FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)
Year:2014 | Volume:7 | Issue:22|Papers Count:7

The nature of risk management make multidimensional this studies. therefore must pay to appropriate fields for optimal management of risk according to mathematical and statistical techniques, hedge models, profit opportunities and create return. Speculators can minimize foreseeable risks with optimize portfolios and then go to embrace the risk and hoping to benefit from higher return. Transaction Strategies with uses option contract gives this opportunity to them. This article deals with survey the pattern of risk in trading call option, comparison the risk pattern of buyer and seller call option and risk pattern of adoption spread transaction. The results that get after calculation the price of call option for 45 companies, described in detail how risk management of trading positions and gain return according to the volatility and changes in stock prices and with uses spread transaction.

This paper has done for research about behavioral finance context. In this paper we try to prove the existence of Saturday, Monday and weekend yield effect and the existence of Saturday, Monday and weekend transaction mass effect for 6 years (2007-2012). In this paper we use Student's t-distribution. Goal of this research is recognition of investors' behavior and earn more profit in Tehran exchange market. Also, this research characterizes somewhat market efficiency. Conclusion show that there are strong Sunday effect and semi-strong Saturday effect into other days and yield of Saturday is lower than other days. Also, there is strong Wednesday effect with positive yield into other days. About transaction mass, there is Saturday and Wednesday effect how Wednesday transactions mean is higher than Saturday transactions mean. These effects show that investors are hopeful in Wednesday to earn more yields on the next week and buy more stock, but in Saturday they are hopeless and began to sell their stock.

The firms that have provided a clear picture of their future are more widely accepted in the market. One of the ways to draw this picture is exposing the prediction of earning per share. This broadcast makes the capital market sure that firm provides information impartially.This study tries to examine the relation between the predicted earning by management and the firm value and risk. Sampling is done by systematic elimination method and regression analysis was used for testing hypothesis. Sample consists of 178 firms which are listed in Tehran Stock Exchange and their data were statistically analyzed during the years of 2007 to 2011; therefore, the sample size in this study is 1068. The results of logistic regression has shown that the firm reported prediction of earning per share is potentially considered by capital market, and the activists in this market would use these figures to decide in providence model for investing.

Calendar anomalies are the cyclical patterns which cannot be explained by fundamental factors in stock returns. One of the most important anomalies is the Months effect of year that their discovery is the opposite of market efficiency theory. Therefore, the purpose of this article is the examination of stock Anomalies monthly in Tehran Stock market in the period 1998-2012 through moving block bootstrap method and Percentile confidence intervals.The conclusion shows that Farvardin returns average has the positive, significant and highest return. Accordingly, the liquidity effect and Window Dressing theory could be an explanation to positive returns in the period 1998-2012.

In this study, the asymmetric effect of the inflation shocks on Tehran Exchange Price Index was investigated. First, the GARCH method was applied to measured inflation shocks, the impact of inflation shock on stock price was estimated, by using impulse response function (IRF) and variance decomposition analysis (VDC) Techniques. for the purpose, quarterly data over the period of 1370-1390 has been used. the result of this study Suggest that the impact of inflation shocks on stock price is asymmetric. The negative effects of positive inflation shocks on stock price is greater than the positive effects of negative inflation shocks.

In this disquisition, has been paid to comparing the performance of static and dynamics neural network by purpose choosing appropriate model in predicting of Tehran Stock Exchange. The data used in this study consists of daily and interval of time 1388/1/5 to 1390/8/30, that Including 616 observation for in sample and out of sample forecasting. Approximately 90% of these observations (556 data) use to estimate coefficients of the model and the rest of them (60 data) use to forecast out of sample. Models are also employed in this research; two stationary neural network models such as fuzzy neural network (ANFIS) and artificial neural network (ANN) and a dynamic regression neural network model (NNARX). The results of this survey indicate that According to Criteria to calculate the forecast error, among Mean squared error (MSE) and root mean square error (RMSE), Fuzzy neural network model of static, dynamic regression models, neural networks, and finally static artificial neural network models have lowest prediction error, Respectively.

The aim of this study is to investigate the relationship between spot and futures price of gold coins in Iran and how market information spread between these markets, and analysis between changes in cash and futures price volatility is the daily gold coins. Daily data for the future price of gold coins collected in 2012 from Iran Mercantile Exchange, has been used. To examine the relationship between spot price and futures price of gold coins multiple regression models, vector Autoregressive, GARCH and Granger causality test is used. The results showed that changes in futures and spot coin price does not have a significant relation in the VAR model and multiple regression, But the spot and futures price volatility have an effective relationship. Granger causality tests also showed there is a relation from the spot price to the futures price changes. But the spot price and futures price volatility results indicate that this is Duplex relationship between markets, there is information flow between the two markets as a perfect.