Sharif Digital Repository

Risk in crude oil price is likely to occur due to changes in global oil demand, capacity of crude oil production and regional crisis. A future contract is the instrument primarily designed to hedge one’s exposure to unwanted risk. Hedging policies often implements through different hedge ratios estimation.
This study examines the performance of several econometrics models namely OLS, GARCH,BEKK,VECM-BEKK for the returns of West Texas Intermediate(WTI) oil spot and futures prices from 3 January 1995 to 31December 2010, to calculate static and daily time varying minimum variance optimal hedge ratios and suggest a crude oil hedge strategy.
We show that hedging effectiveness indicate... 

Which capital structure theories have the power to explain the determinant of capital structure in capital market companies, assuming the difference between the institutional and fundamental structure of Iran with other countries, which affects the behavior and decision-making style of managers. After the emergence of capital structure theories, studies were performed to assess the explanatory power of theories. The results revealed the fact that the differences in the institutional structure of countries affects the behavior and decision-making style of managers for adopting the optimal capital structure, and the determinants of capital structure followed a limited number of theories. In... 

In this study, the intensity of child labor has been investigated by modeling household behavior in a framework of collective decision-making on resource allocation, and for this purpose, a household utility maximization problem has been used in which child’s and parents’ wages, non-working incomes, education level for bargaining power as well as several variables at the social level such as unemployment rate, divorce rate and Gini coefficient have been used to reflect labor market conditions. In this study, the structure of equations for girls and boys in urban and rural areas has been estimated by using raw household budget data for 2015 in Iran and multivariate Tobit technique. Findings... 

Long memory in assets return is important on the theoretical as well as the practical aspects and since it is a special form of nonlinear dynamics, in this study an ARFIMA model was used with the aim of considering the long memory in the return conditional average of automobile industry index. Then, due to the observation of ARCH effects, the simultaneous conditional average modeling and turbulences in the automotive industry index return using an ARFIMA-FIGARCH model was considered in the residuals of the best fitted model and results were that for modeling the returns and turbulences of automobile industry stocks which has a special long memory, FIGARCH will provide better and more... 

The recent researches show that Value at Risk estimations are biased and is calculated conservatively. Bao and Olah (2004) proved that the bias of an ARCH(1) model for VaR can be formulated in to two parts: bias due to return Misspecification ( ) and bias due to estimation error ( ). Using a GARCH(1,1) and quasi maximum likelihood estimation method, this research intends to find an analytical framework for the two source of biases. We generate returns from Normal and t-student distributions, then estimate the GARCH(1,1) under Normal and t-student assumptions. Our findings reveal that equals to zero for the Normal likelihood function, but . Also, and are not zero for the t-student... 

This research intends to analysis the determinants of child work and schooling in Iran. To do this we use the Household’s Income and Expenditure survey of Iran in 2009. There are two competing theoretical base of household’s time allocation, the unitary and collective bargaining decision approaches. We use the later to consider the differences in preferences of parents toward the child’s time allocation. Making use of Bivariate Probit and Tobit, we examined the effects of parents’ bargaining power and child’s birth order on his/her schooling and work decision. Our finding, confirm that, mother’s bargaining power has negative association with the work participation of her son and daughter but... 

Institutional investors are among the main players of capital market and stock market. These investor’s activities on the one hand affect directly on indices, and on the other hand on transactions of other players in the stock market. In case the transactions of stockholders are not based on sufficient information and merely based on imitation of other investors, herding behavior would be taken place within them.In this study, using two methods of Lakonishok (1992) & Sias (2004), we consider herding behavior amongst the Institutional investors of Iran stock market.In both methods, weekly and monthly data are used for testing herding behavior in the short-run and quarterly data for the... 

Due to its extensive applications in financial analysis, stock market volatility modeling is a considerably important issue for stock market practitioners and academics. Using GARCH models to formulate the conditional variance heteroskedasticity with respect to the advantages of panel data technique such as higher degrees of freedom, more flexibility in the control of the omitted or unobserved variables effects, lead to a significant increase in the accuracy of estimations. In this thesis, in order to examine the similarities and differences between the conditional variance structure of stocks in the inter and intra industries, we have used a general to specific methodology of nested tests... 

This paper provides and empirical investigation of individual labor supply of Iranian spouses in a collective framework in which gender ratio and plays a central role in the decision process in household. The data set is taken from the socioeconomic characteristics of panel survey over 2001-2004 and ten yearly headcount of Iran. We have conducted the parameters estimation and hypothesis testing by Semykina, A. and Wooldridge, J.M., (2005) generalized procedure of sample selection in panel data model. Our findings explore that females’ labor supply is affected significantly and strongly by the gender ratio, (total number of males over the females in provinces, both in urban and rural areas).... 

Despite the fact that total fertility rate has a drastic decrease from 6.6 in 1980 to 1.8 childeren in 2008 and their education was highly growing in the last two decades, their participation in labor market is stillrelatively low(with maximum rate of 17.5 in 2007). Making use of the Iranian Household Expenditure and Income Survey(HEIS) and yearly labor market surveys (1984-2009), we intend to investigate the interaction between fertility(FER) and female labor participation(FLP) in Iran, for both the population with ages of 10-64 and 18-30. We use simultaneousequations by GMM to estimate the system of equation. Our findings show that the sign of FER’s determinants are as expected, but FLP... 

The increasing trend of gold prices over the last years, also a remarkable inflation in the prices level of Iran, attracted Iran households’ financial resources to the market of this precious metal. Although there are a sensible risk in the value of this asset, gold coin futures contracts is considered as an effective risk management lever of financial investors. This research intends to estimate the optimal rate of futures over spot contracts in the gold coins market of Iran. To this end, we use spot and futures prices over the 2008 Dec through 2011 Dec, which all the time series are sourced from the Iran’s mercantile exchange website. Among the existing procedures of optimal hedge ratio... 

This study examins effects of trade liberalization on the wage inequality across industries and between genders within these industries by utilizing the data of micro-level Households’ Income and Expenditures surveys and trade statistics over 2001-2011. The analysis is carried based on the Heckscher–Ohlin’s theory in international trade and Baker’s taste discrimination theory at firms. We use Quantile regression and ordinary least squares (OLS) to consider the wage discrimination across entire distribution wage distribution and at wages mean as well. The results of Blinder-Oaxaca decomposition approach (inequality at mean wage) and Machado and Mata’s model (inequality of wage at entire... 

Investment diversifiying is one of risk management technique. In this research, We investigate diversifiying in a case that stock market is high volatile, e.i. There are large movements in stock returns. Empirical researches show that inhigh volatile market, conditional correlation between returns is stronger, so diversifiying cant reduce risk. For evaluating this claim in Iranian financial asset market, We estimate quantiles of stock return distribution in 10%, 25%, 90% and 75% levels by Kernel density and GARCH models.Then, We find average conditional correlation, error variance and conditional CAPM to test the possibility of reducing Non-systematic and systematic risk. Analytical results... 

Iran have experienced tangible demographic changes over the recent decades. Fertility rate and marriage rate have declined, but divorce rate has increased remarkably. This research intends to examine the propensity to marry and marriage age in Iran by use of Household expenditure and income survey data (2009-2012) in the framework of search and match model. In the underlying literature, some socioeconomic factors are identified as the main determinants of these changes, particularly labor market prospects and male’s earning structure are considered as the most significant factors among others.The data are pooled and for the study years are merged with cohort data from the labor market to... 

This study aims to examine cigarette consumption behavior of younger cohorts in the urban areas of Iran. we use Iranian household's income and expenditures survey over 2007-2012 and a double-hurdle modeling approach to take into account the zero expenditure on cigarette consumption. after controlling for price and demographic factors which determine the demand for cigarettes, we find that the younger cohorts tend to use more cigarettes than the older ones, however the age effects for men aged between 21-45 are positive  

Over the last two decade, Value at Risk (VaR) has been used a popular method of market risk measurement, However Financial institutes and financial practitioners intend to improve its sufficiency and accuracy. One to the popular technique of VaR calculation is the times weighted simulation (BRW). When the weights are assigned to each observed return, exponentially decreasing, normally. The more recent returns would have his how weight. In the underlying literature the decay factor are selected on an ad hoc basely.The present research proposes a new method of decay factor determining by and optimization algorithm. By this method the decay factor is determined by minimization of the Sener loss... 

Volatility of returns in financial markets is a potential source of market risk. The volatility either is originated from fundamentals or transmitted from other financial markets. Present study aims to empirically investigate upward and downward risk spillover between the returns of chemical and pharmaceutical shares over 28/Mar/2009 and 01/Nov/2014. We use Hong et al. (2003) causality test approach as econometric tool. Our findings reveal that the most accurate modeling procedure for return’s volatility is GJR-GARCH with skewed GED distribution for error terms. Also, inferring the causality tests confirm presence of causality from chemical toward pharmaceutical market returns  

This study aims to estimate impact of the energy subsidy reform on household’s cigarette consumption in urban and rural areas in 2010-2012. According to the household size,income generated from receiving cash subsidies is different across families. So to measure the household’s response to different levels of subsidies on consumers spending, the doseresponse function is used. Our main contribution is estimation and calculation of cigarette spending reaction to the unconditional cash transfer by dose of the subsidy that they received, while the previous works in this literature have used the well know binary variable of being on the exposure of program. In terms of being on the exposure of... 

Since past time, market practitioners and speculators have attempted to use the existent market gaps and opportunities like arbitrage. While some investors buy stocks based on the available financial information of particular companies, others, by using different strategies, try to make profit out of it, based on true realization of the market and its behavior. This strategies will create the profitability by providing different situations including risk hedging and swing trading opportunities .In this context, researchers have designed various strategies for recognizing the assets that have high return potential. One of these strategies in trading with financial tools, is pair trading... 

Family economics consider children either as "goods" in consumption vector of their parents or as agents that have the ability of full economic independency. While the children reach adolescent age, the theory models their role, not only as individuals with their own preferences, but also as agents who can have an impact on family outcomes. Aim of this study is to focus on the fact that if children of certain ages take part in the households’ decisions or not. We use data from Households Income and Expenditures Survey 2011 for urban area and families with three members, parents and child with the age range 15 - 30. For a closer look, households were divided into four groups which include...