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A Study on The Impacts of Mergers and Acquisitions on Operating Performance and Stock Price of Involved Firms
, M.Sc. Thesis Sharif University of Technology ; Bahramgiri, Mohsen (Supervisor)
Abstract
Mergers and acquisitions are one of the easiest and sometimes the only way to stay in the market for small or low performing companies. In this research, which consists of two main parts, the impact of merger and acquisition on the stock price and financial statements of the involved companies that were listed in Iran stock exchange market was studied between 2007 and 2012.The first step, through an event study, abnormal stock returns of the targeted companies were studied in time spans of five and ten days before and after the merger and acquisition event. Then a t test was applied in order to examine whether this transaction had resulted in positive abnormal return for the shareholders or...
Evaluation of The Informational Efficiency of Tehran Securities Market
, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor)
Abstract
In the present research, the weak level efficiency of securitise market is reviewed and examined .Therefore the “Random Walk Hypothesis” has been examined on the time series of daily efficiency index of TEHRAN SECURITISE MARKET. The main difference between this research and the previous researches which have been performed previously in Iran, is the method of Hypothesis Test. The” Variance Ratio Test” has been used as a method of Hypothesis’ Test. In the second chapter, the theoretical and experimental literatures of this research has been described in detail. In parallel with the ” Variance Ratio Test”, the impact of the Day of week and the “HETROSCEDASITY TEST” also has been...
The Study of Firm Specific Determinants of Capital Structure: Evidence form Iranian Frims Listed on Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor)
Abstract
Since the seminal work of Modigliani and Miller, the basic question of whether a unique combination of debt and equity capital maximizes the firm value, and if so, what factors could influence a firm’s optimal capital structure have been the subject of frequent debate in the capital structure literature. Empirical work in this area has lagged behind the theoretical research, perhaps because the relevant firm attributes are expressed in terms of fairly abstract concepts that are not directly observable and furthermore capital structure decision-making is even more complicated when it is examined in an international context, particularly in developing countries where markets are characterized...
To Investigate Existence of Equity Premium Puzzel in Tehran Stock Exchange By Stochastic Dominance Method
, M.Sc. Thesis Sharif University of Technology ; Keshavarz Haddad, Gholamreza (Supervisor)
Abstract
In the last 4 years, while the annual investment return on 5 years bank deposits was 25 percent; the total index of Tehran Stock Exchange on average grew by 155 percent. Why the investors are not so willing to invest in the stock market? This research deals with existence of equity premium puzzle in Tehran Stock Exchange. Therefore, the Total Price Index of exchange market is considered as a risky asset and the return on long-term (5 years) deposit is a proxy for risk free asset. Data is monthly and covers the first month of 1380 (Persian Calendar) to the beginning of the second month of 1391 (equivalent to Aug 2010 to Jan 2013); which is converted to real term using monthly inflation rate....
Comparison of Performance of Trading Transaction Algorithms: Evidence from Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor) ; Ebrahimnezhad, Ali (Supervisor)
Abstract
One of the issues that has always been paid attention to financial markets is that the use of mathematical relations and formulas for the better estimation of the forecasts made by the process of indicators that are of great importance in financial markets. In financial markets, algorithms have been developed to help reduce the cost of executing transactions from a variety of factors, in order to impose less costs on traders. In these algorithms, a market order and a limited order are used in such a way that the cost of executing transactions can eventually be minimized. Under a limited order, traders determine how much their stake will be at what price they are willing to trade, but in the...
Forecasting P/E Ratio Using Neural Networks
, M.Sc. Thesis Sharif University of Technology ; ahramgiri, Mohsen (Supervisor)
Abstract
This thesis firstly studies the parameters affecting P/E ratio. These parameters vary from Macroeconomics level, Economic growth and Inflation, to company level. Then this study deploys Neural Networks to predict magnitude of P/E and change direction of P/E ratio. To increase accuracy, thesis uses three different method of normalizing for Input data. Finally, results are compared to results of regression method
Corporate Social Responsibility in Iranian Companies Listed in Tehran Stock Exchange (2009)
, M.Sc. Thesis Sharif University of Technology ; Sharbat Oghli, Ahmad (Supervisor)
Abstract
In this thesis, type and importance of corporate social responsibility (CSR) based on Carroll’s framework was investigated among companies of Tehran Stock Exchange. Beside, the types of companies’ motivation to engage in CSR base on model of Garriga & Mele (2004) were studied. In addition, hypothesis 1) instrument motivation for companies of Tehran Bourse is more attractive than the other type of motivations 2) companies that have higher income, have higher costs in CSR was tested. Using questionnaire tool and help of descriptive and inferential statistical analysis, questions and assumptions was studied and results illustrated that legal and ethical dimensions is most-widely used definition...
The Effects of Google Search on Stock Returns, Volatility and Trading Volume,Evidence from Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor) ; Hagh-Panah, Farshad (Supervisor)
Abstract
The purpose of this study is to investigate the effect of Google search volume of trading tickers listed on the Tehran Stock Exchange, on volatility, abnormal returns, and trading volume. For this purpose, data related to the search volume as well as trading data for 22 trading tickers in the list of the 50 largest stock market companies from 2016 to 2020, has been extracted. After collecting data, the required calculations to estimate volatility and abnormal returns, as well as standardizing search volume and trading volume, are performed. Then the desired variables for all 22 selected tickers are placed in a data panel. Then, using the two main research models, descriptive and predictive...
Retained Earnings, and Book-to-market in the Cross Section of Expected Returns in Tehran Stock Exchange Market
, M.Sc. Thesis Sharif University of Technology ; Keshavarz Haddad, Gholamreza (Supervisor)
Abstract
The book-to-market ratio is known as an anomaly variable in the financial literature. This variable has a high explanatory power in predicting the returns of companies in different capital markets across world; But understanding why it has the power to explain is still a matter of debate. In this study, we seek a better understanding of the explanatory power of the ratio of book-to-market ratio in explaining the annual return of cross-sectional data of stocks on the Tehran Stock Exchange. Book value can be divided into two parts: retained earnings and contributed capital, which have different economic meanings for readers of financial statements. Our hypothesis is that the predictive power...
Measuring Tehran Stock Exchange Liquidity and Investigating the Determinants which have Effect on it
, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor)
Abstract
One of the risk factors of financial assets is liquidity. Identifying factors affecting liquidity helps us to predict stock liquidity and to control the risk of investing. The purpose of this research is to identify these factors in Tehran Stock Exchange. We use the data of 48 companies between1388 and 1392. Our results show that the liquidity follows a weekly and a monthly cycle. Stock return, market return, stock return volatility, market return volatility and trading volume are among the factors which affect stock liquidity. In addition, the reaction of liquidity changes to positive or negative stock return is asymmetric, and the effect of negative stock return is more influential. Our...
Prcdicting the Stock Total Index and Case Study of Stock Price of "Teractor Sazi" Company with Neural Networks
, M.Sc. Thesis Sharif University of Technology ; Eshraghniaye Jahromi, Abdolhamid (Supervisor)
Abstract
In this era, competition in economic fields is undeniable. According to huge amount of foreign trades between countries, economic prosperity of each country causes persuasion of foreign investors to come into that country for investment. Stock Exchanges is one sign of economic prosperity in each country, So prediction of the stock exchanges situation is very important. It is noteworthy that according to the importance of prediction in partial level, the necessity of predicting companies stock price is realized. According to the complicated term in this field, linear methods do not have appropriate efficiency for predicting, so nonlinear methods and especially Artificial Neural Networks are...
The Magnet Effect of Price Limit in Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor)
Abstract
Nowadays, in many financial markets, policy makers impose daily price limit to prevent investors from making emotional decisions, which can lead to abnormal price volatility. A number of theoretical and empirical studies have been conducted on the effectiveness of setting price limit, some supporting the idea and other rejecting. In this research, we begin with a detailed analysis of magnet effect as one of the consequences of setting price limit. Then we study the stock price of five firms listed in Tehran Stock Exchange (TSE) by means of an autoregressive model with explanatory variables to determine whether or not the magnet effect exists. These five firms, put together, comprise 23% of...
The Effect Of Economic Factors On Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Eshraghniaye Jahromi, Abdolhamid (Supervisor)
Abstract
In this study it is attempted to investigate the impact of macroeconomic variables on the determination stock price in Iran.In this study it is used quarterly time series data of stock price and also macroeconomic variables including Growth of Consumer Price Index(Inflation), Iran Crude Oil Price, Exchange Rate, Gold Price, Liquidity, Money Supply and Gross Domestic Product for a period of 10 years (1381:1-1390:4). Data is obtained from monthly and quarterly reports, available on the website of the Central Bank of Iran and Tehran Stock Exchange Organization. In the analysis of the collected data, It is applied unit root tests, test for co integration, and utilize a Vector Auto Regressive...
Studying Performance of the Enhanced Momentum Strategies in Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Bahramgiri, Mohsen (Supervisor)
Abstract
In this study, Tehran Stock Exchange market has been studied over a period of five years, and not only return of Simple Momentum Strategy but also returns of several Enhanced Momentum Strategies are calculated and compared with each other. The results obtained in this study are so different from the results obtained previously. For instance, unlike results of the previous researches, Simple Momentum Strategy had no significant return while the Contrarian Strategy yielded considerable return. Some elements in the Enhanced Momentum Strategies improved its performance while some others have worsened it. For example, low book to market value weakened the return of Momentum Strategy and...
The Information Content of an Open Limit-order Book in Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor) ; Ebrahimnezhad, Ali (Co-Advisor)
Abstract
Pre-trade transparency and price discovery is one of the principal functions of financial markets. When the price of a certain asset is specified, sales process begins. With more pre-trade transparency that helps to process of price discovery, Investors trade more safely and thus this cause higher liquidity. One of the tools that helps to increase transparency and price discovery in financial markets is open limited order book. In this study, we deal with the limit order book in Tehran Stock Exchange (TSE) and try to answer the question Whether the information in the limit order book has the predictive power of future short-term returns of stocks in Tehran Stock Exchange and does it help to...
Investigation the Effective Factors on Discount Rate of Exchange Traded Funds (ETFs) in Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Bahramgiri, Mohsen (Supervisor)
Abstract
Financial markets have been formed to attract and utilize the community’s funds,. In these markets different securities are supplied to meet the needs of a huge variety of investors. they should know the performance and characteristics of these securities, Otherxise they lost in the market. But most investors aren’t familiar with these securities and for this reason almost withdraw from the market. Funds was made up to solve this problem and facilitate the process of entering these investors in financial markets. In funds, professional managers manage portfolio with the capital provided by investors. Exchange Traded Funds (ETFs) are one type of these funds. The stock of ETFs issued in the...
Studying the Factors Affecting Exchange-Traded Funds’ Tracking Errors in Tehran Stock Exchange Market
, M.Sc. Thesis Sharif University of Technology ; Bahramgiri, Mohsen (Supervisor)
Abstract
Exchange-Traded Funds (ETFs) have become an important innovation in the financial markets nowadays. They are low cost products designed to pursue different replication strategies that respond to investor’s demands of liquidity and efficiency. However, they suffer from tracking errors and price mismatches even when they are designed to avoid them. So this problem makes diffrence between return of these ETFs and Index return that will be called “Tracking Errors”. In this research, due to analysis on 7 ETFs in Tehran Stock Exchange (TSE) in the 20 months period and analysis on 8 different independent variables that was expected to affect on tracking errors, it has been showed that between four...
The Application of Chaos Theory and Nonlinear Structures in Financial Time Series
, M.Sc. Thesis Sharif University of Technology ; Modarres Yazdi, Mohammad (Supervisor)
Abstract
Financial and monetary markets are appropriate areas of applying Chaos Theory. Firstly, current theories of financial and monetary economics state that economic and financial variables such as exchange rates and stock prices are stochastic, so forecasting them is almost impossible. Secondly, if we find the hidden ordered and deterministic trends, we can achieve considerable profits. In this piece of research, we evaluate different methods and tests of detecting chaos in financial time series, and choose the most applicable methods to test financial markets’ indices. The main three indices of Tehran Stock Exchange, including Price, Finance and Industry indices, are examined. A sample of the...
Analysis of five factor model of Fama and French in Tehran Stock Exchange
,
M.Sc. Thesis
Sharif University of Technology
;
Zamani, Shiva
(Supervisor)
Abstract
Investors are looking for profit making oppurtunities and using them to maximize their wealth. For investing in stock exchange, investors should be able to valuate the stock price rationally, so that he/she can define which stocks are trading below their intrinsic value. Stock price is the discount of future dividends of stock, but for discounting accurate rate is needed. Main goal of this study is presenting a way to calculate the proper discount rate or expected rate of return for investors. Method which has been studied in this thesis is “Fama & French five factor asset pricing model” which has been publish 2015 (Fama & French, 2015). The model concentrates on five factors to describe the...
The Dynamic Effects of Oil Price Shock and Basemetals Price Shock on Tehran Stock Exchange Return and Commodity-based Industries Returns
, M.Sc. Thesis Sharif University of Technology ; Barakchian, Mahdi (Supervisor)
Abstract
This study investigates the effect of commodity price shock, including oil and base metals prices, on Tehran exchange and industries stock returns. These industries have the largest market share in Tehran exchange and may heavily depend on global prices. Using weekly data from 1387 to 1396, Multifactor and VAR models are performed to analyze the variance decomposition and impulse response function of each industry to 1% price shock. In addition to global prices, some macroeconomic factors that are likely to affect stock returns are considered. The results show that commodities price shocks have dynamic and significant effects on stock returns