Arefeh Mohaghegh; Mohsen Hamidian; Seyed Ali Hosseiny Esfidvajani; Gholamreza Jafari
Abstract
This work aims to analyze the relationship between stocks in the financial market of the Tehran Stock Exchange embedded in their transfer entropy. In this regard, the behavior of the transfer entropy between indices of 180 corporations of the Tehran Stock Exchange has been studied. Then the footprint ...
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This work aims to analyze the relationship between stocks in the financial market of the Tehran Stock Exchange embedded in their transfer entropy. In this regard, the behavior of the transfer entropy between indices of 180 corporations of the Tehran Stock Exchange has been studied. Then the footprint of crises of the market has been searched in the trends of the transfer entropy. The result has been compared with the result of the analysis imposed on the stocks included in the Dow Jones industrial index in the stock exchanges of the United States. In order to investigate the financial crisis of the Tehran Stock Exchange, the stock price data of 180 companies in this market that were active in the period from 2008 to 2018 are analyzed. It is observed that the average pairwise transfer entropy of indices in the Dow Jones group declines over the financial crises in the United States. In Iran, despite the United States, the financial crises have not left a footprint in the pairwise transfer entropy over the studied period. Such an observation suggests future studies on the pairwise and possibly collective behaviors of indices in Iran and the United States.
Reza Taghizadeh; Amin Nazemi; Mohammad SadeghzadehMaharluie
Abstract
The stock market plays an important role in the economic development of countries. Network analysis is one of the latest methods in analyzing the stock market. It is a new concept for a macro view of the whole market in quantitative science literature. Therefore, this research analyzes the available ...
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The stock market plays an important role in the economic development of countries. Network analysis is one of the latest methods in analyzing the stock market. It is a new concept for a macro view of the whole market in quantitative science literature. Therefore, this research analyzes the available Shareholder network in the Tehran Stock Exchange from 2013 to 2017. This research is based on a type of data collected and analyzed is quantitative research. And, its’ type is network analysis. The research results indicate that many of shareholders are connected to each other, although a class structure governs their relations. Some of the shareholders, in comparison with others, have a better position. Having a better position caused them to encounter fewer mediators in gaining access to other shareholders, and also easier access to available resources. The shareholders’ ability in gaining access to information through the cluster of network members enhances too. Therefore, it is claimed that these shareholders can play the role of key actors in the governing structure. Also, the results of the Pareto distribution indicate that the distribution of power among the Shareholders is approximately 25/75, that is, 75 per cent of the strength in the hands of 25 per cent of the Shareholders.
majid ashrafi; Ebrahim Abbasi; Seyed Ali Hosseini; Mahjoobeh Poor Etemadi
Abstract
In recent financial scandals, related parties transactions (RPTs) have been as one of the major concerns, so that the targeted use of these transactions and lack of their disclosure or insufficient disclosure are some of the factors in the failure of the corporates. In RPTs, there is a risk that the ...
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In recent financial scandals, related parties transactions (RPTs) have been as one of the major concerns, so that the targeted use of these transactions and lack of their disclosure or insufficient disclosure are some of the factors in the failure of the corporates. In RPTs, there is a risk that the related party may be favoured with terms that could harm the interests of the company’s shareholders. The purpose of this study was to investigate the effects of different types of related parties transactions on the firm value with the moderating role of the audit committee incorporates listed in Tehran Stock Exchange. The research statistical sample consists of 100 listed firms in the Tehran Stock Exchange in 6 years of 2013-2018. This research, based on the nature and content, is a descriptive/ correlational research. Using Panel data and multiple regression, the results of the research show that there is a negative relationship between RPTs and the firm value. The findings also show that there is a positive relationship between the audit committee and the firm value. Also, the findings show that different types of RPTs have a different effect on the firm value. The results also show that the audit committee does not affect the relationship between RPTs and the firm value.
Elham Adakh; Arefeh Fadavi Asghari; Mohammad Ebrahim Mohammad Pourzarandi
Abstract
In order to survive in the modern world, organizations must be equipped with the mechanisms that not only maintain their competitive advantage, but also result in their progress and improvement. Prediction of banks’ performances is an important issue, and a poor performance in banks may primarily ...
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In order to survive in the modern world, organizations must be equipped with the mechanisms that not only maintain their competitive advantage, but also result in their progress and improvement. Prediction of banks’ performances is an important issue, and a poor performance in banks may primarily lead to their bankruptcy, thereby affecting national economics. The bank performance prediction model uses scientific and systematic approaches to diagnose the financial operations of institutes. According to a precise and strict evaluation, the model can detect the weakness of institutions in advance and provide early warning signals to related financial governments. In the present study, we have used three data mining models to predict the future performance of the banks accepted in Tehran Stock Exchange (TSE) and Iran Fara Bourse. Initially, 53 financial ratios were selected and, consequently, reduced to 28 using the fuzzy Delphi technique. The statistical population included 18 banks listed on TSE and Iran Fara Bourse, which provided their financial statements during the period of 2011 to 2017. Data were collected from the Codal site based on 28 financial ratios using C4.5 decision tree, AdaBoost, and Naïve Bayes algorithm. According to the findings, the Naïve Bayes algorithm was the optimal predictive model with the accuracy of 88.89%.
Jafar Babajani; Mohammad Taghi Taghavi Fard; Maysam Ahmadvand
Abstract
This study aims to present a model for predicting corporate default among Tehran Stock Exchange’s selected industries. To do this, corporate default drivers were identified and selected by referring to previous research findings and using experts’ opinions. These drivers were divided into ...
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This study aims to present a model for predicting corporate default among Tehran Stock Exchange’s selected industries. To do this, corporate default drivers were identified and selected by referring to previous research findings and using experts’ opinions. These drivers were divided into five categories: accounting ratios, market variables, macroeconomic indicators, nonfinancial factors, and earnings quality measures. Structural equation modeling (SEM) technique was used to derive the prediction model. In this technique, corporate default drivers were used as latent independent variables, and their constituent factors were considered as observable indicators of the above variables. In addition, corporate default, as the latent dependent variable, was calculated by a measure based on the Black-Scholes-Merton (BSM) option pricing model. After implementing structural equation modeling (SEM) technique by use of Smart PLS software, a prediction model that contains influential drivers of corporate default was derived and presented for each of the selected industries.
Maysam Ahmadvand; Seyedeh Mahboobeh Jafari; Hamidreza Kordlouie
Abstract
The purpose of this paper is to analyze the relationship between default risk and momentum effect using data from companies listed on Tehran Stock Exchange.To calculate default risk,we used Black-Scholes-Merton (BSM) option pricing model. To describe momentum effect, by determining the formation period ...
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The purpose of this paper is to analyze the relationship between default risk and momentum effect using data from companies listed on Tehran Stock Exchange.To calculate default risk,we used Black-Scholes-Merton (BSM) option pricing model. To describe momentum effect, by determining the formation period to be 6 months, and the holding period to be 3,6, or 12 months, we firstlyexamined the profitability of short term (3/6), midterm (6/6), and long term (12/6) momentum strategies and found that during 2010-2015 time period, only midterm momentum strategy is profitable.Then,we showedthere is no relationship between default risk andmomentum effect.
Mahmood Pakbaz; Shahin Ahmadi; Majid Feshari
Abstract
Market efficiency paradigm and time patterns concerned, as "calendar anomalies" is a contradictory issue for researches. TSE's market participants have a negative understanding of the 6th and 12th month of the fiscal year and this issue is rooted in the obliged credit settlement of the brokerage industry ...
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Market efficiency paradigm and time patterns concerned, as "calendar anomalies" is a contradictory issue for researches. TSE's market participants have a negative understanding of the 6th and 12th month of the fiscal year and this issue is rooted in the obliged credit settlement of the brokerage industry at the year-end. The purpose of this study is to investigate the TSE's total return before and after brokerage firms' year-end. Using GARCH-PQ, and data of market index in periods between 1390 and 1396, we concluded that periods of1st to 22ndof 6thand 12th months,and 22nd to the end of 6th and 12th months, have respectivelynegative and positive effectson TSE's stock index.