Sharif Digital Repository

This thesis has two section. In the first section, this thesis studies the dynamic behavior of daily oil prices and finds strong evidence of GARCH as well as conditional jump behavior. This implies that conditional heter oscedasticity is present and the empirical distribution of oil price changes has heavy tails. Thus, the oil price consider ably sensitive to news and does not settle around along-run trend.In the second section This thesis investigates the out-of-sample value-at-risk (VaR) forecasts in gulf cooperation council stock markets by considering both oil volatilities and the developed GARCH model construction. The em-pirical results indicate that the Oil GARCH model with... 

In this research we study the capacity on insurance industry to respond to catastrophe risk. For this purpose we use insurance factory data from 1383 to 1394 and based on variables such as fire premium, loss, payment and financial data during the period. Estimations were made based on two cases: using raw data and detrend it. The result in both cases indicate that the insurance industry does not have the sufficient capacity to respond to potential loss caused by natural disaster  

In inefficient stock markets, fast and complete access to the public information about stocks and using this information for trades can make the investment more profitable. This research gathered the Iranian telegram channel's data with stock and investment subjects, trading volume, and stock returns. We suggested a trading strategy for beating the market by processing these data. We have also investigated the transaction costs in this research.
 

After introducing “Prosopect Theory” by Kahneman and Tversky in 1979, it is mostly used as an alternative to expected utility theory in order to study human decision making under risky situatutions. Loss aversion has been considered as an important aspect of this theory. In this study, we review loss aversion and the effects of education and gender on it. Finally, we study the effect of repeating a gamble on its participants’ loss aversions. The results show that education and gender have direct effects on loss aversion and repeating a gamble can decrease loss aversion of participants.

 

The purpose of this research is to study the relationship between Tehran Stock Market Return and Macroeconmic Variables. Macroeconomic Variables considered in this research are Inflation Rate, Economic Growth Rate, Money Supply, Foreign Currency Exchange Rate, Interest Rate, and Crude Oil Price. The relationship between Tehran Stock Market Return and the return of local and global markets is studied as well. Financial Markets play a special role in developing counties like Iran and rapid development of them can play a significant role in transition from a traditional economy to concepts of globalization. In current time that liberalization and privatization policies are of high interest in... 

Based on the air entrainment, the water conveyance tunnels can be categorized as pressurized, two-phase flow. When the flow is controlled by gates, sudden closure of gates would produce unsteady two-phase flow. The most important effect of such an event is the sudden change in the pressure which can be a function of channel slope, air and water inflow and their ratio. In this thesis the pressure change in unsteady two-phase in an experimental set up using rectangular tunnel is studied. About 100 tests were carried out for single and two-phase flow with various water and air discharges causing unsteady flow with different slopes. It was observed that in a defined slope the ratio of the... 

Futures exchanges require a margin requirement that ensures their competitiveness and protects against default risk. The purpose of a margin requirement is to protect a clearinghouse from members’ defaults resulting from big losses due to adverse movement of futures prices. Extreme movements are central to the margin setting problem, because only a large price variation may cause brokers to incur losses. So in this study according to recent default in gold futures in Iran Mercantile Exchange we apply extreme value theory for computing unconditional and conditional optimal margin levels based on Block-Maxima and Peak over threshold approaches.The results show that at very high confidence... 

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... 

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... 

In this thesis, we simulate the competition between some investment strategies based on dividends with each other and with mean-variance strategy (Markowitz) in an evolutionary finance framework. We perform simulations by two different approaches. In the first one, we use real dividend data and, in the second one we use dividends that are generated according to a dividend factor model. The dividend factor model which relates the dividends to the macro-economic factors is estimated from data using principal component analysis. Our simulations show that in this competition, the evolutionary portfolio rule will eventually hold the total market wealth. According to this simple rule the portfolio... 

One of the major problems in cancer treatment is the side effects of the drugs. Nowadays, scientists are developing smart nanocarriers which used for diagnosis and delivering drugs in order to circulate through blood vessels, pass the immune system, attach to cancer cells and kill them without any side effects. In the first research of this thesis, magnetic nanoparticles were coated by modified alginate and used as smart nanocarriers. Magnetic nanocarrier were sysnthesized based on hydrophobic coating of oleic acid and hydrazine oleate-modified alginate shell. The resulting carrier is pH-sensitive and the alginate shell removes in the low pH medium. DOX was placed between hydrophobic chains.... 

The purpose of this study was to investigate the attitude of young people towards luxury brands from the point of view of social identity (Case study: Luxury cars shopping in Tehran by young people).In this regard, while reviewing the concepts of attitude and luxury brands dimensions, using the method of regression and structural equation modeling, we investigated the attitude of young people towards luxury brands.The statistical population of this research includes customers of Del's Brandy Benz and BTBMW District 1 in Tehran. Their number is estimated to be 500, and the sample size is determined using Morgan Crujsi's table to determine the sample size of 217 people. Using the Simple random... 

In order to better understand the performance of the Iranian health insurance industry, household decisions to purchase private health insurance are analyzed using a two-stage (Heckman) model on Survey of Family Income and Expenditure data. Probit and OLS regressions are used to examine the factors influencing the probability and amount of private health insurance purchased. Generally, factors affecting the probability of having insurance also influence the amount of insurance coverage purchased. The results show the importance of some demographics on the insurance decision, particularly age, gender and marital status. Socio-economic factors such as education, income, employment sector,... 

In the present paper we construct stock price processes with the same marginal log- normal law as that of a geometric Brownian motion and also with the same transition density (and returns’ distributions) between any two instants in a given discrete-time grid. We then illustrate how option prices based on such processes differ from Black and Scholes’, in that option prices can be either arbitrarily close to the option intrinsic value or arbitrarily close to the underlying stock price. We also explain that this is due to the particular way one models the stock-price process in between the grid time instants which are relevant for trading
 

Stock market index is an indicator for the general level of prices of the listed companies in a stock market. If stock price index correctly reflects the future behavior of fundamental variables, then as a leading indicator it could predict the booms and boasts in economic activites.
The main question of this thesis is “whether the stock market is a leading indicator for economic growth in Iran?” To answer this question, we use the data of the Stock market price index and GDP in Iran, from 1991:1 to 2012:4. By an OLS regression and a VAR model, we show that the real return of stock market leads GDP growth, and the market cycle leads the business cycle. We use impulse response function,... 

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 research is an event study about the effects of the Corona Virus Outbreak on different industries in the Iran Stock Exchange. This study examines which industries had been affected more negatively or positively by the COVID-19 pandemic outbreak. In the first step, we calculate Alphas, Betas, and expected returns of stocks in an estimation window before the event using the market model. Then, we group all stocks in 17 different industries and calculate average cumulative abnormal returns in the event period as good measures for examining defects of this outbreak. Our results show that transportation, chemical products, processed products, real estate, and automobile manufacturing were... 

The relative lack of research concerning the potential impacts of climate change on different sectors in developing countries, especially the Middle Eastern countries, as the essential prerequisite of climate policy actions has made these countries the frontline against climate impacts. To fill this gap, in the first phase, we first analyzed spatial distributions and trends in thirty-seven hydro-climatic mean and extreme indices across Iran based on the state-of-the-art reanalysis datasets (ERA5-Land and AgERA5) at the county level from 1986 to 2015 using several nonparametric approaches such as multiple modified Mann-Kendall statistical tests and Sen’s Slope estimator. Their interannual... 

The development of effective models for classification problems, such as the problem of selecting which credit applicants to accept, has been the subject of intense research for decades. Many static and dynamic methods, ranging from statistical classifiers to decision trees, nearest-neighbor methods, and neural networks, have already been proposed to tackle this problem and to assist decision making in the area of consumer and commercial credit. Given the profusion of modeling and data management techniques, it is often the case that which model has the more appropriate outputs in classification of the same problem. Among the stated methods although the latter, Neural Networks, is powerful...