فهرست مطالب مجتبی رستمی نوروزآباد

This study focused on measuring investors' sentiments in the Tehran Stock Exchange (TSE) and evaluating their effectiveness in predicting future market trends. The study utilized two indices, ARMS and BSI, to gauge investors' sentiments and their performance in predicting stock market behavior was assessed over different (monthly, three-month, and six-month) time periods. Back-testing was employed to determine the accuracy of these indices. The findings revealed that the success rate of the indices in predicting stock prices was higher over a six-month period compared to shorter durations. Moreover, the BSI indicated that institutional investors tended to have a more accurate prediction capability than individual investors. Furthermore, the back-testing results demonstrated that the ARMS index outperformed the BSI index in forecasting stock prices. Therefore, the ARMS index, particularly over a six-month timeframe, served as a reliable indicator for predicting investors' sentiments. This research contributes by exploring the application of back-testing on investors' sentiment indices in the stock market, providing an optimized index and recommending an appropriate time period to enhance its predictive power. 

Investor sentiment holds significant importance in financial markets as recognized in the financial literature (Sun et al., 2016). The presence of sentiment and the potential risks and costs associated with arbitraging against sentiment-driven investors (Brunnermeier & Pedersen, 2005) may lead rational investors to deviate from standard pricing principles. Behavioral finance, in contrast, provides a fresh perspective for studying the influence of investor sentiment on stock market returns (Baker et al., 2007; Hribar & McInnis, 2012). The reality is that investor sentiment can impact asset prices, allowing swing traders to generate profits and sustain their presence in the market over the long term (Palomino, 2016).
In Iran, several studies have examined investor sentiment and its correlation with financial and economic variables. Noteworthy studies include those conducted by Nadiri and Panahian (2023), Jalilvand and Rostami Nowroozabad (2018), Gholami Jamkarani et al. (2019), Muridipour et al. (2020), Gol-Arzi and Piri (2022), Dadger et al. (2023), and Jalilvand et al. (2016). Furthermore, numerous studies have demonstrated the predictive value of investor sentiment in forecasting stock returns (Brown & Cliff, 2004; Finter et al., 2012; Kim et al., 2019; Lee et al., 2002). In this context, the present study aimed to introduce, for the first time, a more suitable index for measuring sentiment in the Tehran Stock Exchange (TSE), utilizing the ARMS and BSI indices. Furthermore, through back-testing, the study evaluated the appropriate timeframe for calculating this index.

The research was conducted from 2019 to 2023, encompassing a 5-year period. The sample comprised 380 companies listed on the TSE, of which 279 companies were selected for data analysis and measuring sentiment indicators. For sample selection in subsequent years, all companies admitted to the TSE before 2019 were considered, unless they were delisted from the exchange or had ceased operations for an extended period by the end of the research period in June 2023.
The research methodology involved calculating investor sentiment indices, specifically the ARMS and BSI indices, on a monthly basis, as well as using simple and moving average calculations over quarterly and 6-month periods. Subsequently, a backtest was conducted to estimate the success rate of the indices for different timeframes: monthly, quarterly, and 6 months. A success rate exceeding 50% was interpreted as a measure of success, while a rate below 50% indicated failure. In other words, when the sentiment indicators correctly predicted the future price direction of the stocks (based on both the number and market value of the desired shares) in the upcoming period with an accuracy of over 50%, it was considered successful; otherwise, it was deemed a failure. Finally, based on the performance of the most effective index, a market forecast for the upcoming period was provided.

The findings indicated that the ARMS sentiment measurement index exhibited a higher success rate in predicting stock price trends on the TSE over a 6-month period compared to 3-month and monthly intervals. This suggested that the ARMS index provided a more accurate forecast of the stock prices of listed companies over a longer timeframe. Similar observations were made for the BSI sentiment measurement index. Furthermore, the BSI index highlighted that institutional investors offered more reliable predictions of market and stock price trends than individual investors.
Table 1 presents the results of back-testing the investors' sentiment indices for stocks listed on the TSE. The table demonstrates that the ARMS sentiment measurement index outperforms the BSI in predicting stock exchange price trends. Additionally, the success rate of institutional investors' BSI index surpasses that of individual investors' BSI index. Based on these findings, the paper recommends adopting the ARMS sentiment measurement index as a representative measure of investors' sentiment for stocks listed on the TSE, particularly over a 6-month period.

To date, no study has addressed the issue of identifying the appropriate index, either ARMS or BSI, for measuring investor sentiment and predicting stock price behavior. Thus, the objective of this study was to propose a suitable index for measuring investor sentiment and market behavior based on the past approach and behavioral finance theory. Our findings revealed that the ARMS index exhibited a higher level of accuracy in predicting stock price trends over a 6-month period. This finding supported the hypothesis that investor sentiment has a more pronounced impact on stock prices in an inefficient or weakly efficient market, such as the Tehran Stock Exchange (TSE). The implications of this study are twofold. Firstly, shareholders and portfolio managers can utilize the results to construct optimal stock portfolios by considering the future price behavior of stocks listed on the TSE. Secondly, regulatory bodies, such as the Securities and Exchange Organization and the supervision departments of the exchange, can employ these findings, particularly the recommended index for measuring investors' sentiments over a 6-month period in conjunction with other control tools to monitor suspicious behavior by various market participants.

ObjectiveAccording to the hypothesis of behavioral finance, the main part of the ups and downs in the stock market can be the result of fear and greed. The Fear & Greed Index is a way to gauge stock market movements and determine if stocks are fairly priced. The theory is based on the logic that excessive fear tends to drive down share prices, and too much greed tends to have the opposite effect. The objective of this paper is to represent the fear and greed behavioral index daily in the Tehran Stock Exchange. MethodsThe sample for this research comprises all companies listed on the Tehran Stock Exchange from 2009/12/09 to 2023/08/22. The fluctuation in the number of accepted companies on the Tehran Stock Exchange is attributed to factors such as initial public offerings, the transfer of stocks between over-the-counter and the stock market, the delisting of symbols, and the cessation of trading for certain symbols. To apply the Fear and Greed Index in the Tehran Stock Exchange, we adapted CNN's Fear and Greed Index, making some modifications. Specifically, we retained seven variables while removing the Junk bond demand variable due to the absence of credit ratings for the debt securities traded on the Tehran Stock Exchange. Therefore, the represented index is based on the six variables, including stock market momentum, stock price strength, stock price breadth, put and call options, market volatility, and safe haven demand which shows the sentiments of the market in five scales, including excessive fear, fear, neutral, greed, and excessive greed. It should be noted that due to the diverse characteristics of the significant variables used in calculating the Fear and Greed Index and the need to consolidate all six variables into a single index, each variable is normalized using a standard method. ResultsThis study classifies the overall behavior of investors in the Tehran Stock Exchange into five sentiment spectrums: excessive fear, fear, neutral, greed, and excessive greed. The research findings reveal that during the years 2009, 2010, 2011, 2014 to 2016, and 2018 to 2023 (spanning from 2009/12/09 to 2023/08/22), the stock market exhibited higher levels of fear. Conversely, in 2012 and 2017, the Tehran Stock Exchange demonstrated a neutral sentiment on most trading days. Additionally, in 2013, the Tehran Stock Exchange displayed a greedy sentiment on the majority of its trading days. ConclusionIn total, from December 9, 2009, to August 22, 2023, out of 3299 working days, the Tehran Stock Market encountered excessive fear on 204 days, fear on 1604 days, neutrality on 878 days, greed on 565 days, and excessive greed on 48 days.

In this study, the relationship between the profitability of insurance companies (based on two key profitability indicators, including the return on assets (ROA) and the return on equity (ROE)) and its influencing factors, including claim ratio, operational expenses, and retention ratio, has been studied. Nineteen insurance companies listed on the Tehran Stock Exchange (TSE) and Iran Fara Bourse (IFB) were included in the research sample. A panel regression analysis was conducted using Eviews software to test hypotheses during 2016-2021. As a result of the estimation of the research models, the variable of loss ratio significantly and negatively affects the return on assets and return on equity of insurance companies listed in the Tehran Stock Exchange and Iran Farabourse. Also, operating costs have a negative and significant effect on the rate of return on assets and return on equity as profitability criteria of the sample companies. On the other hand, the holding ratio variable has had a positive and significant effect on the rate of return on assets and return on equity as profitability measures of insurance companies listed in the Tehran Stock Exchange and Iran Farabourse

Most economic and financial theories, according to the "rational economic man" theory, assume that when investing, investors consider all aspects and make completely rational decisions. However, the concept of a rational person remains ambiguous since human decisions deviate from the standard assumptions of economics. Individual stocks are recommended for purchase or sale by financial experts and stock market analysts and are followed by a large number of individual and institutional investors. Analysts provide information of varying quality to various groups of investors, as a result of the differences in these groups' characteristics and the information available to them, each group behaves differently. Since each of these groups may uniquely rely on the market, understanding the basis of the collective behavior of different investor groups can lead to a better understanding of price fluctuations. This study investigates how investors in the Iranian province of Fars react to the recommendations of fundamental analysts when selling shares. In this study, the laboratory-field method was employed to design and execute two experiments involving a total of 315 investors. The participants were divided into control and experimental groups, and the study focused on investigating the presence or absence of the tendency effect in the Iranian stock market within the control group. The impact of analysts' reasoning and recommendations on investor decisions and behavior was evaluated in the experimental group. The first experiment showed that the Iranian stock market is influenced by a tendency effect. The findings of the second experiment revealed that under good market conditions, investors kept winning stocks with both strong and weak analyst recommendations. Under difficult market conditions, investors were less likely to sell losing stocks (with negative returns) with excellent expert recommendations but more eager to sell with weak analyst recommendations. The purpose of this study was to examine how the recommendations of fundamental analysts impact the decision-making of stock exchange investors in the Fars province of Iran regarding the sale of stocks. Accordingly, 315 Tehran Stock Exchange investors from various cities in Fars province were divided into two experimental groups (each with 130 participants) and a control group (including 55 participants). The research findings indicated that given favorable market circumstances and the lucrative share position, with both the analyst's strong and weak recommendation (based on keeping the share), people resist selling and begin to keep the share. Furthermore, despite the analyst's strong recommendation, people stop selling and risk keeping the shares due to unfavorable market conditions and the losing stock's position (with additional information to support the recommendation to sell the shares). Unlike earlier studies, this study investigated the impact of fundamental analysts' recommendations on investors' decisions to sell shares depending on probability.

The purpose of this research was to survey the dimensions of implementation and development of risk management in financial industry organizations in Iran so as to reveal the level of risk management implementation and its degree of maturity, including the level of risk management culture, risk management governance, and integrity of risk management systems and processes, in the financial industry organizations.This research, which was a survey in terms of its nature and an applied one in terms of purpose, was performed among 173 organizations from all the companies and institutions in the country's financial industry. A questionnaire was used to collect the required data and information. The results showed that the risk management culture in the country's financial industry organizations was at a slightly lower than average level. Risk governance was at a slightly higher than weak level and the integrity of risk management systems and processes was lower than average. This research investigated enterprise risk management and its development among Iran’s financial industry organizations for the first time.

The systematically important role of “value premium” in explaining equity returns (Fama and French, 1992 and 1993) has long puzzled the literature in finance and economics.

While recent studies (Petkova and Zhang (2005) and Choi (2013)) provide evidence, using U.S. data for the differential behavior of the value and growth firms, they do not explain the sources and causes underlying such differences. Further, it is unclear whether such differences still persist in other countries’ capital markets. Using both parametric and non-parametric statistical technics, value and growth firms’ conditional asset and levered betas are compared over multiple periods of stable and adverse market conditions for the period 1999 -2017 in the Tehran Stock Exchange (TSE). Market conditions are broadly defined by the size and the volatility of market risk premiums in the TSE.

Our results show that value and growth firms’ conditional betas (levered or unlevered) are not different under stable market conditions. On the other hand, there are significant differences between value and growth firms’ conditional asset and levered betas under adverse market conditions. Specifically, value firms’ asset and levered risks are significantly higher than those of growth firms under adverse market conditions.

While recent studies (Petkova and Zhang (2005) and Choi (2013)) provide evidence using U.S. data for the differential behavior of the value and growth firms, they do not explain the sources and causes underlying such differences. Further, it is unclear whether such differences still persist in other countries’ capital markets. In this paper, we address both of these questions by examining the dynamic behavior of value and growth firms’ conditional asset and levered betas over multiple periods of stable and adverse market conditions for the period 2000 -2017 in the Tehran Stock Exchange (TSE).

Panel regressions and parametric tests are conducted for sub samples of strong value and growth firms to examine the influence of key financial and market variables such as leverage, return on assets, sales growth, market to book, and market sentiments.

During adverse market conditions, value firms’ asset betas are negatively affected by financial leverage and positively by operating leverage measures. On the other hand, growth firms’ asset betas are only positively affected by their profitability. These results support the notion that high financial and operating leverage plays a key role in elevating value firm’s riskiness during adverse economic conditions.

We provide evidence that value and growth firms’ levered and unlevered risks are differentially effected by market and financial factors. Specifically, we find that operating and financial leverage significantly constraint value firms’ ability to respond effectively during adverse economic conditions.

Recently, the area of Enterprise Risk Management (ERM) has received considerable attention both from the academic and professional communities. The empirical evidence seems to support the enabling role of the ERM in improving firms’ operating and financial performance, focusing on metrics such as equity values, cost of capital, and debt ratings. However, companies are still struggling with the development, implementation, and evaluation of ERM-based processes. In particular, this problem has been significantly more challenging for companies in emerging economies.

In this paper, we provide a clinical study detailing the institutional and functional risk management steps (identification, assessment, mitigation, implementation, and review) and processes undertaken to develop and implement ERM for a major investment banking company in Iran.

Overall, we found that the company has been exposed to fourteen categories of top risk sources including competition, political, human resource, market, liquidity, regulations, credit, reputation, and corporate governance. Furthermore, we have chosen a subset of more quantifiable categories of risk and recommended mitigation strategies and developed metrics to evaluate their performance.

Financial literacy is believed to play an important role in understanding investors’ behavior both in advanced and emerging stock markets. While previous studies have shown a positive association between improved financial literacy levels and the quality and performance of investors’ decisions, the dynamics of this process has not been adequately examined. This study develops an empirical model explaining the decision-making process that integrates the impact of investors’ financial literacy, emotions, and risk perceptions on investment decisions focusing on the financial markets of the Islamic Republic of Iran, mainly represented by the Tehran Stock Exchange (TSE). In particular, a three-dimensional process is used to provide a more robust measure of financial literacy represented by financial attitude, financial behavior and financial knowledge covering both basic and advanced financial knowledge levels. Using a large data set on investment behavior at the TSE in 2016, we find, unlike previous studies, no evidence on the impact of financial literacy on investors’ risk perception in Iran. On the other hand, financial literacy, risk perception and emotions collectively and significantly affect investors’ decisions at the TSE. We further find some evidence of gender specific effects.

In recent decades the world economy has witnessed vast changes that mainly occurred because of the emergence of factors that make up globalization. The purpose of this study is to evaluate the impact of financial globalization on stock return. In this respect, total foreign direct investment and investments in portfolios are employed as indicator of financial globalization. Also, among the other macroeconomic variables affecting the stock return, GDP, liquidity, inflation, market exchange rate and oil revenues are considered. This study applies the Bounds test and Autoregressive Distributed Lag (ARDL) models for Iranian economic during 1997-2015. The results provide a positive relationship between financial globalization and stock return. In other words, expansion of financial globalization lead to increase in stock return in Iran.

The developed countries have been concentrating on the deployment of electronic surveillance as one of the most essential prerequisites for electronic stock exchange. Any market development without oversight would face lower efficiency and consequently lower shareholder confidence in the market for both domestic and foreign investors. This study attempted to analyze how the quality of stocks e-purchasing affects investor decisions involved in Tehran Stock Exchange (TSE). The quality of stocks e-purchasing with dimensions of security, website design, customer service and experience was selected as independent variable, while investor decision-making was selected as dependent variable. The independent variable was assessed through a standard questionnaire containing 17 indicators. The population comprised all investors currently engaged in TSE, of which 346 subjects were examined as sample. The hypotheses were tested through structural equation modeling (SEM). The results demonstrated that security ranked the greatest dimension of stock e-purchasing (0.72), i.e. it had the highest relationship with investor decision-making in TSE. Subsequently, customer service ranked second (0.64), website design ranked third (0.51) and service quality experience ranked fourth (0.31).

In this study, provided preliminary evidence on a comprehensive program of study focusing on investors’ behavior in the Tehran Stock Exchange (TSE) in 2014. Using a survey-based methodology, 561 investors from the TSE representing individual investors, mutual fund experts, funding institutions experts, institutional investors, and stock brokers have been randomly selected to respond to a set of behavioral and economic questions recommended by the previous research in the field of behavioral finance. Factor loading from the collected data reveal that both behavioral and economic variables appear to influence investors’ decisions in the TSE. In the further to be shared new theoretical and econometric insights that is currently being amended preliminary evidence including dis-aggregating the sample by investors’ type (individual vs. institutional investors) as well as using structural equation modeling to test the statistical significance of the proposed variables and their differences across samples.

Financial companies are constantly exposed to the dangers of risk. In the last few years for various reasons، measuring value at risk (VaR) has become increasingly important for financial firms. The study of multiple measures of risk، VaR measure with a new approach Provides for the calculation of market risk. Common approaches to risk measurement Due to the complex nature; Nonlinear and changing risk the have explanatory power of Weak and limited functionality. Thus، the study A new paradigm of semi-parametric Combining wavelet analysis and GARCH models are Using wavelet analysis Deals with the properties of multi-scale data. Experimental results show the superiority of the proposed method in this paper Compared to traditional approaches. So that this method leads a higher degree of reliability and accuracy of the estimates of the value at risk.

The purpose of this study was to investigate factors influencing the increase in social responsibility in rural cooperatives of Sanandaj is Kamyaran cities. Variables Affecting Social Responsibility Include participation, education and mission. This research is based on the target is Applied and Based on the relationship between variables is Descriptive- Exploration research, and tools used for data collection questionnaire. Statistical populations for these are study 50 employees of rural cooperatives In Sanandaj and Kamyaran cities And 45 people of this Statistical population were randomly examined. Statistical techniques used are the correlation coefficient and regression tests. The obtained data were analyzed using SPSS software. The results obtained showed that Participation has a direct and positive impact on social responsibility. Also Training and mission have a direct impact on social responsibility. Finally suggestions to strengthen the impact of Variables Affecting Social Responsibility have been provided.

The purpose of this studyis to identify the effects of knowledge management on the behavior of investor’s investing in the Tehran Stock Exchange. Using investors'' attitude as a mediator variable in this study، a questionnaire was used to collect data. The aim of this research is application and data collection descriptive and correlational and structural equation modeling has used in particular. This research can be ranked as single cross-sectional studies from time point of view. Statistical population for this study is two groups of listed companies in Tehran Stock Exchange and also Tehran Stock Exchange investors. 319 investors and also 319 employees of the companies were chosen to be studied out of these two Statistical populations. Structural equation modeling techniques and LISREL software was used to study the correlations between variables. The analysis results obtained suggest that the dimensions of knowledge management have a direct and significant impact on the attitude of investors and attitude of investors also has a direct effect on the behavior of investors. Finally، recommendations are presented at the end of the study.

The aim of this study is to survey the relationship between total quality management and customer satisfaction. In this field research، we have used the standard questionnaire of Fuentes et at (2004). The city of Sanandaj is the statistical study of manufacturing companies and the Statistical Society، 135 managers and employees of the centers were randomly selected. In order to examining the relationships among variables، we have used the structural modeling techniques and also the LISREL software. The Results of indicators such as RMSEA، GFI، and AGFI have proven that results are good and useable. According to the results it is considerable that there is a positive relationship between focus on the customer and customer satisfaction. there is a positive and Significant Relationship between continuous improvement and customer satisfaction. Also there is a positive and Significant Relationship between teamwork and customer satisfaction. Finally، conclusions and suggestions for strengthening the relationship between the variables in the model are provided.

The purpose of this study was to investigate the effects of systematic thinking on knowledge management in Companies based in the field of energy. This study evaluated the implementation of knowledge management in the context of systems thinking subject, So that the factors which affect its success or failure could be better understood and recognized. For measuring Systems thinking Goldman model includes organizational hierarchy, Equifinality, ambiguous component dependencies, environmental communication and holism has been used. To measure this dimension, Goldman questionnaire was used And to measure the knowledge management as the dependent variable Shu-Hsien Liao & Chi-chuan Wu (2010) Questionnaire are used. Statistical populations of this research are Professionals, middle managers and senior managers Companies based in the field of energy in the interior, that of this Statistical population 291 people were studied. In order to examining the relationships among variables, the structural modeling techniques and the LISREL software has been used. The Results of indicators such as RMSEA, GFI, and AGFI have proven that results are good and useable. Accordingly Obtained results Implies that Systems thinking dimensions Has a direct and significant impact on the knowledge management. Finally, suggestions are presented at the end of the research.

Supply chain management is coordinating all activities with the activities of a company’s suppliers and customers. Effective supply chain management prefers that suppliers and customers together in a harmonious style, with a free flow of information to share, interact. The rapid flow of information between customers, suppliers, supply centers and transportation systems, Enables companies to develop the supply chain. On the basis of this study has been paid By using structural equation modeling to examine the implementation of information technology on supply chain capabilities and performance of the Saipa company. According to the analysis results, we can say that the IT implementation on supply chain capabilities and performance effects are significant. The significant effect It shows The capabilities and benefits of the implementation of IT in the enterprise can be a source of supply chain performance and functionality. In addition, the IT implemented both directly and indirectly has a positive impact on performance Of course, since it also has a significant relationship. Important consideration is that the indirect impact of IT implementation on performance of channel supply chain capabilities would make sense. In fact, despite the direct supply chain performance does not increase, but the increase is extremely positive effect on the performance of IT implementation.

The Purpose of the Current Study is to examine the Relationship between Ethics and Social Responsibility in the Hotel Industry. To investigate this Relationship, Human Resource Management, Community Involvement and Environmental Performance Inspired by Huimin and Ryan Study (2001) Were Chosen as Mediator variables. As a tool for data collection the Standard Questionnaire adopted by Gu Huimin and Chris Ryan was employed. Statistical Population of This Research was composed of all Sanandaj Hotels, and the sample population included 90 Cases of Senior Executives, Managers and Supervisors of These hotels who were randomly selected. To Examine the Relationships between Variables, Structural Equation Modeling Technique and LISREL Software were used. Indicators such as RMSEA, GFI and AGFI Demonstrated That the Results are Meaningful and Usable. Accordingly, Our Results Suggested a Positive and Significant Relationship Between Professional Ethics and Human Resource Management, Community Involvement and Environmental Performance. This Relationship was also observed With the Social Responsibility of the organization.

Governments always use development programs and policy-making strategies in order to achieve their goals for development. In Iran, too, following the policies of other countries, several programs have been presented, and the prospective plan of the country has recently been compiled. In this model, universities have their special place as the center for scientific and technological development. In the current sensitive situation, universities can truly perform their mission in realizing the goals of the prospective plan only if they have proper performance. In the present study, by taking non-governmental universities into account and proposing a new approach, the researchers have compiled the promotion policies for the effectiveness of non-governmental universities based on the optimal use of their resources. The university resources have been considered in the three fields of human capital, relational capital, and structural capital in the research at hand, and accordingly, a questionnaire including 37 questions has been designed and distributed among the samples. Of the distributed questionnaires, 83 which had been filled out by university personnel and academic staff of the non-governmental universities of the country were returned. In this research, the relationship of the research variables has been studied through the use of structural equation modeling. The research has also revealed to some extent the other shortcomings of the non-governmental universities, and some suggestions have been presented for future researches in order to obviate them.