Journal of Investment Knowledge: 5 (12)

Open Access Article

1 - Exchange Rate Optimal Hedge Ratio by Gold Futures in Iran
Rasool Sajad Adena Torosian

In this article, the exchange rate (USD/RLS) minimum variance optimal hedge ratio by gold futures have been estimated and compared by different econometric approaches. For estimating this rate three domains, daily, two days and weekly domain for spot and futures prices More

In this article, the exchange rate (USD/RLS) minimum variance optimal hedge ratio by gold futures have been estimated and compared by different econometric approaches. For estimating this rate three domains, daily, two days and weekly domain for spot and futures prices are used due to increase futures and spot correlation by increasing return domain. The static optimal hedge ratio estimated by OLS, corrected OLS and univariate GARCH models and dynamic one by CCC and DCC multivariate GARCH models. In term of in sample efficiency weekly return DCC and out of sample one, weekly return CCC, has the highest efficiency. In all models, the estimated rate of weekly returns is more efficient than the estimated rates of daily and two days return. Manuscript profile

Open Access Article

2 - 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

3 - Students’ knowledge and understanding of personal financial security Analysis of students’ attitude towards knowledge of personal financial security
Mahsa Kiyanoosh Mohammad Jalili Mousa Ahmadi Davoud Hosseynabadi Sadeh

The aim of this research is to study and analyze students’ attitude and their level of understanding towards knowledge of personal financial security. In order to succeed in life it is essential to have financial security knowledge, which is why 120 Business Mana More

The aim of this research is to study and analyze students’ attitude and their level of understanding towards knowledge of personal financial security. In order to succeed in life it is essential to have financial security knowledge, which is why 120 Business Management students of MA degree majoring in Financial Management and Marketing fields of study in Islamic Azad University of Abhar, admitted in 2010, were selected and studied based on aggregate data analysis. The adapted models of research are the two criteria; life satisfaction and the competency of past researches. The data collection tool of the present research has been questionnaires, which after quality and quantity analysis of the gathered data through variance analysis (ANOVA), have shown the attitude and knowledge of business management students of Azad University of Abhar toward personal financial security, do not differ considering their major (marketing and financial management) and gender Manuscript profile

Open Access Article

4 - The association between excess Cash holding and shareholder value: The case of Tehran security exchange
Nezamoldin Rahimian Mahmoud Ghorbani Keyvan Shabani Shabani

Cash is one of the most crucial resources in every enterprise and making a balance between available cash and its requirements is the most important criteria for safety economic in every entity. All the companies that have enough cash for their operation and those that More

Cash is one of the most crucial resources in every enterprise and making a balance between available cash and its requirements is the most important criteria for safety economic in every entity. All the companies that have enough cash for their operation and those that hold cash more than their need, have some troubles. So in this study the elements that may have influence on cash holding and the association between persistent excess cash holding on the Tehran security exchange were examined for achieving this target. Regard to existing constraints. 73 companies for a seven years period (1384-1390) were selected as sample. With respect to the data, fixed effect regression was used. Our result show that there is a positive and significant association between firm size, net working capital, operating cash flows and financing cash flows with cash holding and variables such as leverage, growth option, variability of cash flows, close cash substitutes and level of investment opportunities have no significant relationship with cash holding. Furthermore the results of second part of this research shows that excess cash holing in both form of transitory and persistent have no influence on shareholder value. Manuscript profile

Open Access Article

5 - Capture the effect of amplitude fluctuation permitted in Tehran Stock Exchange
Mirfeyz Fallah Shams Mohammadreza Monjazeb Meysam Alimohammadi

A brief look at the majority of stock exchanges in all over the world shows that they exercise volatility range in order to achieve goals such as preventing price manipulation and reducing market turbulence and emotions. Allowable volatility range is the price range of More

A brief look at the majority of stock exchanges in all over the world shows that they exercise volatility range in order to achieve goals such as preventing price manipulation and reducing market turbulence and emotions. Allowable volatility range is the price range of a share in a workday; this means that the share’s changes in that day cannot exceed or become less than this limit. Therefore this range reduces market manipultion and emotions. Beside varied advantages of exercising  volatility range, there are some disadvantages and researches have been done that some allege efficiency and some allege inefficiency of this phenomenon. In this study,we examine one of the consequences of exercising the allowable volatility range, namely magnetic effect  and by using autocorrelation examine either existence or non-existence of it in sample corporations_20 corporations that are accepted in Tehran’s stock exchange up to 1391/09/30 . It is worth mentioning that the sample corporations  are blessed with 26/87% of all the transactions in Tehran stock exchange during  the period in which this study has been done. Results show that between the examined corporations(kesaveh, hafari shomal, betrans, sina, fazar, fasmin, folad, ghepira, gheshekar, ghenisha, kermasha, keruy, vapetro, vasapa, vasakht, vasepah, vasandogh, valsapa, vamellat, vamaden) 14 corporatins (kesaveh, hafari shomal, betrans, sina, fasmin, folad, gheshekar, ghenisha, kermasha, vasapa, vasakht, vasepah, vasandogh, vamaden) had magnetic effect. Manuscript profile

Open Access Article

6 - Studying the Effect of Information Asymmetry and Firm Value on the Firm Investment in Companies Listed in Tehran Stock Exchange
Zohreh Hajiha Bahareh Moradiyan

The purpose of this study is to explore the impact of information asymmetry on the relation between firm value and investment in 99 listed companies in Tehran Stock Exchange in the period of 2006-2011. This study seeks to answer the question whether information asymmetr More

The purpose of this study is to explore the impact of information asymmetry on the relation between firm value and investment in 99 listed companies in Tehran Stock Exchange in the period of 2006-2011. This study seeks to answer the question whether information asymmetry exists, is there any significant relationship between firm value and investment or not. In this research Firstly, the direct relationship between firm value and investment and the interaction of firm value and information asymmetry on the investment investigated. Research method is applied research, in aspect of nature, descriptive and correlational. Results of testing hypotheses and coefficients estimated using ordinary least squares regression analysis and panel shows, the asymmetric information has a significant negative impact on the relationships between firm value and investment. Therefore in a position where information asymmetry is high, managers will make conservative estimates of market information. The information asymmetry can potentially lead to large errors or risks. Manuscript profile

Open Access Article

7 - Evaluation Fundamental based risk model in predicting stock prices
Ehsan kamali Seyyed Abbas Hashemi Dariush Foroughi

How to measure the risks is one of the most challenging issues in the stock valuation models. This study is designed based on a new methodology for risk measurement in valuation models based on fundamental factors related. Therefore beta of excess equity returns and bet More

How to measure the risks is one of the most challenging issues in the stock valuation models. This study is designed based on a new methodology for risk measurement in valuation models based on fundamental factors related. Therefore beta of excess equity returns and betas of size and book-to-market based on earnings, as the risk adjustment was combined to the present value based on risk-free rate in valuating model. Evaluation process was conducted in two stages, first during the period 2002 to 2011 using short time-series regressions, risk-adjustment coefficients were calculated at three levels: firm, industry and selected portfolios and the coefficients in the second stage along with other required data in the research model used to predict the stock price for the year 2012. The results show good performance of applying the model to predict the stock price of listed companies in Tehran Stock Exchange. Manuscript profile

Open Access Article

8 - Agent-based modeling in financial markets
Hamidreza Vakili fard Mehdi Khoshnood Heidar Foroughnejad Mohamad Osoolian

After stabilization the two main paradigms of classical and behavioral finance in the second half of the twentieth century some problems s arose about the validity of researches such as Complexity of the behavior of investors , Retrospective data and limiting rules on t More

After stabilization the two main paradigms of classical and behavioral finance in the second half of the twentieth century some problems s arose about the validity of researches such as Complexity of the behavior of investors , Retrospective data and limiting rules on the confidentiality of personal accounts and financial information to investors. This problem creates a new approach in the field of Financial Studies that is Agent – based modeling approach which is based on the concepts of artificial intelligence, simulation, and creating artificial financial market.  In This paper will discuss the agent-based approach and its application in financial markets, most software for the creation of artificial financial markets and the use of agent-based models in the classical and behavioral finance. Based on the results of this research agent-based modeling approach beside of classical and behavioral finance paradigm can increase the accuracy and efficiency of the financial markets researches. Manuscript profile

Open Access Article

9 - Application of Extreme Value Theory in Value at Risk forecasting
Hosein Falahtalab Mohammadreza Azizi

Quantifying the uncertainty is one of the most important subject in financial issues, so nowadays in each financial and investment activity risk assessment and management is required. Value-at-risk (VaR) has become a popular risk measure since it was adopted by the Inte More

Quantifying the uncertainty is one of the most important subject in financial issues, so nowadays in each financial and investment activity risk assessment and management is required. Value-at-risk (VaR) has become a popular risk measure since it was adopted by the International agencies in 1988. Precise prediction of VaR provides proper evaluation criteria in areas such as investment decision-making and risk management. Due to the fat-tailed distribution in most real financial time-series, extreme value theory (EVT) is a powerful tool in determining the VaR by concentrating on the shape of the fat-tailed probability distribution. In This study, Peak Over Threshold (POT) approach used for value at risk forecasting by Tehran Stock Exchange (TSE) data. The results show this approach is better than traditional approaches such as historical simulation and variance-covariance methods. Manuscript profile

Open Access Article

10 - Cash Flow Sensitivity Analysis on the Impact of Financial Constraints Based on the Bao Model
Masoumeh Hezarkhani Shadi Shahverdiani Iman Jokar

The purpose of this study was to evaluate the sensitivity of cash flow - cash in accepted companies in Tehran Stock Exchange. For this purpose, 124 firms were selected as examples of companies. In this study the difference in cash flow sensitivity in firms with negativ More

The purpose of this study was to evaluate the sensitivity of cash flow - cash in accepted companies in Tehran Stock Exchange. For this purpose, 124 firms were selected as examples of companies. In this study the difference in cash flow sensitivity in firms with negative cash flow, relative to other firms, were also examined. The results showed that the sensitivity pattern of cash flow - cash in companies with negative cash flow, relative to other companies is different. Other results of the survey also indicate that the sensitivity of this issue cash flow - cash in companies with high financial constraints less than the firms with low financial constraints. The results showed that an external monitor can be sensitive to the value of the cash flow - cash is vital because research shows that firms with high external monitoring, the sensitivity of cash flows - cash Which is more important. Manuscript profile

Open Access Article

11 - Investigation of capabilities of econometrist models in determination of value at risk in investment companies for determination of optimized portfolio in capital market of Iran
Hashem Nikoomaram Gholamreza Zomorodian

In today’s complicated world, we are witness many elements that affect on the profit level of companies. Each of these changes can promote group of companies to the top while destroy other group . So investment decision for actual and legal companies are severely More

In today’s complicated world, we are witness many elements that affect on the profit level of companies. Each of these changes can promote group of companies to the top while destroy other group . So investment decision for actual and legal companies are severely depended on these changes. For decreasing the risk of these sudden changes a desirable portfolio should be determined to avoid least damages from changes. Dealers uses different models to determine the risk value of their portfolio in the capital market. Each of these models uses specific assumptions to determine value under the risk of portfolio. this paper  intend to survey risk value of 21 investment companies by using the econometrist models. Then to compare the prediction power of each models, and introduce the superior model.   Manuscript profile

Open Access Article

12 - Optimization of portfolio Constituted from mutual funds of Tehran stock exchange using genetic algorithm
Fraydoon Rahnamay Roodposhty Kazem Chavoshi Ebrahim Saber

Expansion and growing complexity of financial markets, makes difficult Choosing assets for investors; Meanwhile, based on portfolio theory, diversification, while maintaining average returns, leads to lower fluctuations. Also, due to the complexity and speed of effectiv More

Expansion and growing complexity of financial markets, makes difficult Choosing assets for investors; Meanwhile, based on portfolio theory, diversification, while maintaining average returns, leads to lower fluctuations. Also, due to the complexity and speed of effective factors, constitution of optimal portfolio with Using traditional methods is difficult. This study is aimed at optimizing the portfolio consists of shares of mutual funds using genetic algorithm and comparing it with the traditional approaches and the impact of portfolio size has also been studied. For this purpose, the data of 30 mutual funds in the Iran's stock market from 2011 till 2013 are collected. Results indicate that genetic algorithms can be used to select a portfolio of shares of mutual funds. Using paired t-test determined that using genetic algorithms in portfolio selection is better than traditional methods. Also, the size of the portfolio did not influence the results and at all level, the genetic algorithm has better performance. Meanwhile, the larger and more diversified portfolio, genetic algorithm performance advantage over linear methods  is more significant. Manuscript profile

Open Access Article

13 - Investigation of Economic Effects of Energy Carriers Price Increases on the Composition of Consumption Expenditures of Urban Households
Seed Mohamad Mehdi Ahmadi Jamshid Pajhuyan

The main purpose of this paper is to investigate the effects of energy carriers price increases on composition of consumption expenditures of urban households using Almost Ideal Demand System(AIDS). For this purpose, initially seven groups of goods and services includin More

The main purpose of this paper is to investigate the effects of energy carriers price increases on composition of consumption expenditures of urban households using Almost Ideal Demand System(AIDS). For this purpose, initially seven groups of goods and services including: food and beverage portion, shoes and clothing, transport, communication, hotels and restaurants, water, electricity, gas and other fuels, and other groups is estimated by applying seemingly unrelated regression method and data years of 1380-1389 for 10 cost deciles.Then, the average share of the groups for the years 1390 to 1392 by considering two scenarios increased by 20 and 38% of the price of water, electricity, gas and other fuels as a proxy for energy carriers is predicted. Our results indicate that despite the change in the share of each group of goods based on these two scenarios, but this does not shift in consumer preferences or combined groups of urban households in different deciles. Manuscript profile

Open Access Article

14 - Evaluating of the Business Cycle Status in Iran and its Impact on the Effectiveness of Fiscal Stimulus Programs and Investment
Elham gholami Kambiz Hozhabr Kiani

The main objective of this paper is to investigate the effects of the business cycle position on the effectiveness of fiscal stimulus Programs and investment in Iran. For this purpose, first business cycle is extracted by applying methods Hodrick – Prescott Filter More

The main objective of this paper is to investigate the effects of the business cycle position on the effectiveness of fiscal stimulus Programs and investment in Iran. For this purpose, first business cycle is extracted by applying methods Hodrick – Prescott Filter and data years 1338 to 1391.Then, these years in terms of the business cycle position to two regimes include upper regime and lower regime, is separated and investigated the effects of fiscal stimulus programs shocks (increasing government spending and tax cuts) on economic growth. The investigation have been done by estimating a threshold VAR model including three variables: GDP, government spending and taxes, assuming disturbance terms' heteroskedasticity in two regimes and derivation of cumulative and impulse response functions. The results indicate that the effectiveness of the government's fiscal stimulus is dependent on the position of the business cycle. So, fiscal stimulus plan in the form of increaseing government and tax reductions are more efficient in lower and upper regime, respectively. Accordingly, increasing government spending  in recession conditions and tax cuts in  booming conditions is the best fiscal stimulus plan to stimulate economic growth. Manuscript profile

Open Access Article

15 - The Impact of Crude Oil Price Returns on the Stock Index Returns A Case study: Tehran Stock Exchange & Istanbul Stock Exchange
ebrahim abbasi samira asadian

This study aims to investigate the relationship between crude oil price returns and stock market index returns of an exporter (Iran) and an importer (Turkey). Using daily data of West Texas Intermediate (WTI), Brent crude oil spot prices, and one-four month futures pric More

This study aims to investigate the relationship between crude oil price returns and stock market index returns of an exporter (Iran) and an importer (Turkey). Using daily data of West Texas Intermediate (WTI), Brent crude oil spot prices, and one-four month futures prices for the WTI; Tehran Stock Exchange Price Index (TEPIX), Tehran Stock Exchange Dividend and Price Index (TEDPIX), the Dividend and Price Index for the Istanbul Stock Exchange gathered during the period of 2000-2010; the relationship is analyzed by two models of the Constant Conditional Correlation (CCC) and the Dynamic Conditional Correlation (DCC). The findings reveal that the DCC is predominant over the CCC for Turkey, which means there is a non-constant conditional correlation. In contrast, the findings show the predominance of CCC for Iran. Among the spot markets, stock market volatility is better defined by the Brent than the WTI. For futures markets of the WTI, a better relationship with longer maturity confirms the financial markets as being long-term. Finally, no evidence is found for one- or bi-directional volatility spillovers (interdependencies) between the markets. Manuscript profile

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