Seyed Mohamad Reza Seyed Nourani; Fathollah Tari; Ali Hassan Zade Sarvestani
Abstract
The purpose of this research is to design a comprehensive model to prevent price manipulation in the Iranian capital market. The approach used in this research is qualitative and has been used as the research method from the theory of grounded data (grounded theory). The data collection was done in depth ...
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The purpose of this research is to design a comprehensive model to prevent price manipulation in the Iranian capital market. The approach used in this research is qualitative and has been used as the research method from the theory of grounded data (grounded theory). The data collection was done in depth and open interviews with 26 capital market elites and professors and students from different universities. For data analysis, the comparison method has been used during three stages of open, axial and selective coding. With regard to the analysis of data, we have found that the comprehensive model for preventing price manipulation consists of six main categories, including regulatory mechanisms, legal mechanisms, educational mechanisms, cultural mechanisms, structural mechanisms and implementation of the pattern of prevention. The price manipulation is explained in detail. Finally, the circumstances, the conditions of the intervention, the conditions governing (strategies), the strategies and the consequences have been identified.
Roya mirzaei; Amir Abbas Sahebgharani; Nazanin Hashemi
Abstract
Prediction of stock returns is always one of the most important discussions of financial markets, which has led to introducing of various models to pricing financial assets, one of the most important of these models is to measure the surplus returns by Fama & French model was introduced in ...
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Prediction of stock returns is always one of the most important discussions of financial markets, which has led to introducing of various models to pricing financial assets, one of the most important of these models is to measure the surplus returns by Fama & French model was introduced in the form of a 5-factor model which, in spite of its satisfaction with the model, is still in conflict with many anomalies in the market, which the model can not explain, in the same way The purpose of this paper is to examine the strength of Five Factor Model of Fama & French (2015) for explaining volatility as a market anomaly.The sample consists of 168 companies listed in Tehran Stock Exchange. Portfolio Analysis is the approach of this paper for testing explanatory power of the Five Factor Model. Results show that profitability and investment factors couldn’t explain excess returns. This conclusion contradicts the model of Fama and French (2016).
Mohsen Hemmati; Naghi Fazeli; Seyfolah Saedodin
Abstract
Sustainability accounting by presenting a holistic view of the organization activities and providing a balanced view of its economic, social and environmental impacts and benefits, and by presenting sustainability reporting seeks to encourage business units and investors to maintain the mutual benefits ...
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Sustainability accounting by presenting a holistic view of the organization activities and providing a balanced view of its economic, social and environmental impacts and benefits, and by presenting sustainability reporting seeks to encourage business units and investors to maintain the mutual benefits of all stakeholders in the society. Given the criticisms that researchers have had about the efficiency of sustainability reporting, the purpose of this article is to develop sustainability accounting by presenting a new model that can address the challenges in sustainability accounting and can be a good alternative to sustainability reporting. Social value-added is the sum of tangible and intangible values created and added to society by a business through technological development/change and the knowledge of its manufacturing engineers and managers. In this research, to test the proposed social value added model, Nano engine oil was selected randomly and the test was performed using paired comparison of data. The results of the research showed that social value-added statement can be an appropriate report for evaluating the economic, social and environmental performance of a business entity. Nano engine oil has a social value added of 3797.2 percent compared to regular engine oil, that 15 percent of it is related to tangible value added and 85 percent to intangible value added.
Mostafa Maskani; Mohammadreza Abdoli
Abstract
Purpose: In the shadow of separation of the ownership from the control and the problem of representation arising from it in the modern business world, there is a need to pay attention to the CEOs' approaches toward takeover as decision makers in this area. Managerial entrenchment is considered as one ...
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Purpose: In the shadow of separation of the ownership from the control and the problem of representation arising from it in the modern business world, there is a need to pay attention to the CEOs' approaches toward takeover as decision makers in this area. Managerial entrenchment is considered as one of the consequences of separation of ownership from control that explains the difference between the incentives in the corporate management and causes a disturbance in internal control as a communication mechanism between the corporate's performance and the capital market. Paying attention to operant conditioning behavior like tournament incentives as a functional behavioral stimulus in CEOs reduces the profit-seeking attitudes among them and increases the effectiveness of the corporates' performance mechanisms in disclosing financial reporting. The purpose of this research is to study the relationship between the managerial entrenchment and the internal control weakness by operant conditioning behavior theory test. Design/methodology/approach: In this research, 95 companies listed in Tehran Stock Exchange were evaluated between 2013 and 2018. Considering the duality of internal control assessment, logistic regression in SPSS software was used in this research. Findings: Results of the research showed that there is positive and significant relationship between the managerial entrenchment and the internal control weakness. But there is a negative and significant relationship between the tournament incentive and the internal control weakness. Moreover, it was found that the negative relationship between the managerial entrenchment and the corporates' internal control is mediated by the tournament incentive. Originality/value: Considering that little attention has been paid to motivational issues of the CEOs under the representation theory over the past few years, the present research attempts to investigate managerial entrenchment approach with the effectiveness of internal controls through analysis of the operant conditioning behavior theory to provide more reliable experimental results for the investors and the shareholders.
Seyed Ahmad Seyedi; Mohammad Reza Abdoli
Abstract
Several financial soundness frameworks, such as CAMELS, are currently present in the banking industry, but some evidence suggests that the present frameworks have inefficiencies in an Islamic banking environment. This study is aimed at identifying and prioritizing the adjusted financial soundness indicators ...
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Several financial soundness frameworks, such as CAMELS, are currently present in the banking industry, but some evidence suggests that the present frameworks have inefficiencies in an Islamic banking environment. This study is aimed at identifying and prioritizing the adjusted financial soundness indicators in Iranian banks. In this paper, the factors affecting financial soundness in banking industry were investigated and rated based on the viewpoints of 382 banking experts. Data gathering is done by designing a questionnaire. The research method is descriptive-correlation. For data analysis and the testing of the hypotheses, R-test software and confirmatory factor analysis have been used. TOPSIS method is used to rate the indicators from the points of view of senior banking managers. The findings showed capital adequacy, asset quality, profitability, liquidity, management quality, sensitivity to market risk, Islamic banking, corporate governance, and facilities with technical and economic backing affect the financial soundness of banks, while the liquidity and profitability indexes have the most impact.
Ali Khamaki; Parviz Saeidi; Arash Naderian; Ali Khozain
Abstract
One of the main causes of firms’ ineffectiveness is the absence or insufficiency of appropriate investment methods. This deficiency could also be attributed to an unfortunate selecting of an inappropriate investment methods which may ultimately endanger the firms’ prospect of survival. According ...
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One of the main causes of firms’ ineffectiveness is the absence or insufficiency of appropriate investment methods. This deficiency could also be attributed to an unfortunate selecting of an inappropriate investment methods which may ultimately endanger the firms’ prospect of survival. According to the firm life cycle theory, various firms demonstrate diverse behavior when provided with an investment opportunity. These responses are largely in accordance with the stage of the life cycle in which the firm resides in at that moment. In this research, the selection of the investment method appropriate for a firm has been studied following the premises of the life cycle theory. The target populations of this study were companies admitted to Tehran Stock Exchange. Systematic removal method was adopted to recruit a sample of 118 firms. The study period was 8 years (2011-2018). Findings suggest that firms choose to invest in operational properties when they are at the stage of growth, maturity and decline. In other words, the capital under the companies’ authority and control were employed for the firms’ mainstream activities. However, such a link was not found at the introduction stage of their life cycle. This relation has been illustrated in various industries.
Amin Sadat; Ebrahim Abbasi; Hasan Ghalibaf Asl
Abstract
Stock return predictability has been extensively considered as a stylized reality. Theories indicate that returns should change along the time, and various studies have presented evidence on this point. On the other hand, there is an optimal portfolio in each regime, and one cannot claim that a specific ...
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Stock return predictability has been extensively considered as a stylized reality. Theories indicate that returns should change along the time, and various studies have presented evidence on this point. On the other hand, there is an optimal portfolio in each regime, and one cannot claim that a specific portfolio can minimize risk and returns in each regime. On the other hand, the financial conditions index (FCI) is an important index to specify monetary policy conditions. Regarding the importance of the issue, this research aims to present a comprehensive index, including all monetary transmission mechanisms. In this regard, it is attempted to improve the efficiency of stock return predictability in Iran's economy by incorporating an FCI and identifying relationships between FCI and stock returns using the TVP-DMA model, which can resolve shortcomings of traditional models. The study is applied research in terms of purpose. Seasonal data over the period of April 1991 to July 2019 is used. The results based on TPV, DMS, and DMA models indicate that liquidity growth rate, economic growth rate, unemployment rate, exchange rate, financial condition index, oil revenues, misery index, and budget deficit, has significantly affected factors of stock returns in 30, 50, 11, 49, 66, 54, 7, and 84 periods of 104 periods, respectively. Accordingly, budget deficit, financial condition index, oil revenues, and economic growth are the most effective factors of stock returns predictability in Iran. Further, the incorporation of flexibility in coefficients of the financial development index leads to higher forecast accuracy.
Nasrin Rostami; Abbas Najafizadeh; Ahmad Sarlak; Esmaeil Safarzadeh
Abstract
The purpose of this paper is to examine the asymmetric effects of banking sector and stock market development on economic growth in Iran. For this purpose, Smooth Transition Regression (STR) model used based on seasonal time series data during 1989-2017. The results indicate that the impact of financial ...
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The purpose of this paper is to examine the asymmetric effects of banking sector and stock market development on economic growth in Iran. For this purpose, Smooth Transition Regression (STR) model used based on seasonal time series data during 1989-2017. The results indicate that the impact of financial and banking development indices on economic growth is different for economic growth rates above and below 6%. Therefore, if the economic growth rate is higher than 6%, then we have a regression and when economic growth is lower than 6% will have another regression in order to effect of financial development of economic growth. In addition, results show that that the relationship between private sector credit and economic growth is much stronger than the relationship between stock market and economic growth.
Heidar Foroughnejad; Shahin Ahmadi; Amin Sadat
Abstract
The study is to review the disclosure quality rank on income-smoothing and informativeness by means of four hypotheses. The timescale is between 2010 and 2016, and 149 TSE’s listed companies are studied. The first hypothesis examines the effect of higher disclosure quality rank on income informativeness. ...
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The study is to review the disclosure quality rank on income-smoothing and informativeness by means of four hypotheses. The timescale is between 2010 and 2016, and 149 TSE’s listed companies are studied. The first hypothesis examines the effect of higher disclosure quality rank on income informativeness. The result confirms that higher rank of disclosure quality improves income informativeness. The second hypothesis reviews the relationship between disclosure quality rank and income smoothing. The findings of this hypothesis indicate lower disclosure quality will increase income smoothing behavior. In the third hypothesis, the effect of income smoothing on informativeness is examined, which results in a statistical view that income smoothing has a sensible positive effect on informativeness. Finally, the effect of higher rank of disclosure quality on the informativeness of the smoothing listed companies in the fourth hypothesis. The findings indicate that income smoothing has a meaningful effect in strong disclosure quality companies.
Amin Babaei Falah; Maryam Khalili Araghi; Hashem Nikoomaram
Abstract
When evaluating companies and investment plans, most analysts use a discount rate that is derived from CAPM models. The beta in these models usually represent risks and opportunities of the relative industry, with almost no attention to the risks that are already included in the beta. This ignorance ...
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When evaluating companies and investment plans, most analysts use a discount rate that is derived from CAPM models. The beta in these models usually represent risks and opportunities of the relative industry, with almost no attention to the risks that are already included in the beta. This ignorance in risk measurement could ultimately impair shareholders value. What makes things critical is that by adjusting risks and opportunities in beta, the result of investment plans and company valuation could be much different. In this paper we use 1 to 10 years of monthly return data for all industries of Tehran Stock Exchange and Iran Fara Bourse and suggest an adjusted beta for each industry which is stripped of the dazzling effects of the debts and growth opportunities. We separately account for breaking down beta into beta of growth opportunities and beta of existing assets for each industry in various timelines between 1 to 10 years. Our results showed that the beta of growth opportunities is bigger than the beta of assets for almost all industries. The mentioned betas can make a big difference in cost of capital and we suggest using them when evaluating investment plans, development plans, valuation of companies and even start-ups.
Salman Abbasian-Naghneh; Reza Tehrani; Mohammad Tamimi
Abstract
Nowadays, financial markets in Iran have attracted the attention of many managers, investors and financial policymakers. Therefore, in order to make the optimal decision and reduce the risks in such a market, it is important to identify and analyze the network behavior of the financial markets at different ...
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Nowadays, financial markets in Iran have attracted the attention of many managers, investors and financial policymakers. Therefore, in order to make the optimal decision and reduce the risks in such a market, it is important to identify and analyze the network behavior of the financial markets at different times to obtain the optimal decision. The current study aims to answer the following research question; how is it possible to use the minimum spanning tree and hierarchical clustering in the network analysis of the Tehran Stock Exchange? The period examined was 2013 to 2018. The population consisted of all the companies accepted in Tehran Stock Exchange. The sampling was selected purposefully and contained the companies which had at least one trading day in the time span from the beginning of 2013 to the end of 2018. The stock of the investigated companies was considered as the vertexes of one graph and the coherent information criterion was considered as the weight of the edge. First, the minimum spanning tree of the graph was calculated. The results revealed that the stocks of DarooAbuReihan, DarooPakhsh and Alborzdaroo had a high influence on directing the prices of the other stocks. Furthermore, the results of hierarchical clustering classified the stocks of the companies into 8 clusters. This study presents a viewpoint about the modern method designed for the analysis of complex financial networks. Moreover, the study offers an analysis of Iran's stock market structure which can be the center of finance researchers and analysts' attention.
Ali Heidari; Ezatollah Abbasian; Farzaneh Khalili
Abstract
It has been widely stated in the theoretical literature that political connections increase the value of organizations. Political connections may have both a positive and negative effect on the performance of the bank. Politically connected banks may have better access to financing, timely liquidity ...
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It has been widely stated in the theoretical literature that political connections increase the value of organizations. Political connections may have both a positive and negative effect on the performance of the bank. Politically connected banks may have better access to financing, timely liquidity support from the central bank or banks which are connected with other political organizations and reduction in the pressure of legal authorities if such a reduction is possible, such as the easy passage of legal inspection. A politically connected bank can also use communications to exchange assistance to achieve the organization's goals. Therefore, answering the question of whether banks' political connections have a positive or negative impact on their financial performance cannot be answered with certainty. This study attempts to investigate the effects of interactions between politically connected CEO (PCCEO), independent directors, and credit risk of banks in an emerging country context where corporate governance systems appear weak. In this study, to collect the required data, we use the information database of Codal publishers for the listed banks in the Tehran Stock Exchange and the information existing in the performance report of the Iranian banks for public banks that collected by the Iran Banking Institute. For the investigation of this issue, we employ the SGMM method (System Generalized Method of Moments) or in other words, dynamic GMM approach, and we find politically connected boards to exert significant influence on credit risk.
Hasan Abedi; Mohammad Reza Abdoli; Farhad Dehdar
Abstract
The dynamics of corporate information environments are seen as a basis for managerial decision-making such as sustainable tax development, which can reduce agency costs and promote market-level information symmetry across regulatory bodies. The purpose of this research is presenting a Model of Sustainable ...
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The dynamics of corporate information environments are seen as a basis for managerial decision-making such as sustainable tax development, which can reduce agency costs and promote market-level information symmetry across regulatory bodies. The purpose of this research is presenting a Model of Sustainable Tax Development Functions under the Information Environment of Tehran Stock Exchange Companies. In this research-based on qualitative and quantitative methodology, Initially, 13 tax professionals who were also active at the university level, Participated in the Meta-synthesis and the Delphi section to validate the research components and indicators among the 11 approved studies, Delphi analysis used to identify the theoretical adequacy of the component and the set of indices. In the quantitative section, 28 CEO of the stock exchange companies who were selected through an available sampling method selected randomly and used matrix questionnaires to stratify the identified indices in a range of the most influential indices. To the least effective indicators. The results in qualitative Analysis indicate the existence of three main components in the form of the final indicators based on theoretical adequacy and in the quantitative section, it was found that the indicators, greater dynamics of the value of the company based on tax transparency (C1) as an indicator of external information environment functions and increased The level of disclosure of economic performance in line with the GRI standard (C9) and the strategic balance between tax minimization and corporate value (C10) as an indicator of the component of internal information environment functions most strongly as a consequence of sustainable tax development under corporate information environment conditions for stock companies. Tehran Stock Exchange. These results show that the development of sustainable tax functions under corporate information environment conditions can also help to improve the effectiveness of corporate internal operations, regardless of the positive effects on the competitive and market levels.
Morteza Zakerian; Habibollah Nakhae; Mahdi Salehi
Abstract
The present study's main objective is to assess the relationship between corporate reputation and different types of earnings management (accrual-based, real, and reductive earnings management). In other words, this paper attempts to figure out whether corporate reputation can contribute to the amount ...
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The present study's main objective is to assess the relationship between corporate reputation and different types of earnings management (accrual-based, real, and reductive earnings management). In other words, this paper attempts to figure out whether corporate reputation can contribute to the amount of accrual-based, real, and reductive earnings management or not. This paper's method is descriptive-correlational based on published information from listed firms on the Tehran Stock Exchange during 2012-2018 with a selected sample of 187 firms (1309 observations). The method applied for hypothesis testing is linear regression using panel data. The obtained results from hypothesis testing show that corporate reputation has a negative and significant relationship with accrual-based, real, and reductive earnings management, which means highly-reputed firms, are less likely to embark on different earnings management types. Since this paper analyzes the emergent financial markets, like Iran, with extremely competitive audit markets to determine the effect of corporate reputation on different types of earnings management of listed firms on the Tehran Stock Exchange, it can provide useful information in this field.
Roohollah Seddighi; Ali Ghasemi; Mohammad Mehdi Momenzadeh
Abstract
One of the most fundamental factors in pricing and evaluating the performance of companies is their profitability and profit is used as a basis for predicting the future performance of companies. Therefore, an accurate profit prediction is really crucial and decisive. There are various approaches to ...
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One of the most fundamental factors in pricing and evaluating the performance of companies is their profitability and profit is used as a basis for predicting the future performance of companies. Therefore, an accurate profit prediction is really crucial and decisive. There are various approaches to this prediction. The first approach would be calculating profit according to accounting standards by using historical cost and the second, calculating profit according to fair value. In this circumstance, this question arises that whether fair values are used instead of historical cost, would it lead to a more accurate and better prediction of the company's future performance?The purpose of this study is to investigate the effect of using the fair value in calculating profits on the performance of investment companies with the help of benchmarking international financial reporting standards for small and medium-sized units.This research uses the data of 95 companies listed on the Tehran Stock Exchange, whose activity is an investment, from 2015 through 2019 and compares the predictability of fair value-based profits with the profit based on accounting standards in predicting the company's operating cash flows and future profits. The data is first collected in Excel software, then the research variables are calculated and finally, research models are tested and analyzed by Eviews10.The results show that fair value-based profit has no greater ability to predict the performance of investment companies in comparison to profit based on Iranian accounting standards.
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.
Marziyeh Nourahmadi; Hojjatollah Sadeqi
Abstract
One of the most critical investment issues faced by different investors is choosing an optimal investment portfolio and balancing risk and return in a way that, maximizes investment returns and minimize the investment risk. So far, many methods have been introduced to form a portfolio, the most famous ...
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One of the most critical investment issues faced by different investors is choosing an optimal investment portfolio and balancing risk and return in a way that, maximizes investment returns and minimize the investment risk. So far, many methods have been introduced to form a portfolio, the most famous of the Markowitz approach. The Markowitz mean-variance approach is widely known in the world of finance and, it marks the foundation of every portfolio theory. The mean-variance theory has many practical drawbacks due to the difficulty in estimating the expected return and covariance for different asset classes. In this study, we use the Hierarchical Risk Parity (HRP) machine learning technique and compare the results with the three methods of Minimum Variance (MVP), Uniform Distribution (UNIF), and Risk Parity (RP). To conduct this research, the adjusted price of 50 listed companies of the Tehran Stock Exchange for 2018-07-01 to 2020-09-29 has been used. 70% of the data are considered as in-sample and the remaining 30% as out-of-sample. We evaluate the results using four criteria: Sharp, Maximum Drawdown, Calmer, Sortino. The results show that the MVP and, UNIF approach within the in-sample and, the UNIF and HRP approach out-of-sample have the best performance in sharp measure.
Demet Ozocakli; Bahman Khanalizadeh
Abstract
There are many factors affecting Foreign Direct Investment inflows into the countries. One of them is Special Economic Zones that encourage Foreign Direct Investment inflows and achieve remarkable results in the world. Special Economic Zones are defined in the United Nations Conference on Trade and Development ...
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There are many factors affecting Foreign Direct Investment inflows into the countries. One of them is Special Economic Zones that encourage Foreign Direct Investment inflows and achieve remarkable results in the world. Special Economic Zones are defined in the United Nations Conference on Trade and Development as the regions where production, trade and storage are not limited to time and are exempt from customs and taxes. This study analyzed the relationship between the Foreign Direct Investment inflows of Turkey, the Foreign Direct Investment inflows of the World and the number of the Special Economic Zone types analyzed using the Autoregressive Distributed Lag Method from 1980 to 2019. The results show that Foreign Direct Investment inflows of the World have a positive and significant effect on Foreign Direct Investment inflows Turkey in the long term and the short term. Also, the number of total Special Economic Zone has a positive and significant on the Foreign Direct Investment inflows of Turkey. Foreign Direct Investment inflows of Turkey increase 1.01% and 2.58% in long term and short term, respectively when the increase is 1% in the number of total Special Economic Zone. Moreover in this study, a number of the Special Economic Zone types such as OIZ, TDZ, FZ have been analyzed.
Hamidreza Haddadian; Morteza Baky Haskuee; Gholamreza Zomorodian
Abstract
The tremendous advances in artificial intelligence over the past decade have led to their increasing use in financial markets. In recent years a large number of investment companies and hedge funds have been implementing algorithmic and automated trading on their trading. The speed of decision-making ...
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The tremendous advances in artificial intelligence over the past decade have led to their increasing use in financial markets. In recent years a large number of investment companies and hedge funds have been implementing algorithmic and automated trading on their trading. The speed of decision-making and execution is the most important factor in the success of institutional and individual investors in capital markets. Algorithmic trading using machine learning methods has been able to improve the performance of investors by finding investment opportunities as well as time entry and exit of trading. The purpose of this study is to achieve a better portfolio performance by designing an intelligent and fully automated trading system that investors with the support of this system, in addition to finding the best opportunities in the market, can allocate resources optimally. The present study consists of four separate steps. Respectively, tuning the parameters of technical indicators, detecting the current market regime (trending or non-trending), issuing a definite signal (buy, sell or hold) from the indicators’ signals and finally portfolio rebalancing. These 4 steps respectively are performed using genetic algorithm, fuzzy logic, artificial neural network and conventional portfolio optimization model. The results show the complete superiority of the proposed model in achieving higher returns and less risk compared to the performance of the TEDPIX and other mutual funds in the same period.
Mahboobeh Khan Ahmadi; Mohsen Dastgir; Saeid Ali Ahmadi
Abstract
The scholars of social responsibility have focused on identifying the factors affecting corporate social responsibility disclosure (CSRD). Corporate social responsibility is a key factor in the survival of any organization. The purpose of the study was to examine the relationship between the size of ...
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The scholars of social responsibility have focused on identifying the factors affecting corporate social responsibility disclosure (CSRD). Corporate social responsibility is a key factor in the survival of any organization. The purpose of the study was to examine the relationship between the size of the company, ownership structure, and governance structure to explain the determinants of Corporate social responsibility in Iran. Regarding this, the data of 127 companies listed on the Tehran Stock Exchange from 2009 to 2018 were collected and analyzed. Multiple regression model as panel data and fixed effects method was used to test the hypotheses. The results from the study tests indicated that the size of the company is an effective factor in Corporate social responsibility in Iran. The role of this factor is positive. Larger companies have been more successful in Corporate social responsibility. Moreover, the ownership structure is a determining factor and has improved the disclosure of social responsibility. The presence of major owners in the company potentially enhances the dissemination of information and protects the interests of minority shareholders, and the corporate governance structure has not been a determining factor in Corporate social responsibility in Iran. Indeed, the board's ability to perform its duties decreases when its size is large.
Saeideh Sarkamaryan; Ali Jafari; Abbasali Pooraghajan
Abstract
Although theoretical and empirical literature regarding the stylized facts shows evidence of their correlations to herding behavior in financial markets, the causes of such phenomena are still unknown. Using an agent-based model strengthened by the competition co-evolution algorithm (STGP) technique, ...
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Although theoretical and empirical literature regarding the stylized facts shows evidence of their correlations to herding behavior in financial markets, the causes of such phenomena are still unknown. Using an agent-based model strengthened by the competition co-evolution algorithm (STGP) technique, this study provides laboratory evidence on capital market dynamics and analyses the behavioral foundations of stylized facts such as fat tails, leverage effects, and volatility clustering. The simulated stock markets consist of two groups; the “Best agents”, which are a small portion of artificial agents, and the “Residual agents”, which are the main group of artificial agents. The best performance in terms of breeding fitness returns is the main feature of the “Best agents”. More, the size of the “Best Agents” group is specified as 2.5%, 5%, 10% &20% of the total population size. An agent-based model consists of two portions, a two thousand population of trader agents that each has its decision-making strategy, and a virtual market that creates the trading strategies. Then the model evolved step by step using a feed with real quotes of the financial instruments by Adaptive Modeler. A training period is considered 2500 bars (started in November 2003), and the test period started in December 2013. The observation shows that the herding behavior in the price series created by the “Residual agents” is less than the “Best agents” series. Therefore, the greater diversity of trade strategies as the genetic differences of artificial agents leads to less herding. The observations exhibit that the volatility clustering, leverage effects, and nonlinear dependence are more likely to experience in the price series generated by “Best gents”. Furthermore, observations indicate that if the population is well diversified in terms of trading strategies, the efficiency of the market increases.
Alireza Kaab; Anzer R.N
Abstract
Today, budgets are considered by many as a powerful tool to conduct and control an organization's internal and external affairs. Budget, budgeting, and budgetary controls are the priority of every manufacturing and service entity. Top management in organizations uses budgets to monitor and control the ...
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Today, budgets are considered by many as a powerful tool to conduct and control an organization's internal and external affairs. Budget, budgeting, and budgetary controls are the priority of every manufacturing and service entity. Top management in organizations uses budgets to monitor and control the financial and nonfinancial activities that occur within their organization. The current research method is empirical, which tests the feasibility of a solution using empirical evidence based on statistical applications. The study considered SENSEX 30 companies listed on the Bombay Stock Exchange. The statistical population comprised five top-level managers categories, including 150 respondents, eight mid-level managers, 240 respondents, and 12 lower-level supervisory cadres of 360 respondents. The total population is 750 respondents. "Simple Random Sampling Technique" used in the current study. Primary Data was collected using an Interview Schedule developed explicitly for the purpose and finalized after conducting the pilot survey. The collected primary data are validated, tabulated, and classified. Secondary data were collected from published articles, the Companies Act, the Accounting Standards Manual published by the Institute of Chartered Accountants of India, Websites, journals, and other validated material. The companies' annual reports were a significant secondary data source. Data analysis uses Statistical Package for Social Sciences (SPSS), and interpretations are made based on statistical tools. The results of the research indicated that most Indian companies set budgeting systems in accordance with accounting standards. The results of the current study also show some significant factors that need to be considered by the organization while setting budgets.
Masoome Ramezani; Mohammad Osoolian; Mostafa Zandieh; Seyed Ali Hosseiny Esfidvajani
Abstract
Examining the importance and influence of financial market companies is one of the main issues in the field of financial management because sometimes the collapse of a stock exchange company can affect an entire financial market. One systematic way to analyze the significance and impacts of companies ...
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Examining the importance and influence of financial market companies is one of the main issues in the field of financial management because sometimes the collapse of a stock exchange company can affect an entire financial market. One systematic way to analyze the significance and impacts of companies is to use complex networks based on Interaction Graphs (IGs). There are different methods for quantifying the edge weight in an IG. In this method, the graph vertices represent the stock exchange companies that are connected by weighted edges (corresponding to the extent to which they relate to each other). In this paper, using the GARCH model (1,1) and the Clayton copula, we obtained the lower tail dependence interaction network of the first 52 companies of the Tehran Stock Exchange in terms of average market value, between June 2017 and October 2020. Then, based on the minimum spanning tree of the interaction network, we divided the companies into different communities. Using this classification, it was observed that the companies of the first group (Food Industry) and the second group (Oil Refinery) have the greatest impact on other companies. We also calculated the central indexes of the minimum spanning tree for each company. According to the results, the companies of the third group (Steel) have the highest average in the central indicators.
Moslem Nilchi; Daryush Farid; Moslem Peymany; Hamidreza Mirzaei
Abstract
Abstract Volatility and risk measurement are essential ...
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Abstract Volatility and risk measurement are essential parameters in risk management programs that can affect economic activities and public confidence in the stock market. Also, these two are the keys in the studies that connect the stock market, economic growth, and other financial factors. In recent years, due to the instability in the Tehran Stock Exchange, controlling the adverse effects caused by the volatility of stock prices, predicting and modeling price dynamics, and measuring risk have become necessary for the participants in this market. In the present research, the class of hidden Markovian index models of conditional variance Heteroskedasticity (HM-GARCH) is used to predict the volatility of stock prices and accounts of the Tehran Stock Exchange. For a comprehensive review, the models are selected to include the characteristics of volatility clustering, asymmetry in volatility (leverage effect), and heavy tail of stock returns (with t-student distribution). Based on RMSE and AME criteria, the HM-EGARCH-Normal Exponential GARCH model with normal distribution is more effective than other models in predicting stock market volatility. Therefore, leverage is necessary to analyze stock market risks using hidden Markov models, but heavy tail distribution is unnecessary. The results indicate that the HM-EGARCH-Normal model appropriately assesses volatility and improves market transparency and risk management forecasts. Also, the VaR and CVaR market risk assessment post-tests using Kupiec and DQ tests do not show evidence of overestimation or underestimation.
Babak Sohrabi; Saeed Rouhani; Hamid Reza Yazdani; Ahmad Khalili Jafarabad; Mahsima Kazemi Movahed
Abstract
Two predominant methods for analyzing financial markets have been technical and fundamental analysis. However, the emergence of the Internet has altered the trading landscape. The availability of Internet and social media access plays a moderating role in information asymmetry, resulting in investors ...
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Two predominant methods for analyzing financial markets have been technical and fundamental analysis. However, the emergence of the Internet has altered the trading landscape. The availability of Internet and social media access plays a moderating role in information asymmetry, resulting in investors making informed decisions. Social media has turned into a source of information for investors. Through diverse communication channels on social media, investors articulate their perspectives on whether to buy or sell a stock. According to Surowiecki, the collective opinions gathered through social media frequently offer better predictions than individual opinions, a phenomenon referred to as the Wisdom of the Crowd. The wisdom of the crowd stands as an essential measure within social networks, with its potential to reduce errors and lessen information-gathering costs. In this study, we tried to evaluate the wisdom of the crowd's potential to improve stock price prediction accuracy. So, we developed a prediction model by Long Short-Term Memory based on the wisdom of the crowd. Users’ opinions in Persian about the Tehran Stock Exchange (TSE) stocks were collected from SAHMETO for eight months. The Support Vector Machine classified them into buy, sell, and neutral classes. During the research period, people mentioned 823 stocks, and 52 stocks with over 100 signals were chosen. The results of the study show that although the model presented has achieved an acceptable level of accuracy, correlations between the actual and predicted values exceeded 90%. The accuracy metrics of the proposed model compared to the base model were not improved.