FINANCIAL RESEARCH
Year:2019 | Volume:21 | Issue:3 |Papers Count:9

Objective: This research is aimed at offering an order splitting strategy to divide a large order into a number of smaller orders to reduce Market Impact cost and imbalances created by Large orders in the market. Methods: Due to the limited access to data and high volume of calculations, for some shares of the Tehran Stock Exchange (TSE), market impact cost function of bought trades were calculated using the I-star model. Then, by using the MI function and based on the investor's trading horizon, we split a large order into a series of small orders to place them at intervals rather than ordering all at once. The goal is to reduce the market impact cost, and avoid creating an imbalance of large orders in the market. Results: According to the intraday patterns of the average trading volumes and the market impact cost, it is observed that the trading volume of shares is low and market impacts cost are high at the beginning of the day, then at the end of the day, as the trading volume and market liquidity increase, the market impact cost incurred by traders reduces. This is mainly because investors will not need to increase trading prices to complete their orders when the stock market experiences an increase in liquidity and trading volumes, and this is also seen in the Tehran Stock Exchange. The market impact cost function for the shares in Tehran Stock Exchange is also concave and investors behave much more aggressively when buying compared to selling. Conclusion: The results show that by examining the intraday patterns of liquidity parameters such as trading volumes and market impact then designing a trading strategy for the splitting of large orders can reduce the additional costs incurred by traders and result in orders being traded in relatively more reasonable prices.

Objective: Real estate price fluctuations are one of the main concerns among policy makers, investors and also people as investors or consumers. Because of the heterogeneity feature of Real estate, measuring its fluctuations would a challenging task. Up to now, Real estate’ s price movements have been measured by average indices in Iran. But, considering heterogeneous home prices, it hasn’ t been able to correctly demonstrate price movements, because if transaction of expensive Real estate increase in a given period, price index will increase whereas may home prices did not have such a trend at all. In developed countries, constant quality indices (hedonic and repeated sales indices) have been used for measuring fluctuations in real estate prices. In this research we try to develop a better index for Tehran housing market. Methods: for this purpose, we have developed two repeated sales indices (Case_Shiller and BMN) for selected regions (1, 3, 6, 11, 16 and 20) during 1389 to 1396 and then we compare the indices by Out of sample Method. Results: According to the out of sample method, the BMN index can better show the fluctuation of real estate markets in Tehran. Conclusion: Considering that the repeated selling indices can measure fluctuation of real estate markets better than average indices, we suggest that investors and policymakers use the BMN index to check the fluctuation of real estate markets.

Objective: The main goal of this research is investigating the effect of capital markets on management characteristics (management myopia, management Optimism, management conservatism, Management Forecast Accuracy, management structure and management ability) with an emphasis on the role of stock returns (abnormal stock returns and specific stock returns). Methods: For this purpose, the data of 165 firms listed in the Tehran Stock Exchange, between 2007 to 2017 were extracted; the method to test the hypothesis was a multiple regression model and using a combined data model. Results: Findings of the research indicate that managerial myopia characteristic have a negative and significant effect on abnormal and specific returns and management Optimism have positive but insignificant on abnormal and specific returns. By increasing the management conservatism on the level of stock abnormal return companies has been significantly increased and the level of stock specific return has been significantly reduced. Management forecast accuracy Characteristic will also have a positive and significant effect on abnormal and specific returns. Furthermore, the independence of the board has a Positive and significant effect on abnormal and specific returns and the gender diversity of board have positive but insignificant on abnormal return & negative and insignificant on specific returns. The variable of management stability also show that a negative and insignificant impact on abnormal return & a positive and insignificant effect on specific returns. Finally, the management ability Characteristic will have a positive but insignificant on abnormal returns & positive and significant effect on specific returns. Conclusion: Based on the results obtained; an increase in management myopia leads to a decrease in the abnormal returns and specific returns of the listed companies. An increase of managers earned increases the abnormal stock returns and lower specific stock returns also increases. In addition, abnormal returns and specific stock returns with increased Management Forecast Accuracy have increased and companies with higher Forecast Accuracy have earned higher returns. Other findings show that the independence of the board members has led to a significant increase in unusual returns and specific stock returns, while the board's gender diversity respectively with an increase and decrease in the meaning of u abnormal returns and specific stock returns has been accompanied. Management stability has led to lower abnormal stock returns and increased specific stock returns. Moreover by increasing the ability of managers, the abnormal returns and specific returns of the listed companies have been added.

Objective: In this paper, while introducing Heston's model of stochastic variance, regarding the jump process and the long-term memory feature of prices, a new model for pricing subordinate shares is presented. In the following, the performance of this model is discussed in comparison to the two other models of random variance, Heston and Bates. Methods: In this research, the Fractional-Jump Heston Model has been created through combining the jump process and Hurst exponent. The new model has been generated while the long-term memory characteristics of the stock market price trends and the vulnerability of prices in response to sudden changes have been taken into consideration. Then we have determined the characteristic function of the underlying asset price process in the new model, which has been used to derive a formula for subordinate shares pricing using the Monte Carlo method and the variance reduction technique. Results: To test and Compare the option pricing models, we have used the subordinate shares data during 2012-2017. After calibrating and pricing subordinate shares by all three models and comparing the results, it was found that the Fractional-Jump Heston model has a better performance than the other two models in terms of the valuation of Tabai options. Conclusion: The comparison results show that the estimation by the Fractional-Jump Heston model is closer to the actual results of the subordinate shares’ prices, and is better than the two well-known models of stochastic variance, Heston and Bates.

Objective: Financial markets, by reducing transaction costs and information asymmetries in the economy, will increase returns, capital accumulation and economic growth. Although the growth of financial markets has a decisive role in economic growth, it should be noted that the emergence of a crisis in financial markets can, in turn, lead to an economic decline and, in some circumstances, lead to a recession. One of the warning signs of financial crisis is an increase in stress that is taking place in financial markets, and leading to increased uncertainty and instability in the economy. Therefore, the main objective of this research is to calculate the financial stress index in Iran's financial markets and then determine its effects on economic growth. Methods: In this study, firstly, using seasonal data of various financial markets including the banking sector, stock market and foreign exchange market, a composite indicator of financial stress for the Iranian economy during the period 1991-2017 using the Principal Component Analysis (PCA) and then the effects of this index on economic growth have been evaluated using Markov switching Autoregressive method. Financial stress is recognized as an intermediary channel between shocks and the emergence of financial crises in the economy. Results: The results of the model’ s estimation show that Iran's economy has suffered negative financial stress over the course of 13 years, which has led to a decrease in the instability of economic growth and has had a positive financial stress during 9 years, which has led to an increase in economic growth in the country. Of course, the sustainability of years of recession and negative financial stress have been more positive than the years of financial flourishing and financial stress, so that the overall effect of financial stress on economic growth was negative and significant. Conclusion: It can be said that one of the reasons for financial stresses and consequently financial crises is the market’ s orientation in the financial structure of the country.

Objective: The Efficient Market Hypothesis is one of the cornerstones of modern financial economics. It’ s also an important topic for investors in terms of making extra profit. In this way, the main objective of this study is to test the weak form of market efficiency in Iran foreign exchange and gold markets using monthly data during 1980M04-2018M09 and 1985M04-2018M09 respectively for foreign exchange market and gold market. Methods: Due to inability of linear models in capturing structural breaks and nonlinearities in financial time series, in this paper, for testing the efficiency in foreign exchange and gold markets the Markov Switching Unit Root method has been used. Results: The result of the linear unit root test show that both the foreign exchange and gold markets are efficient; But the results of the Markov Switching unit root test is slightly different and show that market efficiency has a time varying nature. Results also show that the main source of market inefficiency is the government’ s interference in the market. Conclusion: Results of this research show that the linear unit root tests which have been used so far in literature for testing the weak form of efficiency in asset markets suffer from the lack of power for testing EMH. The reason is straightforward, since most financial time series are nonlinear in nature, therefore modelling such time series with linear methods inevitably will result in biased results.

Objective: The business entities face with the different financing strategies in their capital structure to achieve an optimal form. In today’ s world, business entities are currently facing different financing strategies in their capital structure in order to achieve an optimal form. One of the main problems is the financing effect on the characteristics of the capital market such as the stock liquidity. Therefore, this research is aimed at investigating the relationship between the capital structure and the stock liquidity with an emphasis on the trade-off theory and the pecking order theory. Methods: The data of 146 companies, which are members of the Tehran Stock Exchange, during the period of 2011-2016 have been used in order to test the hypotheses. And the multivariable regression analysis has been used to test the assumptions and the hypotheses. Results: The results of the first hypothesis test show that the Bid-Ask prices increase as the liquidity measure and this in turn results in a decrease in the stock liquidity by increasing the financing via financial leverage. Meanwhile, the significant relationship between the debt financing and other stock liquidity measures was not observed in the first hypothesis test. The results of other tests were also approved, the negative relationship between internal and external financing and the liquidity measures. So, the tests provide evidence of the severity of the reverse effect of internal financing than the external financing on the stock liquidity which is inconsistent with the pecking order theory.