INVESTMENT KNOWLEDGE
Year:2019 | Volume:8 | Issue:29 |Papers Count:26

Stock markets are one of the most important parts of each economy. Identifying the effective factors on them helps to have an economy with good indicators. Identifying these factors leads to better policymaking and investment in the capital market. This paper evaluates the relationship between Tehran Stock Exchange and Istanbul Stock Exchange during March 13, 2001 to November 6, 2015 by daily data. Granger causality method and Johansen cointegration test were used for investigating the causality and cointegration between two stocks respectively. The result showed that there was a unidirectional Granger causality from Istanbul Exchange Stock to Tehran Stock Exchange. Also, the descriptive statistics showed the high correlation between two stocks. Finally, the result of Johansen cointegration test didn't confirm the existence of cointegration vector and long-run relationship between two stocks.

We suppose jump beta and continuous beta as two indexes of systematic risk, then studying macroeconomics variables and corporate events effects on them. The results shows that macroeconomics variables effect on continuous beta is greater than its effect on jump beta. While inflation rate has no sensible effect on both betas, growth rate increase causes increase in both and exchange rate increase causes decrease in both betas. The decrease is for times greater in jump beta. According to event study, two or three weeks before capital increase, considerable decrease in jump beta and a week before capital increase, sensible increase in continuous beta are seen. As observed about profit announcement event, news of positive adjustments reach sooner to market than negative adjustments. Positive adjustment cause a little increase in continuous beta, three or four weeks before event and negative adjustment cause considerable decrease in continuous beta around event, while profit announcement has no effect on jump beta.

Technical analysis is a methods to predict price movements which is used widely in financial markets. Theoretical and experimental result shows that investing on different assets as a portfolio cause to risk reduction. One of the deficiencies of technical analysis is lack of attention to make an appropriate diversification on assets. This paper is trying to design an automated trading system which can make an appropriate portfolio and rebalance it whenever needed. This system will be designed by the use of genetic algorithm, technical analysis basis and indicators. In order to assess the efficiency of this expert system twelve stocks were chosen from Tehran securities exchange market and the system has been run for the period of 330 days. Result shows that the return of the expert system is significantly larger than buy and hold strategy of equal weighted portfolio, variance and semi-variance portfolios of Markowitz model and risk free rate of return in Iran.

The purpose of this research is to provide an intelligent model for prediction of golden points on stock price chart as a decision support system. For conduction of this research, the data of the automotive and parts manufacturing industry during 2001 through to 2016 were used. First, the obtained results from application of different forecasting models based on data mining were compared with each other. Next, the research variables were optimized by genetic algorithm and remodeling took place. The results indicated that the golden points could be predicted with reasonable accuracy and optimization did not enhanced accuracy in all these models, yet it significantly reduced gross error.

The price to Earnings ratio (PE) is one of the oldest and most commonly used tools for stock valuation. Although P / E calculation is very simple, its interpretation is practically difficult. In certain circumstances, this is a very rational ratio, and at other times it is completely meaningless. Hence, investors often use this term incorrectly and in their decisions weigh too much. The important thing that can help investors analyze this ratio is to pay attention to the criteria approved by financial experts. Based on the analysis of financial ratios, there are various methods and techniques for determining the factors affecting the price / profit ratio (P / E) of stocks. One of these methods is to use the key variables of the company and its fundamental analysis. In this research, the Harmonic Cross-Innovative Algorithm (HS) has been used to examine the effective measures on the P / E ratio. For this purpose, a sample of 87 companies during the 10-year period (2006-2015) was selected from listed companies in Tehran Stock Exchange. By studying theoretical fundamentals and research background, 27 financial variables that were effective on the P / E ratio were selected. The outputs of the Harmonic Ranking algorithm showed that stock returns, P / B and P / S ratios had the highest impact and coin prices had the least effect on P / E ratios, respectively.

In this paper, the evidence of contract theory regarding the effect of investment opportunities on financing policies is provided using 10125 data collected from 225 companies with non-financial nature and non-negative equity which were active from 2011 to 2015 in the firms list of the Tehran Stock Exchange. In order to achieve reliable results and avoid the consequences of limited periods of time, regression of the integrated data was used as the statistical model. The ratio of properties market to book value, the ratio of stock market to book value, the inverse ratio of price to income, and the criterion derived from factor analysis were used to quantify the concept of investment opportunities and their real options. Financing policy was extracted using the ratio of market value of debts to equities. The results showed that after controlling the effects of companies’ size and their profitability, a significant inverse relationship existed between investment opportunities and development and use of debt in the structure of capital of the surveyed companies. The obtained results are compatible with theoretical explanations in the theory of investment opportunities and contracts between stakeholders in the studied companies.

Investor’ s behavior is hardly comprehensible as people who have rational behavior and they are after profit optimization, all knowing, and extremely reasonable in the real world. Even by the assumption that investors are omniscient and they know everything, this fact that they may have to interact in the process of searching for information and, they may have rational limits, has been ignored. The studies that have been done in the country to explain the behavior of stakeholders in stock exchange or classic finance or just behavioral finance and mediating and intermediate variables and moderating influence on these approaches have not been studied and analyzed. Therefore, lack of Comprehensive research that simultaneously investigate and consider the allotments of both approaches on decision making of all stakeholder’ s stock, had been sensed. The aim of this study is to check and investigate the position and the place of both approaches of behavioral finance and financial Classic in decision-making system to choose stock portfolio to be determined much more the fund’ s market players according to which view they should behave in the market. All brokers of stock exchange, buyers stock including real, legal people, analysts of capital market and investment companies which are active in exchange, are the statistical community of this study. To test and examine the hypothesis, descriptive Statistics and Wilcoxon test had been used. The results showed that none of the three groups haven’ t completely followed the specific approach while classic financial approach had a higher level of average approach.

Financial networks are potential channels for the propagation of crises shocks which are considered as the main factor for systematic stability. The term stress test refers to different techniques and methods used to assess the impact of events or combinations of events, which may occur normally for business units. The methodology of this research is based on historical cognitive method through library method and aimed at knowledge development using scientific resources such as books and articles. In this study, after a short review on the application of stress tests in different researches, we will study the different aspects of the application of stress tests, then we deal with the steps to apply stress tests in risk management using different charts and diagrams. Then we will introduce variety of different methods to run stress tests and will explain the advantages and disadvantages of stress tests, and finally we will offer some recommendations regarding the implementation of this method.

In this paper we examine ecological theories in which could be applied explaining behaviors in financial markets. However animal behavior has been used to describe financial markets so far (Bull and Bear markets and herding behavior), we argue that many theories in ecology has not been studied yet and are overlooked. In this study we show there is a considerable potential to relate ecological principles such as optimal foraging theory, marginal value theorem, prey size threshold, predation and foraging, bet hedging hypothesis, natural selection, weather and animal behavior, and propagule pressure to financial markets theories.

The bubble in the stock market and in general in all markets is a real phenomenon that can cause losses to investors. The main problem facing each investor in the capital market is the decision to select the securities for investing and creating an optimal portfolio of stocks. Hence, stock valuation models have long been used by researchers and investors. Solving valuation puzzle reveals the need to develop a comprehensive model that describes the abnormal return. In this regards, although many efforts have been made and various models have been developed, none of these models has been able to fully explain this abnormal return. In this research, a pricing model in bubble conditions and an evaluation of the effective factors on stock returns are presented using the Fama-French model. For this purpose, the sample included 81 listed companies in the Tehran Stock Exchange( TSE) between 2009 and 2013, which have been selected. The results of this study reveal that among the five factors of the market, firm size, book value to price, momentum and bubble, only two factors of momentum and bubble affect the abnormal returns.

The analysis of stock market is a crucial factor in predicting future events. Network analysis is one of the newest method in analyzing of stock market. In quantitative science literature, network analysis is a new concept for a macro view to whole market. Quantifying the relationship between different stock market is a favorite issue for scientific studies in comprehension of complex systems. This kind of quantifying is done based on the volatility of stock price and their impact on each other. Therefore, this study aims to analyze the correlation of network analysis of pharmaceutical companies in the OTC and stock market in Iran from 2011 to 2016. This study is among the network analysis of quantitative research based on data gathering. Data was analyzed thorough network analysis with the use of SPSS and UCINET. The findings show that in levels of %75 and %80 correlation the Iran Daru and Tolid Daru corporations have the highest degree, and play as a center of network in stock price respectively. In %95 level, only Iran Daru with Tolid Daru and Razak Daru with Tamin Daru investment have relationship and other corporations in this level are isolated. In fact, the results of investigating the stock price network in the %75 to %95 correlation show that the considered network does not have density and consideration and by increasing the correlation, the network entropy raise up and in turn increase the concerns. For investors who are trying to reduce the risk of their portfolio, increase in entropy leads to increase in the risk of their investment.

In the present research, the main issue is the modeling of stock market volatility fluctuations in emerging markets. In the first step, by using Hadrik Prescott's filter and Garch model (1. 1), for extraction of economic cycle, by using the GDP we are indicating business cycles of conteries, the desired economics of modeling are carried out and the results obtained using Regression has been implemented on the returns of sample markets in 24 countries. The study period was between 1992 and 2016. The results show the significance and ability of models presented in the modeling of stock market fluctuations, and the relationship between economic cycles and capital market returns has been confirmed in some countries.

Based on a qualitative method and interviews with experts (Delphi method), the present study identifies (economic, structural, behavioral and regulatory) factors influencing intention-to-pay taxes. The questionnaire designed for assessing the aforementioned four factors. Reliability investigation based on internal consistency and Cronbach’ s alpha method and validity examination based on face, content and construct validity tests demonstrated the measurement instrument’ s suitability. Study population included tax return transcripts submitted by legal tax payers in six districts of Tehran. The study sample volume was set at 382 based on a relative stratified random method. After administering the questionnaire using a quantitative method (exploratory factor analysis), the results (descriptive and inferential) were analyzed. In descriptive part, frequency distribution and central indices were analyzed and diagram was drawn for each variable. In inferential part, the issue was investigated following investigating the variables’ distribution using nonparametric statistical methods and Kruskal-Wallis test. Study findings suggested that the tax return transcript in Tehran’ s center is higher in all of the factors. Mean values obtained for regulatory, behavioral, structural and economic factors are 164. 48, 158. 15, 159. 2 and 154. 98, respectively. The results also indicated that the average ranks of all the factors are significantly higher considering tax return transcripts in Tehran’ s center compared to the other districts (P<0. 01).

In the recent decades, several financial crises have arisen the world over and they have promoted the emergence of a new outlook holding that quantitative economic models based on fundamental factors tend to perform poorly in the prediction of fluctuations. Thus, the study of market behaviors has increasingly strengthen its position in the sphere of applied and research studies. Galactic studies and investigating the impacts of supernatural and extraterrestrial factors on the behaviors of finical markets have traditionally been one the topics which have attracted much attention and argument. Reviewing the research literature connected with these studies and using the TGARCH statistical model – which can be best used in heteroskedastic environments (like the returns of stocks and securities) – in this study we have investigated the impacts of the positions of heavenly bodies and their physical activities on the return of the Tehran Stock Exchange. Daily data for a period of 23 years (1992-2015) were used in this study, and information about heavenly bodies was collected from the NASA Data website and the official website of the World Data Center for the production, preservation and dissemination of the international sunspot number. The results obtained showed that the angle between the position of the Saturn and the Mars (as seen by an observer on the Earth) has a significant negative relationship with the return of the Tehran Stock Exchange. Such a relationship, however with further impacts, also exits for the angle between the position of the Saturn and the Jupiter (as seen by an observer on the Earth). Also, findings showed that there is a significant positive relationship between the return of the Tehran Stock Exchange and the position of the Moon when it is at the full. As to sun spots (solar activities), the results suggested that there is a significant and positive relationship between this factor and the return of the Tehran Stock Exchange. Meantime, the Granger causality test was performed and the results obtained indicated that all factors in the model discussed in this article are, in terms of econometrics, simultaneously the causes of changes in the dependent variables.

This paper examines the relationship between the Default risk of banks operating in the Tehran Stock Exchange and the risk-return of their stocks. In order to measure the Default risk the ratio of doubtful debt to total loans is used. Data is collected in the period of 2008 to 2014 and includes 16 banks and Default institutions under the supervision of the Iranian Central Bank, whose stocks are traded in Tehran Stock Exchange. In order to calculate the risk of banks, the two measures of traditional beta and downside beta was used on which the impact of Default risk is assessed. The results indicate that the Default risk of banks has a significant negative impact on stock returns of banks in Tehran Stock Exchange has. It was also demonstrated that there is positive relationship between the bank Default risk and the both variables of risk (traditional and Downside beta).

The purpose of this study is to investigate the stock portfolio model based on the average entropy in a fuzzy environment with transaction costs based on the theory of credit for 10 stocks in Tehran Stock Exchange in 1396. The present study is not based on average-entropy based models but on the sensitivity analysis of the target function coefficients and the limiting coefficients, especially in maximizing the recursive model and the minimum risk model. Entropy and sensitivity analysis were used to measure the risk and the coefficients of the objective function and the limitations. The results show that when the coefficients change in the range of values, either the optimized answer or the fixed values of the objective function are obtained. The research results help investors to be more confident in their choices.

The purpose of this study is to investigate the effect of political connections on stock price crash risk in 110 listed companies in Tehran Stock Exchange for the period 2011-2016. To test the research hypotheses, the panel data model was used. In order to measure the stock price crash risk, two indicators of the negative conditional return skewness and down-to-up volatility were used. The results showed that political connections has a positive impact on stock price crash risk. In the sense that executives show good face from position firms by hoarding bad news and, this behavior of managers in the long run will lead to a stock price crash. The companies also split through the advertising cost into two groups of companies with high and low information asymmetry, and the findings showed that the positive impact of political connections on stock price crash risk is more severe in companies with high information asymmetries.

Financing decisions are one of the decisions that managers of the economic unit make in order to maximize the wealth of shareholders. These types of decisions relate to the structure of capital, as well as the selection and selection of the best means of financing and its composition. Therefore, the purpose of the research is to investigate the role of corporate governance mechanisms on the corporate finance balance sheet approach. The research method is quasi-experimental with post-event design, and 98 companies listed in Tehran Stock Exchange during the period 1391-1395 were investigated. To test the hypotheses, multivariate regression technique has been used by panel method. The results of the research showed that there is a positive and significant relationship between the concentration of ownership and the size of the board with the external financing; as the amount of ownership and the number of board members increases, financing from outside sources increases. However, there was no significant relationship between institutional investors and the independence of the board of directors with external financing, and these two variables did not affect the outsourcing of financial resources. Also, there is a meaningful relationship between institutional investors and the size of the board with the financing. In other words, the presence of this group of investors and the number of members of the board has been able to increase funding from the company's resources. However, no significant relationship was found between the ownership concentration and the independence of the board with internal financing.

Companies with dual holdings are institutions in which at least one of their shareholders is a Creditor (debtor) at the same time. Given the discrepancy between franchising and the rights to cash compensation, it is expected that the existence of dual holdings in the ownership structure will result in information asymmetry in these companies. This indicates that the information environment is likely to be weaker in dual holdings companies, and therefore, the executives of these companies have a higher incentive to control and expand the information. On the other hand, it seems that in dual holdings companies, due to the higher information asymmetry and lower domestic information quality, there is a higher incentive for opportunistic earnings management. The statistical population of this research includes 140 companies listed in Tehran Stock Exchange during the period from 2013 to 2018. To test the research hypotheses, multiple linear regression has been used based on combined data. Findings of the research show that the information environment is weaker in dual holdings companies. In addition, the results of the research showed that there is a negative relationship between earnings management and information environment. In other words, earnings management reduces the quality of the information environment. The results showed that dual holdings do not have a significant effect on the relationship between earnings management and information environment.

The main objective of the present research is to design a indigenous model of innovation economics based on the main dimensions of strategy in Iranian government organizations with the case control of the State Property Registration Organization, which can predict the needs and changes with this model. In this research, the main dimensions of the strategy are three dimensions (content, conceptual and process) and organizational innovation consisting of seven components. The present study is based on the method of exploratory mix (quantitative and qualitative). The statistical population consisted of all 570 individuals (general directors, deputy heads of general director and general manager). The sample was selected by random sampling of 230 members in order to collect data. Data collection was done through previous studies and reviewing documents, deep and semi-structured interviews, and finally the distribution of questionnaires has been used. Data were analyzed using Liserl, PLS and SPSS software and through confirmatory factor analysis. The research findings show that there is a positive and significant relationship between the main dimensions of the strategy and components of new sources of value, new business models, powerful and knowledgeable customers, supply and demand chain complementarity, and structures based on virtual networks. The components of intellectual and virtual human integrity and the new ownership of capital were not approved by the organization for lack of adequate structural and human infrastructure. Finally, the indigenous model of innovation economy was designed based on the main dimensions of strategy in Iranian government agencies.