Sharif Digital Repository

The Contagion of markets to each other, due to their role in the occurrence of financial crises and the transmission of shocks, is an important topic in the financial literature. In this dissertation, we study this issue by examining the number of positive and negative co-exeedances in the oil market and Tehran Stock Exchange. The data examined are the daily time series of Tehran Stock Market Index and Oil Prices (WTI) in the period of 2009 to 2019.First of all we find the time cut-off rate of the daily returns of the stock indexes of different industries and of oil prices, using the generalized Pareto distribution (GPD). Then we count the number of days when the returns have negative or... 

In this thesis, performance of share stocks after Initial Public Offering has been investigated. According to the findings, underpricing and long-term underperformance phenomena have been witnessed in Tehran Stock Exchange and this conforms with the findings of researches in other markets. This study also showed that there is no meaningful difference between private and state-owned offerings in terms of short-term and long-term performance and, in disagreement with the results of similar studies in other stock markets, long-term return of state-owned offerings is less than market return in the same period. Furthermore, this study revealed that amongst various characteristics of offerings,... 

In the present study, the factors that affect the IPO underpricing in the Tehran Stock Exchange are investigated. We define the variables of IPO percentage, age and size of companies, dummy variable for rounded IPO prices, market return in a month before the initial public offering, average return of IPOs that had been done during one month before the IPO of each ticker and the dummy variable for industrial group in which the company is located. We had to calculate the initial return of 246 companies that were offered in the years 1380 to 1395. In this study, due to the existence of a daily stock price volatility constraint, a new algorithm was introduced to calculate the dependent... 

Asset pricing models are one of the most important tools in investment management and portfolio allocation. Multi-factor asset pricing models try to explain the relationship between risk and expected return through a limited number of macroeconomic, fundamental or statistical factors. Usually, these models are suggested based on the US market and its intrinsic qualities. Although, there are some similarities between the Iranian and the US market, these economies are structurally different and therefore, proposing a proper multi-factor model based on the Iranian market’s fundamental characteristics will greatly improve the understanding of risk-return relationship in this market. In this... 

Asset pricing models are one of the most important tools in investment management and portfolio allocation. Multi-factor asset pricing models try to explain the relationship between risk and expected return through a limited number of macroeconomic, fundamental or statistical factors. Usually, these models are suggested based on the US market and its intrinsic qualities. Although, there are some similarities between the Iranian and the US market, these economies are structurally different and therefore, proposing a proper multi-factor model based on the Iranian market’s fundamental characteristics will greatly improve the understanding of risk-return relationship in this market. In this... 

We study intraday patterns of trading volume, size, return, and volatility using the Tehran Stock Exchange high frequency data from 2008 to 2015. Intraday test results indicate that trade size and volume follow a J-shape behavior, whereas return and return volatility exhibit an L-shape pattern. To examine the behavior of informed traders as predicted by Barclay and Warner’s (1993), we examine midsize volume and find that it has a higher price impact compared to other trade sizes, which is consistent with the predictions of Barclay and Warner’s (1993) stealth-trading hypothesis. However, our findings do not support the intraday stealth trading pattern, as insiders prefer to trade in low and... 

Portfolio is a collection of different stocks for investment. The investors' objectives in portfolio formation are to get the highest return against exposure to the lowest risk. Portfolio Optimization Problem is one of the most complicated problems in investment and finance. It may be simply explained as follows: Let's imagine a set of N stocks for selection. We would like to see what percentage of the total amount of investment should be dedicated to each stock to maximize portfolio's total return and minimize its total risk.
Portfolio Optimization Problem is a NP-Hard problem and generally there exists no polynomial-time deterministic algorithm to find a precise solution to such a... 

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... 

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... 

Informational inequality between institutional and individual traders is one of the centric issues in financial markets. The preference of each of these groups to attain personal information may provide other traders important information. New traders could make a profit by addressing the preferable group and following its transactions. This study aims to determine the winner group at attaining more personal information, by breaking down the probability of informed trading (PIN), one of the most famous measures in informational risk to two main components: the probability of informed trading of individuals (DPIN) and the probability of informed trading of institutions (SPIN). Moreover, the... 

Many studies point to a possible new stylized fact for financial time series: the multifractality. Several authors have already detected this characteristic in multiple time series in several countries. With that in mind and based on Multifractal Detrended Fluctuation Analysis (MFDFA) method, this thesis analyzes the multifractality in the Tehran Stock Exchange. This analysis is performed with daily data from Tepix index (Tehran stock exchange's main index) and other three highly marketable stocks in the Tehran Stock Exchange (Pharma index, Oil index and Metal index), wich making up 1782 observations for each index in the period from March 21, 2011 to Aug 22, 2018. We found that the studied... 

This paper aims to test an important hypothesis in financial economics: whether equity returns are predictable over various horizons? The variables that we use are dividend yield, dividend-price ratio, price-earning ratio, dividend payout ratio and stock variance. For one month horizon,we compare forecast from predictive regression and forecast from historical mean both in-sample and out-of-sample. Evidence shows that to some extent, stock variance has predictive power and predictive regression model has a better performance than the historical mean model, but fundamental variables don’t have predictive power. The multivariate model has improved the performance, but we don’t see any... 

Price limits are boundaries established by market regulators to confine daily movements of security prices within a predetermined price range. In this study, we have used the data of trades of all companies listed in the Tehran Stock Exchange during the years 1385-1393 to study the characteristics of stocks that hit price limits repeatedly using a panel regression model with fixed effects and the generalized method of moments (GMM). In fact, this study aims at investigating the price limits in Tehran Stock Exchange by a novel and distinct approach. In general, risky stocks exhibit more price volatility and thus are more likely to experience price-limit hits. In summary, the results reveal... 

The present study has been conducted with the purpose of investigating how to reduce behavioral biases in investors' decisions, which has become very important in the recent situation of Tehran Stock Exchange and with the entry of a large number of inexperienced investors. In this research, an attempt is made to examine the relationship between investors' trading experience and the effect of herd mentality on their investment decisions through the perspective of social cognitive theory and using financial self-efficacy. Multiple regression analysis and Bootstrap mediator relationship analysis were performed on data collected from 502 active investors in the Tehran Stock Exchange, and the... 

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... 

In finance literature there are different views of individual and institutional investors for variety of reasons. Despite having consensus on the difference of individual and institutional investors due to complexity and size, it seems there are much disagreement on how they affect the key process of market like return and liquidity. In this paper we consider the effect of individual and institutional trading on the short-term return of stocks. Specifically, first we define some factors to measure the trading activity of individual and institutional investors. Then we use these factors to sort each stock in the cross section to create decile portfolios and we compare the short-term return... 

Based on modern finance theory, valuation should not depend on nominal stock prices. However, evidence shows that the nominal price of stocks does matter in the U.S. stock market. In this paper, we examine the effect of nominal share prices on stock returns, using data between 2009 and 2017 form the Tehran Stock Exchange. Our results indicate that there is no significant relationship between nominal price and return on the Tehran Stock Exchange. By controlling for different important variables, the return differential between high price and low price stocks is insignificant and the results are robust to various specifications and tests. Furthermore, by using event study under the market... 

In this study the predictive power of “Simple Moving Average” simulation for three month horizon is investigated. The purpose of the study is expressed in two hypotheses. The first hypothesis is that there is a significant difference in the prediction of stock price volatility by “Simple Moving Average” simulation with the “Weighted Moving Average” model prediction and the second hypothesis states that using “Weighted Moving Average” model we can forecast volatility stock price for the out-of-sample period. The research data includes a series of total stock price indices from 2013 to 2018 extracted from Tehran Stock Exchange (TSE). For “Weighted Moving Average” model, three normal... 

P/E ratio is studied in four levels in this study:
1)Macroeconomics level
2)Capital market level
3)Industry level
4)Company level
The first level studies effects of macroeconomics variables on P/E ratio. At this level we use variables such as economic growth, inflation, exchange rate, and etc.The next level uses capital market variables such as market volume, and IPO information.The third level that we study in this research is industry level. Stocks of an industry generally behave similar, because they have common advantages and disadvantages, thus industry is an effective factor on P/E ratio.The last level studies financial statements and internal features of a... 

Price to earnings ratio is one of the most used ratios in financial markets for valuation of firms in the Iran and world. In present research for analysis of this ratio,investors’ sentiment alongside fundamental factors affecting price to earnings ratio has been investigated. Fundamental factors affecting this ratio are selected based on prior research and economics theory; these factors are, dividend ratio, growth,risk and inflation. For the analysis of investors’ sentiment, eight proxies related to sentimental behavior have been utilized; among them, four are introduced and used for the first time in this research. Implementing these eight sentimental proxies, a variable measuring...