Iran Finance AssociationIranian Journal of Finance2676-63374120200101The Effects of Monetary and Fiscal Policies on the Systemic Risk of Iran's Financial Markets (SURE Approach in Panel Data)12411333210.22034/ijf.2020.230256.1123ENNeda RanjandishPh.D. Candidate, Department of Economics, Central branch of Tehran, Islamic Azad University, Tehran, Iran.Marjan DamankeshidehAssistant Prof., Department of Economics, Central branch of Tehran, Islamic Azad University, Tehran, Iran.Houshang Momeni VesalianAssistant Prof., Department of Economics, Central branch of Tehran, Islamic Azad University, Tehran, Iran.Majid AfshariradAssociate Prof., Department of Economics, Kharazmi University, Tehran, Iran.Journal Article20200507The mutual relationship between monetary and fiscal policies and value at risk is one of the most important topics in the financial economics literature and accounts for the vast majority of empirical studies. Therefore, the main objective of this paper is to investigate the effects of monetary and fiscal policies on conditional value at risk in the financial sectors of the stock exchange, bank and insurance during the years 1995-2017. For this purpose, by quantile regression method and in the form of Adrian and Brunnermeier approach, the conditional value at risk of these three financial sectors is estimated and then by using the seemingly unrelated regression equation approach in panel data evaluated the effect of liquidity money variables. The interest rate on facility payments, the real exchange rate, the government's budget deficit, real GDP growth, and the degree of economic openness are subject to conditional risk. The results of the model estimation indicate the significance of the effect of liquidity money, interest rate on facility payments and real exchange rate variables on conditional value at risk in each of three relevant equations, and real GDP growth variable in the model, Exposure to the conditional value at risk of the insurance sector has a negative and significant effect. Also, the degree of openness of the economy in any of the three estimated equations has no significant effect on the conditional value at risk. https://www.ijfifsa.ir/article_113332_8704c54d1c83a33e437c0f18f4161d95.pdfIran Finance AssociationIranian Journal of Finance2676-63374120200101Identifying path of Global Financial Crisis Contagion Direction on Industries of Iran Stock Market255411333310.22034/ijf.2020.234212.1134ENMojtaba KarimiPhD Candidate, Department of Finance, South Tehran Branch, Islamic Azad University, Tehran, Iran.Fatemeh SarrafAssistant Prof., Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran.Ghodratollah EmamverdiAssistant Prof., Department of Economics, Central Tehran Branch, Islamic Azad University, Tehran, Iran.Ali BaghaniAssistant Prof., Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran.Journal Article20200607Simultaneous understanding of volatilities and changes in financial markets is very important to optimize the portfolio and risk management methods. The 2008 financial crisis led into devaluation of most assets, increased volatilities and endangered several institutional investors' survival. When the stock market' correlation is highly enhanced, risk and return management with the classic portfolio theory becomes severely challenging. In this study, to manage systematic and non-systematic risks by investors and policymakers in case of similar financial crises, the Effect of global financial crisis contagion is examined through the path of S&P500 global index, and DFM regional index of different industries of Iran Stock Market is examined using DFGM contagion test and stochastic Ornstein Uhlenbech process. The results show that Dubai Stock Market has an important role in crisis expansion into different sectors of Iran Stock Markets so that the fundamental contagion effects are channelled via this direction. Also, according to the results, the starting point of the global financial crisis contagion was the basic metals industry, and the contagin happened in metal ores and petroleum products sectors with different rates. Finally, the global financial crisis is spread into different industries of Iran Stock Market via financial links and not trough commercial ones. Identifying the direction of contagion of financial crisis provides an opportunity for investors to apply hedging and asset allocation strategies optimally.https://www.ijfifsa.ir/article_113333_06f81083ad7db0069601cf289d3f5c7c.pdfIran Finance AssociationIranian Journal of Finance2676-63374120200101Auditors’ Behavioral Intention: the Interaction Effect of Individual, Audit Firm and Audit Team Factors558011333110.22034/ijf.2020.222342.1113ENArezoo Aghaei ChadeganiAssistant Prof., Department of Accounting, Najafabad Branch, Islamic Azad University, Najafabad, Iran.Khadijeh Ebrahimi KahrizsangiAssistant Prof., Department of Accounting, Najafabad Branch, Islamic Azad University, Najafabad, Iran.Journal Article20200304Breakdown of reporting detected misstatements can cause serious problems because it reflects poor audit quality and can lead audit firm to failures. Due to the magnitude of the quality of auditors’ work, many studies have attempted to identify influencing factors on auditors’ intention to act ethically. This study ascertains how external auditors decide to report the detected misstatements in terms of their individual characteristics, ethical culture and team norms according to the theory of planned behavior. Data are collected using 257 survey questionnaires which are distributed among audit seniors. Statistical analyses indicate that ethical culture and team norm moderate the influence of individual factors on auditors’ intention of reporting misstatements. In fact, the association between locus of control, personality type and auditors’ work quality moderate by audit firm ethical culture and team norms. https://www.ijfifsa.ir/article_113331_2d5a37b02e04bf002f04edee99a7c02e.pdfIran Finance AssociationIranian Journal of Finance2676-63374120200101Risk disclosure, stability and the economic consequences in the banking system8110411332910.22034/ijf.2020.179085.1019ENAli RahmaniProf., Faculty of Social Sciences and Economics, University of Alzahra, Tehran, Iran.0000-0001-5458-9963Gholamreza SolimaniAssociate Prof., Faculty of Social Sciences and Economics, University of Alzahra, Tehran, Iran.Mandana TaheriAssistant Prof., Faculty of Management and Accounting, University of Allameh Tabatabai, Tehran, Iran.Journal Article20190816Shareholders in the capital market always demand Reporting and disclosure and based on information that disclosure; they change their expectations of risk and returns. Disclosure has an economic consequence and the risk disclosure, in addition to economic consequences, has an effect on financial and banking stability. In this paper, we survey the risk disclosure of economic consequences and its effect on banking stability. We count the number of the risk disclosures in Iranian banks' financial statements by using the quantitative content analysis methodology and indexation of Iran's risk disclosure regulation. According to the estimation of panel data from 18 banks to period 2011-2016, we find that risk disclosure has a negative and significant relationship with stability and a positive and significant relationship with the cost of capital.https://www.ijfifsa.ir/article_113329_1152250f4ddb99a8ec48e300c2f132e3.pdfIran Finance AssociationIranian Journal of Finance2676-63374120200101Designing and Investigating the Profitability of Fuzzy Inference Trading System based on Technical Signals and Corrective Property10512311333010.22034/ijf.2020.214880.1103ENCharaghAli BakhtiyariaslPhD Candidate of Financial Engineering, Department of Management, Dehaghan Branch, Islamic Azad University, Dehaghan, Iran.Sayyed Mohammad Reza DavoodiAssistant Prof., Department of Management, Dehaghan Branch, Islamic Azad University, Dehaghan, Iran.Abdolmajid Abdolbaghi AtaabadiAssistant Prof of Finance, Department of Management, Shahrood University of Technology, Shahrood, Iran.0000-0002-1403-7547Journal Article20200107Technical analysis is constituted as an approach in the market analysis which is based on the study of pricing behavior and shares size in the past and price determination and its procedure in the future. Algorithmic transactions are growing rapidly in order to automate business strategies, given the arrival of computer-based technologies and the rapid processing of bulky information. Trading systems combine input information and ultimately identify the time of purchase and sale by forming one signal. In this paper, the training system is a kind of fuzzy inference system that combines fuzzified RSI and SO signals from technical analysis. The system’s trade rules database (selling, buying, and holding) would be calculated based on an optimization process using PSO. This optimization process should be repeated at certain intervals to keep the system up to date. This process is called the corrective property of systems. The findings on the overall index in the period 2001/3/21-2019/3/20 indicate that the system having optimized training on training data has an average daily return of /0027, risk-taking of /0065 and the daily sharp ratio of /42. Concerning the index of return and sharp ratio, the findings reveal that the system outperforms the signals and the market performance.https://www.ijfifsa.ir/article_113330_48f2101282d8bc96633f6d5a4139ea85.pdfIran Finance AssociationIranian Journal of Finance2676-63374120200101Dynamic relationships between financial conditions index and stock returns12414511333410.22034/ijf.2020.234560.1137ENAmin SadatPh.D. Candidate of Department of Financial Management, Qazvin Branch, Islamic Azad University, Qazvin, Iran.Ebrahim AbbasiProf., Department of Finance and Insurance, Faculty of Management, Alzahra University, Tehran, Iran.0000-0001-6156-2419Hasan Ghalibaf AslProf., Department of Finance and Insurance, Faculty of Management, Alzahra University, Tehran, Iran.Journal Article20200609Stock 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.https://www.ijfifsa.ir/article_113334_ac4dad0386aa749aff59d6990c1cb91a.pdf