FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)
Year:2019 | Volume:11 | Issue:40 |Papers Count:14

The managers tend to hoarding and accumulation of bad news for extended periods. The hoarding and accumulation of bad news for extended periods lead to stock price crashes when the accumulated hidden bad news crosses a tipping point, and thus comes out all at once. Theoretical literature shows that the main root of stock price synchronicity and stock crash risk is the lack of transparency of financial information. In this study, the relationship between stock price synchronicity and stock crash risk was investigated. Due to Limitations of the study, 63 listed firms of Tehran Stock Exchange, during the period 2009 to 2014 was studied. To do so, down-to-top volatility model was applied to measure stock crash risk and Also, For data review and test of the hypothesises from panel data was used. The results showed that between Stock price synchronicity and stock crash risk there was no a significant positive relationship.

In this article investigate the herd behavior of stock prices inTehran stock exchange with the Heston model. Basing on parameter estimation of the Heston model obtained by minimizing the mean square deviation between the theoretical and empirical return distributions, we simulate mean residence time of positive return. Plots of mean residence time of positive return against the amplitude or mean reversion of volatility demonstrate a phenomenon of herd behavior for a positive cross correlation between noise sources of the Heston model. Also, for a negative cross correlation, a phenomenon of herd behavior is observed in plots of mean residence time of positive return (MRTPR) against the long-run variance by increasing amplitude or mean reversion of volatility. From the simulating results of MRTPR, we observe that (i) when MRTPR is regarded as a function of the amplitude of volatility fluctuation c, there is a phenomenon of the herd behavior for a positive cross correlation between two Wiener processes of stock price and volatility (i. e., λ > 0); (ii) when MRTPR is regarded as a function of mean reversion a, there is a phenomenon of the herd behavior for our considered values of b and c under λ > 0; (iii) increasing a or c induces a phenomenon of the herd behavior under λ < 0 when MRTPR is regarded as a function of mean reversion b.

Portfolio selection,in order to maximize the profit from investment,is an important concern for minor and institutional investors.Therefore;efficient and secure optimization of financial assets is one of the most important new and modern,financial topics,trying to improve the portfolio performance using modern approaches of other sciences.Accordingly,this article aimed to optimize the index returns of top 10 companies of Tehran Stock Exchange from 2011 to 2015 using portfolio risk minimization approach with the maximum yield according to conditional value at risk and differential evolution algorithm(DE-CVaR) on a monthly basis.The results showed that differential evolution algorithm with the conditional value at risk approach,had better Sharpe and returns ratios by CVaR value compared to the random algorithm.The results of posttest with monthly approach also showed that DE-CVaR was better than random algorithm in terms of the criteria for selecting the optimal portfolio.

In this study, relying on theoretical principles of behavioral finance and marketing mix, the effects of marketing mix and its factors has been examined on Tehran stock exchange stakeholders' behaviors. In this paper, based on 5 years periods from the begging of 1389 to the end of fiscal year 1393, the assumption as effects of the service marketing mix and its variables on stakeholders' behaviors among services firms which accepted in the Tehran stock exchange has been tested. This study, as an applied research uses correlation methods specifically the structural equation modeling (SEM) to investigate the relation between service marketing mix variables' namely product, price, place, promotion, people, process, physical evidence as independent variables and stakeholders' behaviors as dependent variable. According to the descriptive data analysis and structural equation modeling results, we've found that the Tehran stock exchange stakeholders' behaviors has significant relation with service marketing mix concept and its variables.

The purpose of this research is the pricing of gold coin option contracts based on the Black-Scholes model and identification of the profitable strategies in the Iran mercantile exchange. For this purpose, The theoretical prices of the option contracts based on the Black-Scholes method have been compared whith market prices for each maturity from December 2016 to September 2017. (200 working days in the Iran mercantile exchange). The volatility of the gold coin in the market has been estimated by the GARCH method as a variable in the pricing models. The results of the research indicates that the market prices of gold coin option contracts in Iran mercantile exchange were lower than the theoretical prices in 53 to 100% of investment days, (at different strike price) Also, the Bull Call Spread for the gold coin option contracts in Iran mercantile exchange with Exercise dates of January 2017, the the Bull Call Spread and Butterfly Spread for option contracts with the maturity of November 2017 are profitable.

This study aimed to investigate the influence of socio-cultural factors structure of participation in the stock, according to Securities and Exchange mediator of trust in Iran. The sample group consisted of 398 samples were selected based on random sampling. For statistical analysis of the correlation coefficient method, hierarchical regression and structural equation modeling (SEM) was used. The results show that although the test variables, socio-cultural factors influence of some variables such as beliefs, participation in stock or reject, such as education, income, and legislation is approved, but by examining the variables of trust, such as optimism, ambiguity aversion and risk aversion and direct and significant impact of these variables on participation in the exchange on the role of influential variables related to socio-cultural factors is stressed. The results of multiple regression analysis correlation and model the role of trust in the relationship between socio-cultural factors contribute to the exchange as a mediator confirmed. In the following through compliance data and conceptual model, structural equation modeling to assess the impact of trust as a mediator was fitted and the Influence of socio-cultural factors by role of mediator Trust on participation in the stock confirmed.

The aim of this study was to determine and evaluate the impact Off Balance Sheet Financing on sustainability profit and Economic Value Added of companies listed on the Stock Exchange of Tehran. One of the most important issues that usually companies in order to maximize shareholder wealth in line with the company's strategic plans are facing, financing. In this study, The effect of operating leases, As the most important and widely used tool Off Balance Sheet Financing on sustainability profit and Economic Value Added of Economic performance was evaluated during the year of 2090– 5902, as evaluation criteria. A total number 79 of companies, ordinly observation909 )company-year( chosen as samples and test research hypotheses using two independent population difference test and multivariate regression was performed with pooled data. The results show that Not affect Off Balance Sheet Financing through operating lease on Economic Value Added of companies. But a direct impact on Sustainable profits This means that in a company of any size increased use of operating leases increased Sustainable profits And profit from the quality and continuity are more flexible.

Among the important policy objectives and economic programs, the implementation of policies for reducing the trade deficit. Empirical studies provided conflicting results regarding the effect of devaluations on the trade balance reached. This study aimed to investigate the nonlinear relationship between the real effective exchange rate and trade balance, considering the savings rate using a smooth transition regression approach during period 1960-2014. The results of smooth transition regression (STR) model estimation, confirmed that the savings rate had non-linear effect on the trade balance. Our estimation results showed that effectiveness of savings rate, the real effective exchange rate and terms of trade on trade balance depended to the regimes which Iranian economy was in there. Also we fund that generally in first regime savings rate and the effective real exchange rate had statically meaningful and positive effect on the trade balance and the terms of trade had a statically meaningful and negative effect on the trade balance. While crossing the threshold and entering into the second regime savings rate and terms of trade coefficients had statically meaningful and positive effect, but the real effective exchange rate had a statically meaningful and negative impact on the trade balance.

Financial markets, especially capital markets, are considered the main tools for equipping and allocating financial resources. With regard to the strategic, financial and economic importance of such markets, whenever a widespread disruption or deviation occurs, it becomes extremely difficult to equip and allocate a country’ s financial resources. One of the contributing factors is price bubble. In fact, the essence of price bubbles lies in the reactions to price hikes. Thus, the increase in prices leads to greater investor appetite, higher demand and ultimately another price hike. In such occasions, the investment managers plan to optimize their stock portfolios. In other words, they intend to bring about maximum return for customers and shareholders in exchange for a certain level of risk. This study attempted to examine several variables such as stock price, stock monthly return, overall market return, variance, standard deviation, var and Downside Risk to a new model within the bubble space at Tehran Stock Exchange (TSE) for period (2000-2015). At first, the effects of bubble were proven and the junctures were identified for 7 periods. Then, the variables were analyzed to achieve an optimization model, adopting an approach similar to Sharpe’ s, where the extracted optimum portfolio brought about a far more desirable position for the investors than other portfolios under non-bubble conditions involving return, Sharpe, Treynor and Jensen. The main hypothesis was proven and a new model was proposed to achieve the ideal results through analyzing the model within an ascending bubble space as well as a descending bubble space, which were then compared against a non-bubble space.

In this research, by presenting a completely new model at the national and international levels, a practical framework for accurately determining the shocks of foreign markets on stock returns has been provided; so that, using monthly data from 1998 to 2017 and the Markov Switching Fractionally Integrated Threshold GARCH (MS-FITGARCH) model attempts to investigate the oil price shocks on stock market returns and the comprehensive modeling of Heteroscedasticity characteristics, leverage effect, Volatility clustering, and long-term memory in the framework of various recession and expansion regimes of the stock market returns. In addition, the Dynamic Conditional Correlation-Fractionally Integrated Threshold GARCH (DCC-FITGARCH) model has been used to investigate the relationship between oil market and stock market fluctuations. The results of this study indicate the significance of the model's coefficients and the necessity of using the model introduced in the research to model the fluctuations of Tehran Stock Exchange. Based on the results, the regime one capture the recession conditions and the regime two capture the expansion conditions of Tehran Stock Exchange. The results of the MS-FITGARCH model indicate a significant positive effect of oil price shocks on the stock return average in the expansion regimes, so that the effects in the recession regime are not significant. Also, the results of the DCC-FITGARCH model are in line with the first model and represent a more positive conditional correlation between the fluctuations of the stock market and the oil market during the expansion economic periods.

Is gold a hedge or diversifier, defined as an asset that is related with stocks on average, or is it a safe haven, defined as an asset that has a special relationship with stock market in the times of market crash? We study the relationship between Tehran Stock Exchange returns and gold returns to investigate the gold role as a hedge, diversifier and a safe haven for Tehran Stock Exchange. We conduct our study through Threshold Regime Switching model to thoroughly determine the different regimes in the gold coin-stock market relations. Due to the high liquidity of Bahar Azadi gold coins market, we use their market price to represent the gold price in Iran. We also consider the effect of global gold price and USD-IRR exchange rate on gold coin-stock market relation. We find that gold coin-stock market relationship doesn’ t depend on specific different regimes and gold coins act as a weak hedge for stock market.

One of the most important investment options in Iran is the Mutual Fund. In order to select a number of successful mutual funds, their performance in specific period of time should be appraised. In this regard, a number of measures are used for evaluating their performance, including the moderns and post moderns methods. In this work, the persistence in mutual funds’ performance is surveyed using momentum strategy (i. e. post modern strategy). The studied sample included 35 mutual funds in the period of 1390to1395 (Persian calendar). The yield of each mutual fund is calculated and compared in pairs for different time periods (e. g. 3, 6, 9 and 12 months). Afterward, the obtained yield values analyzed using the correlation and regression techniques. Based on the obtained results, it can be concluded that based on the momentum strategy, for the time periods of 3, 6 and 9 months, persisted performance could be observed for all investigated mutual funds. However, for the time period of 12 month such persistence couldn’ t be observed. Consequently, it can be concluded that the momentum technique Can not be used for studying the persistence of mutual funds in a 12 months fiscal year.

Choosing an appropriate strategy for portfolio rebalancing is a crucial matter in today's financial markets with logarithmic and high frequency transactions. In log-optimal approach named also active strategy, portfolio rebalancing is a continuous time process and the optimality of such strategy is assured only for very long-term investment horizons. But continuous-time rebalancing is impractical and portfolios have finite horizon usually. In this article we will introduce another strategy with less rebalancing frequency to attain log-optimal utility at least, because of costly and infeasibility of continuous rebalancing for investors. Then we will implement these strategies on a portfolio consist of several Tehran exchange stocks. The results showed that «Hybrid Rebalancing Strategy» offers more utility for investors in comparison to other strategies.

In recent years, digital currencies have attracted many investors. Bitcoin is one of those digital currencies that are considered to be trading more than other currencies. A review of Bitcoin prices is indicative of fluctuations in this market, which increases probability of existing bubble. In this regard, using the monthly data for the period from 08/2013 to 01/2018, the bubble of this market and the single or multiple type of bubbles were investigated. The method used in this study is A recursive unit root test, which was used in the form of SADF, RADF and GSADF tests. Based on the RADF test, there were four bubble periods (March 2015-April 2015, Decembar 2015-March 2016, July 2016-January 2017, September 2017-not disappeared) that had single structures. Based on the SADF test, there was a continuous long bubble period (August 2016-not disappeared), which has a single structure and has not yet exploded. Finally, based on the GSADF test, there were three bubble periods (March 2015-May 2015, Decembar 2015-March 2016, July 2016-not disappeared), that two first bubbles have same structure (March 2015-May 2015, Decembar 2015-March 2016) and the third one has multiple structure (July 2016-not disappeared).