فهرست مطالب مریم بذرائی

This study investigates hedging stock price of the selected industries listed in stock exchange with exchange rate, in order to manage risks of investors in capital market. To do se, the ADCC and DCC models are used. The data for this investigation includes daily stock return of the listed industries and exchange rate during 2008-2020. The results suggest that there exists symmetric correlation between stock price of these industries and exchange rate in both currency crises. Moreover, in both crises, the highest hedging effectiveness is associated with multidisciplinary industry and investment, whereas the lowest effectiveness is for banking. On the other hand, the biggest rate of hedging in the first and second currency crisis belongs to multidisciplinary industry and banking, respectively. The lowest rate of hedging in both crises belongs to investment industry and the highest weighted mean of optimal portfolio in both crises is found in banking industry. The results of this study provide the investors the opportunity to use hedging and asset allocation strategies in optimal way.

This study aims to detect path of currency crisis in different listed industries, in order to manage risk of shareholders in stock market. For this purpose, joint Contagion Test, Joint Coskewness Contagion Test and the Ornstein – Uhlenbeck Process are used. The data used in this study include: stock return of the listed industries and daily exchange rate during 2008 to 2020. The results suggest that currency crises of 2011 and 2018 have transmitted to all export- oriented import- oriented and neutral industries (except mass construction). Moreover, the findings support the fact that starting point of crisis contagion in both currency crises is pharmaceutical industry that attracted currency crises due to its strong correlation with exchange market. The next point of contagion in the first currency crisis is investment industry, and in the second currency crisis, basic metals and oil products. It is suggested that when currency crisis occurred, investors increase weight of basic metals stocks and decrease share of pharmaceutical and computers in their portfolio.

In the new literature, the role of institution quality in economic development has been considered. The distribution of foreign direct investment, as well as how it is absorbed and its impact on the economies of the countries is strongly influenced by the quality of institutions and the economic, political and host country's position. In the present article, the impact of institutional and structural variables on attracting foreign direct investment in the selected OPEC member countries is conducted using the Generalized Torque (GMM) dynamic panel method from 1998 to 2012. The results indicate a positive and significant effect of good governance and natural resources on attracting foreign direct investment. Also, the results of the model's estimation show that natural resources have a dominant influence on the relationship between direct governance and foreign direct investment; in other words, due to the impact of natural resources, good governance in selected OPEC countries does not facilitate the flow of direct foreign investment, but rather Reducing the attraction of foreign direct investment also