Financial Economics
Year:2022 | Volume:15 | Issue:4 (57)|Papers Count:15

Abstract: Value at risk is applied as a downside risk measure to quantify risk and as a basis for calculating the regulatory purpose capital of financial institutions. The present study seeks to select the most accurate models for estimating value at risk, both simple and advanced, and to present a new wavelet based model on Tehran Stock Exchange. Filtered historical simulation(FHS), Conditional extreme value theory model(CPOT) and a new hybrid semiparametric model called "Wavelet based Filtered historical simulation" in various forms using different volatility models and distribution assumptions were estimated and on the Tehran Stock Exchange. The backtest finding of research conducted in a period of about 11 years of the total index of Tehran Stock Exchange(TSE) from 2010/4/7 to 2020/4/1 (more than 2400 daily of index return data) indicate the higher accuracy of the filtered historical wavelet-based simulation (WFHS) VaR model in comparison to other models at all-time horizons and different confidence levels.

In this research, the effect of the number of branches and the geographical distribution of bank branches on the profitability of Bank Sepah in Ardebil province has been studied. In this study, data and information related to Sepah Bank in Ardabil province in the period 1371 to 1399 are collected and in the form of time series data and cross-sectional data are estimated in two separate models. The results of the model estimation showed that the geographical distribution of the bank branches affects their profitability and this effect is statistically significant at a significant level of 5%. In other words, the branch operating in high-income areas of the city has a higher profitability compared to the middle and low income regions. The number of Bank Sepah Branches also has a positive effect on bank profitability and this effect is statistically significant at a significant level of 5%. Also the loan to the asset ratio, the size of the bank and the market share of the bank has a positive and significant effect on its profitability. Also, at a significant level of 5%, the number of years of activity of the bank branch has a positive and significant effect on its profitability.

In economic theories, the development of the export market is considered as the engine of economic growth and a factor in the continuation of the life cycle and the continuation of the company's activities. The purpose of this study is to provide a model for developing export development strategies for foreign markets in the petrochemical industry using an approach based on data theorizing. The statistical community is experts, professors and experts in the field of research. The sample size is using targeted technique and snowball that in data theorizing of data collection foundation continues until the research is saturated with 14 experts in this research. The data collection tool is exploratory and semi-structured interviews. The results of the data obtained from the interviews during the open, pivotal and selective coding process, to establish the foundation data theory in the field of providing a model for developing export market development strategies using foreign markets. The data-driven method led in the petrochemical industry.

Banking capital and risk decisions are affected by laws, private incentives and capital market pressure. Focusing on examining these cases will explicitly provide an updated insight into empirical evidence on the impact of auditors 'regulations on capital and risk, and provide an assessment of the evolution of banks' decision making mechanisms. Therefore, this research has determined the factors affecting the optimal level of risk and optimal capital structure in Iranian banks using Delphi-Fuzzy approach based on in-depth interview with experts and content analysis. After identifying the effective factors using content analysis and content analysis, 15 experts were interviewed. The Delphi-Fuzzy approach was used to determine the effect of the final factors. The results show that the most important factors affecting efficiency are physical capital cost, manpower cost, cost of funds, investment in securities and net facility. In addition, among the various factors, the variables of facility coverage rate, risk capacity and legal requirement will be the most important factors affecting the optimal level of risk in banks. Finally, minimum capital, minimum capital risk and minimum leverage ratio were considered as the most effective factors in determining optimal capital structure.

Economic sanctions have long been used as a tool in the foreign policy of some countries against others. Iran is not outside the scope of this policy and has been under severe economic sanctions for more than a decade. The development of the hand-woven carpet industry is especially important for Iran, which faces problems such as rising unemployment, limited access to foreign exchange resources, oil economy, tax evasion, high inflation, and so on. This study deals with the impact of economic sanctions on personal economic interests and carpet development from the perspective of weavers and those involved in hand-woven carpets in Sistan in the economic, socio-cultural and environmental dimensions of the carpet industry. Research shows that economic sanctions in the field of individual economic interests affect the economic, socio-cultural and environmental dimensions of the carpet industry from the perspective of handicraft suppliers.

The purpose of the present study is to present a smart money model in the Iranian stock market given its conditions and structure, so that all individuals active in the capital market can act more consciously and more professionally. The method based on this theory is based on data Which is collected through regular interviews with experts and have been analyzed and its purpose, making a theory that is honest and enlightening in the field under study. The statistical population includes capital market experts and academic experts in the field of finance and investment. The sample consisted of 12 semi-structured interviews with snowball sampling Open, axial and selective coding was used to analyze the data. The results showed that the obtained model includes causal conditions (macroeconomic factors, global market situation, country's political climate, industry and corporate factors), context conditions (laws and regulations issued by the government and organization, trading infrastructure). Intervening Conditions (Legal and Real Investor Behavior, Parallel Markets Behavior), Entering smart money into Iranian stock market. Strategies conditions include (market entry strategy, return strategy) and (micro and macro) as consequences were defined, which increased liquidity, the value of transactions and to some extent the index are also micro-consequences and at the macro level it leads to the development and expansion of the market.

Extensive subsidies and excessive energy consumption have necessitated the need to reform consumption pattern and price. The present study seeks to investigate the effects of energy carrier price reform on important macroeconomic variables and for this purpose, a small open New-Keynesian DSGE model has been calibrated and simulated for Iran. The results of impulse response functions analysis show that the detrimental effects on household consumption, enterprise investment, non-oil production and total output as a result of positive price shocks in energy carriers can negatively impact Iran's economy for at least 30 periods. A accelerated decline in investment over the course of nine periods and a return to a stable level over 25 periods can also be a crisis. Therefore, the need for complementary policies to encourage investment and counteract price increases, as well as the role of the government in efficient subsidies redistribution and infrastructure investment, can be extremely important.

The underground economy is one of the problems of developing oil economies such as Iran. It is argued that the underground economy can hinder financial development, and from the reciprocal view, financial development can reduce the size of the underground economy. Accordingly, the present study examines the causality between financial development (bank-oriented and stock-oriented) and the volume of underground economy in the Iran's economy by the Hsiao causality method during the period of 1350-1396. In this study, the MIMIC approach was used to calculate the underground economy index in Iran. Based on the results, in the Iran economy before the oil shock of 1352 and also the period of revolution and war (1356-1368) has had a low level and decreasing trend in terms of underground economy. But for the rest of the years, the trend has been roughly incremental. According to the Hsiao causality test, the underground economy is not the cause of the bank based financial development-and stock based financial development; on the contrary, bank based financial development-and stock based financial development are the cause of the underground economy. This means that with financial development, part of the underground economy can be controlled in the Iran economy.

Awareness of the structure and potential of different sectors in the Iranian economy is one of the important and effective factors for success in development planning. Service section is one of the most important section in a country’ s economy that it operates as a development (growth) motor of other sections and its share is constantly increasing in the gross domestic product and development. Hence the effective factors on its added value has always been of interest to economists and politicians. On the other hand, investigating the direction and extent of the impact of liquidity changes on macroeconomic variables is always important to formulate and adopt appropriate macroeconomic policies. In this study, considering the share of service section in the gross domestic product (GDP) and employment in the Iran’ s economy as well as liquidity volume mutations in the recent decade, we examine and analyze the direction and extent of the impact of value added of the service section from changes in the volume of liquidity by using time-series data on an annual basis during the period 1360 to 1395 dynamically. In this regard, the self-return model with Non-Linear Auto Regressive Distributed Lag (NARDL) and the threshold test approach has been used. The research outcomes confirm the existence of a long-term Cointegration between the variables of the model. Furthermore, the results show that liquidity volume changes’ shocks have a greater impact on the value added of the service sector in the long term. According to other research results, the effect of bank credit interest rate on value added of services sector is positive and significant and the attraction of value added of service sector is more than short-term and long-term interest rate of bank credits compared to changes in liquidity volume.

This research was aimed at Presentation a Model for Explaining the Role of Social Capital in the Success of International Entrepreneurship. The statistical population in the qualitative section consisted of Academic and organizational experts including the managers of the Tehran Chamber of Commerce and in the quantitative section include all the members of the Tehran Chamber of Commerce. The sample size in the qualitative section with theoretical saturation (20 people) was estimated using purposeful sampling and in the quantitative section based on Cochran's formula, 335 people were estimated by stratified random sampling method. The data collection tool was interviewed in the qualitative section and in the quantitative section the questionnaire was. Validity of the questionnaire from a formal and content perspective through several experts, convergence validity was calculated by calculating the mean of variance extracted and cross-check validity was verified by calculating AVE optimization. Reliability questionnaire through Cronbach's alpha for the whole questionnaire was 0. 86 Lisrel software and smartpls were used to analyze the data. The results obtained to identify 18 components and 84 indicators led to 7 influential components including Social prosperity, social cohesion, social cohesion, social acceptance, social participation, trust in organization and interactions and the 3 effective dimensions of Export performance, international competitiveness and economic growth affect on Role of Social Capital in the Success of International Entrepreneurship.

In this study, the behavioral biases and decisions of individual and institutional investors based on technical information in the Tehran Stock Exchange were investigated. For this purpose, two market situations, including the passage of support and proximity to resistance, and the decline of resistance and proximity to support as technical levels in investment decisions have been studied and the effect of 15 behavioral biases of investors in both groups of individual and institutional investors on financial decisions based on buying, selling or not taking action for the transaction were tested. The statistical population of the study included individual and institutional investors in the Tehran Stock Exchange, which 385 individual investors and 100 institutional investors were selected by available sampling method, and the questionnaires were provided to them. In order to analyze the data obtained from the questionnaire, polynomial logistic regression models was used and the results showed that the behavioral biases of individual and institutional investors had different effects on their investment decisions at the levels of resistance and support, and behavioral bias among individual investors has also been more predictive of their investment decisions. The results also showed that the behavioral biases of short-sightedness, excessive optimism and one-dimensional analysis were the same between the two groups of investors.

The trend of increasing developments in today's business environment, these types of companies, whose technological capabilities, skilled workforce and advanced management are their most important features, are part of global networks and production chains. Data, therefore, seems to be the key to the economic development of the next decade, the development of knowledge-based companies. Therefore, the main purpose of this article is to investigate the effect of entrepreneurial financing methods on collective participation in knowledge-based businesses. The research method of the present article is practical and in terms of research method, data collection is by survey. The statistical population of this article is the officials and managers of knowledge-based companies, the elites in the executive work of knowledge-based companies, and the professors of the universities of the country. Due to the large population, the sample size was selected non-randomly and purposefully. In this article, among the officials and managers of knowledge-based companies, the elites are active in the executive work of knowledge-based companies, and university professors are 50 people by non-random and purposeful sampling method as the sample size of experts. Was determined. The data collection tool in this research is a researcher-made questionnaire and questionnaire that using the content validity ratio index, the validity of the questionnaire questions was examined and it was shown that the validity of the questionnaire questions is confirmed. Then, the reliability of the questionnaires was assessed using Cronbach's alpha coefficient. The value of Cronbach's alpha coefficient was reported to be 0. 851%, which indicates that the questionnaire used has the necessary reliability (reliability). Then, using SPSS 24 software, the collected data were analyzed in two stages: descriptive and inferential statistics. The results obtained in this paper using multivariate linear regression equation show the methods of mass financing (method of receiving facilities, method of forming cooperatives, method of creating a plan as equity, method of dissemination). Participation bonds, the method of creating investment companies, the method of participating in the stock market, the method of attracting capital through angels, the method of risky investment funds) on and meeting the financial needs related to the company's activities. Knowledge-based activities have a positive and significant effect. And expand knowledge-based businesses. Therefore, it is suggested that according to the results of research in Iran, financing has a long history and it is possible to revive the cultures of the past today by using the direction of collective financing in order to develop entrepreneurship, including crowdfunding. (Local deciduous trees), using the family financing method and using Qarzah al-Hasna loans in the neighborhood.

The purpose of this study is to investigate the effect of CEO power, political communication and social responsibility on the sensitivity of investing in cash in companies listed on the Tehran Stock Exchange. To determine the extent of political communication, two criteria have been used, including government ownership and taxes paid. For this purpose, three (3) hypotheses have been developed to study this issue and the data related to 104 member companies of Tehran Stock Exchange for the period between 1390 and 1397 have been analyzed. The research regression model has been investigated and tested using a combined data method with an integrated approach. The results show that the power of the CEO has a negative and significant effect on the sensitivity of investing in cash, the criteria of political communication have a negative and significant effect on the sensitivity of investing in cash and social responsibility has a negative and significant effect on It has the sensitivity of investing in cash.

One of the topics well dealt with in the theoretical foundations of financial economics is the sensitivity of investment costs to cash flow. The extent to which a company relies on internal resources is determined by the investment's sensitivity to its cash flow. Therefore, the purpose of this study was to investigate the relationship between free cash flow and investment sensitivity with respect to the moderating role of financial constraint in listed companies in Tehran Stock Exchange. The sample companies in this study included 125 companies listed in Tehran Stock Exchange during the years 2012 to 2016. In this regard, there are three hypotheses that there is a significant relationship between free cash flow and investment sensitivity as well as examining the moderating role of financial constraint in the next hypothesis and also in firms that are expected to suffer more financial constraint, investment sensitivity is less than Free cash flow is not higher. Data were analyzed using linear and logistic regression statistical techniques with Eviews software. The results show that there is not only positive and significant relationship between free cash flow and investment sensitivity; The financial constraint also moderates the relationship between free cash flow and investment sensitivity, and in firms that are expected to suffer greater financial constraints, investment sensitivity is not lower than higher free cash flow.

The purpose of this study was to investigate the relationship between smart business and integrated reporting and its impact on firm performance. After introducing integrated reporting as the latest development of corporate reporting, 65 companies have been selected in the period of 1398. To measure integrated reporting from content analysis method; Smart Business has used the standard questionnaire of Provich et al. (2012) and financial performance from the rate of return on assets. Multivariate regression method (generalized least squares) was used to test the research hypotheses. The research findings show that on average, companies provided 37. 6% of integrated reporting. There is also a significant relationship between smart business and integrated reporting and this relationship affects the performance of companies listed on the Tehran Stock Exchange.