regime has increased sixfold. The elasticity of the rial price of gold to the dollar price in the second regime compared to the first regime has increased 1.6 times. The pull of gold prices to exchange rate fluctuations has replaced its pull against the exchange rate in the second regime. According to the results of the study, it is suggested that policy makers in the decision for parallel gold markets, pay attention to its different tendencies to different variables in different regimes Manuscript profile
-
The rights to this website are owned by the Raimag Press Management System.
Copyright © 2021-2024