ECONOMIC RESEARCH REVIEW
Year:2009 | Volume:- | Issue:5 (SUPPLEMENT)|Papers Count:11

Stock market as a term of financial market have a main role in modern "Economic Market" and companionship between financial development and market growth lead to decrease Inflation and Deficit; also it can be useful for household budget reinforcement and increase of common welfare. One of the most enduring debates in economics is whether financial development causes economic growth or vice versa. This article examines causality relationship between stock market and economic growth based on time series data compiled from 15 countries for the years 1990 through 2005.Sim’s causality test based on Granger definition of causality was used.Analysis based on the whole of panel data revealed two-way causation between stock market development and economic growth. On the other hand, countries and income groups’ level analysis could not lead to precise conclusion, but suggested a somewhat stronger link between stock market development and economic growth in developed countries.

According to the economists, low level of investment is one of the main hinders of development in the developing and under-developed countries. The role of the stock market as the main routes to collect saving is undeniable. For this reason, we would like to study the main factors affecting the stock market.Then, by choosing the optimal policies it is possible to stimulate the stock market in the right direction. This paper tries to study the long-run and short-run relationship between the macroeconomic variable (the control variable of the government) like exchange rate, government expenditure, money stock and tax with market value of the stocks by using VAR and ECM models.The result shows that there is a positive correlation between money stock and the value of stocks.This positive relation continues to hold between value of stocks and the government expenditure. While there is a negative relationship between tax and the market value of stocks. This negative relationship continues to hold between exchange rate and the value of stocks. We conclude that the empirical results confirms the theoretical predictions.

In this study, the aggregate demand function of shares in stock market in Iran is estimated and the most important variables with respect to technical econometrics constraints are used. These variables are mean of value of shares as price variable, gross Domestic product as income variable and mean of gold coin as related good of shares. The results show that in period 1990-2007, shares as a whole, is a luxury good with price elasticity less than one and gold coin is a substitution good for it.

In this paper, the Arbitrage Pricing Theory is tested in Tehran Stock Exchange, and compared to Capital Asset Princing Model. Factor Analysis is used to test Arbitrage Pricing Theory. The models are compared in two ways: one by comparing the estemated models, and second by using factores of each model to discrible the residual of another one.

In This study we have tried to find relationship between variables such as market value and earning price ratios (E/P) and leverage ratio with expected rate of return using both CAPM and D-CAPM in Tehran stock exchange during 2001-2006 The results indicate that in a systematic Downside Risk Capital Asset Pricing Model, there is a positive and significant relationship between systematic downside risk, Betta coefficient, size of companies and proportion of earning price ratio with return on shares of companies in Tehran Stock Exchange. However, the relationship between the ratio of book to market value of companies and leverage ratio to dividend yield were insignificant. We have also found that comparision between CAPM and D-CAPM provide a better result for testing the relationship between risk and return and it turned out to be even more efficient.

The firms' capital structure plays an important role in investment decision making.The effect of stock return, profitability, earnings variability, percentage of dividend payout, firm size, market to book value of equity, tangible fixed assets and tax on capital structure have studied in previous researches. We examine the effect of these variables on capital structure. Therefore, 110 sample firms that their required data for a twelve years period (1996-2007) was available, are selected. The panel data regression is used to examine the hypotheses.Signification of the models is examined by T and F statistics

This aim of this article is to propose an alternative method in setting the closing prices at Tehran Stock Exchange, both the proposed method and the current method use the "Base Volume" phenomenon as well as the "Weighted Average" of the traded prices, but the proposed method will make the market more float.We will make some mathematical comparisons between the two methods. Along with some other results, we will prove two substantial results: in one attempt, we will prove that if the ratio of the trade volume to the base volume is fixed, then in comparison to the current method the proposed method is more volatile, a result that proves our claim that the proposed method makes the market more float. Second, we prove the substantial result that if no specific information is injected into the market and if both the base volume and the price limit are reduced by half, then in the current method, the price is less volatile in comparison the case when the base volume and price limit are kept unchanged.

This Research, considering the concept of information efficiency and stating the importance of capital market; i. e, efficient and effective transfer of capital from savers of money to applicants, explain the mathematical model based on Data Envelopment Analysis in order to ranking the stock exchange companies, after presenting the financial variables influencing the companies' value and order of their role-playing. Then, it takes the results drived from ranked model into consideration by designing some assumptions and concluded that the designed model have the ability of advise to decision- makers for applying them in ranking stock exchange companies, after confirming the assumptions in 4 years periods.

In the new financial theories, undesirable risks are more important than desirable risks, because these events ruin companies (and destruct their capital).According to these theories, one method of risk measurement is Value at Risk (VaR).In general, the importance of VaR method is to determine the Economic Capital of financial companies for their financial activities. In this paper, we initially define the VaR method and, consequently, calculate it by using parametric methods such as simple variance-covariance and variance-covariance based on ARCH and GARCH models. In fact, the principle aim of this paper is introducing the VaR as a suitable method to calculate asset risk (this risk is one part of the economic capital in financial firms).

Because of the agency problem, managers may not use company resources to increase shareholders’ value. Experts believe that improving the governance of corporations is the best way to solve this problem.Corporate governance contains those criteria which increase decentralization of corporate controls and through that the power of managers to trace their own benefits will be reduced. One of the most effective mechanisms in corporate governance is the existence of institutional shareholders who can potentially control managers’ behavior. The main goal of this study is to investigate the role of institutional shareholders as one of the corporate governance mechanisms on stock return. We collect data of 90 firms from 1999- 2003 and test the hypothesis with regression method. The results show that although with the existence of high institutional ownership in the sample but there is not meaningful relationship between institutional ownership and stock return. While the results of studies in other countries show that this relationship in other Countries is positive and in some other situations is negative.