AN INVESTIGATION OF METHODS TO REDUCE TRANSACTION COSTS IN TEHRAN STOCK EXCHANGE

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ATRCHI ROMINA; RAMTINNIA SHAHIN

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Paper Information

Journal: INVESTMENT KNOWLEDGE Year:2018 | Volume:7 | Issue:26 Page(s): 17-30

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Information Journal Paper

Title

AN INVESTIGATION OF METHODS TO REDUCE TRANSACTION COSTS IN TEHRAN STOCK EXCHANGE

Author(s)

ATRCHI ROMINA | RAMTINNIA SHAHIN | Issue Writer Certificate

Keywords

TRANSACTION COSTSQ2

PORTFOLIO PERFORMANCEQ1

OPTIMIZATIONQ1

CONDITIONAL VALUE AT RISKQ1

NO-TRADE REGIONQ1

Abstract

Among 37 methods to reduce TRANSACTION COSTS introduced by Cha (2007), we recursively choose the best method for next period's investment in each of three portfolio strategies: Mean-Variance OPTIMIZATION, Mean-CVaR OPTIMIZATION, and the equally-weighted market. We identify a few of the best methods and offer a framework by which additional methods can be considered. Within our framework, the best methods recapture a substantial amount of wealth and significantly improve risk-adjusted performance, both economically and statistically. We used prices and returns of the 10 most active firms of Tehran Stock Exchange market, from 1391 to 1394 on a monthly basis in this research. The transactions costs reduction methods will be applied on them and the best methods will be identified. Also, a framework will be offered for comparison and investigation of new methods.

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APA: Copy

ATRCHI, ROMINA, & RAMTINNIA, SHAHIN. (2018). AN INVESTIGATION OF METHODS TO REDUCE TRANSACTION COSTS IN TEHRAN STOCK EXCHANGE. INVESTMENT KNOWLEDGE, 7(26 ), 17-30. SID. https://sid.ir/paper/188052/en

Vancouver: Copy

ATRCHI ROMINA, RAMTINNIA SHAHIN. AN INVESTIGATION OF METHODS TO REDUCE TRANSACTION COSTS IN TEHRAN STOCK EXCHANGE. INVESTMENT KNOWLEDGE[Internet]. 2018;7(26 ):17-30. Available from: https://sid.ir/paper/188052/en

IEEE: Copy

ROMINA ATRCHI, and SHAHIN RAMTINNIA, “AN INVESTIGATION OF METHODS TO REDUCE TRANSACTION COSTS IN TEHRAN STOCK EXCHANGE,” INVESTMENT KNOWLEDGE, vol. 7, no. 26 , pp. 17–30, 2018, [Online]. Available: https://sid.ir/paper/188052/en

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