Sharif Digital Repository

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... 

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... 

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... 

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... 

In this thesis, we study the dependence structure between the Tehran Stock Exchange and over-the-counter market, as the two main Iranian capital market institutions. Several constant and time-varying conditional Copula functions are used to model this dependence structure from October 2009 to August 2014. It is shown that, compared to constant conditional copulas, time-varying conditional copulas, provide a better performance. Analyzing the conditional tail dependence of these indices shows an asymmetric dependence structure. Also, investigating the dynamic conditional correlation and conditional tail dependence, using time-varying conditional copulas, reveals large variations and an... 

The present study investigated day of the week effect on stock market returns and the stock market returns and volatility relationship in Tehran Stock Exchange. In this part two regression models is been used and theory that effect of days are meaningful on return and also the theory of meaningfulness and being equal of relation between return and volatility in different days of the week has been examined on index return of all market and on industry indexes in separately. Therefore we have utilized information from time series of total index week days categorized into 8 industries during 2008-2013. The results obtained on weekdays effect on the index of the first model and second model... 

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... 

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... 

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... 

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... 

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... 

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... 

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  

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... 

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... 

Despite having major advantages such as expert management, economy of scale and lower analysis costs for investors, the mutual funds may still underperform (at suboptimal levels) due to factors like information asymmetry between fund managers and unitholders along with the difficulties involving assessment of manager's performance by investors. So the conflict of interest between the manager and unitholders propels them towards deciding to manipulate the risk measure of the fund for reasons other than the maximization of profits for unitholders by shifting risk level of the portfolio. For instance, the promise of non-linear growth in attracting money by obtaining a considerable ranking... 

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... 

In contrast to the Modigliani and Millers’s theory which states that dividends do not affect the return of the companies, many of findings illustrate the importance of dividends for the stockholders. This is the subject of the present research which is run by the statictic test and the Fama & French three factor model in two regular and modified versions based on the data which is driven from the Iran’s stock market. What is seen is that the return of the stock for the companies which make dividends is more than the companies which do not pay dividends for their stockholders. In addition, the results show that the return of the companies which offers dividend to their stockholders is more... 

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... 

This dissertation presents a method for policy Evolution in financial markets and analysis of the performance market risk models. To investigate the effect of economic policy, transaction costs in Tehran Stock Market (TSE) and reaction of a specific bank in the face of an internal policy change has been considered. In the first paper as first chapter of the thesis, we propose a new method for calculating the value at risk of stock prices in presence of price limit set up in the Tehran stock market and comparing its performance with other classical models. Because the results of classical models in VaR do not consider the effect of circuit breakers, the provided methodology and the proposed...