فهرست مطالب reihaneh rabiee

This study is empirically examining effect of spoofing order-entering manipulation on the efficiency of Tehran stock exchange. For this reason a sample set with 288 listed stocks in Tehran stock exchange, which include 144 cases of market manipulation for 3-month period from January 2015 to march 2015, that creates 14,516 observations is selected. By collecting needed data in order to detect the effect of manipulation and volatility on bid, ask spread and volume as market efficiency criteria. For model analysis, Panel data regression is used. Results showed that bid ask spread and proportional bid ask spread increase before manipulation and decrease after that. Stocks with high volume are prone to market manipulation. This means that Tehran stock exchange is capable of efficiently responding to the presence of manipulators and promote efficiency measures. Presence of information seeking investors who are trading by following manipulators with insider information is effective in providing this situation.

There is a large theoretical literature regarding stock market manipulation. However, empirical evidence of manipulation remains scare especially in emerging markets like Iran. So, it is vital to detect and prevent. Manipulation distorts prices, thereby reducing market efficiency and harms public confidence. Distorted prices increase market volatility and risk. This study empirically investigates which firms are more susceptible to successful deceptive manipulation. We collect the data set consisting of manipulation cases of entering spoofing order in Iranian stock market in two periods. In the first three-month period, the index was downward and in the second one, it was upward. Panel Logit regression was used to determine and interpret results. The regression results showed that small firms, with high trade volume, low information transparency, high information asymmetry and high volatility are more prone to stock price manipulation. Indeed, there is an inverse relationship between manipulation and fluctuation index. Index change is an effective variable on stock manipulation. Manipulation is more probable in bear market, because most of the stocks are upward in bullish markets and there are fewer motives for stock manipulation

Agency conflict has been recognized as one of the determinants of capital structure of firms based on the agency theory. Financing decisions have been recognized as one of the strategic decisions in the firms that are affected by firm’s governance. The purpose of this paper is to empirically investigate the impact of capital structure choice on firm performance in Tehran stock exchange. Fixed effect panel regression model is used to analyze eight years of data (1385-1392) on 158 listed firms, to find the relation between leverage and firm performance after controlling for factors such as size, age, tangibility, growth, liquidity and advertising. In order to analyze the relation between leverage and firm performance, we considered two assumptions: negative relation between long term and short term debt ratio with return on equity (ROE) /return on assets (ROA). Empirical results suggest that leverage has a negative influence on financial performance of Iranian firms, which is in contrast with the assumptions of agency theory as commonly received and accepted in other developed as well as emerging economies. Consequently, postulates of agency theory have to be seen with different perspective in Iran given the underdeveloped nature of bond markets and dominance of state-owned banks in lending to corporate sector.

Associated risks of an asset are unavoidable factors that affect the performance and return. One of the associated risks is cash flow volatility that affects stock return as an idiosyncratic risk. In this survey we investigate factors which affect stock return. In order to differentiate this survey from others our, focus is on relationship between cash flow volatility and stock return.
This research is a descriptive-correlative investigation and the panel data is used for estimating model. This survey includes 116 listed firms of Tehran Stock Exchange during 2001 to 2010.
There are 4 hypotheses in our research that survey the relation between cash flow volatility and return. Two hypotheses of this research are rejected and two of them are significant in 95% confidence level. Using panel data regression, the results show that stock return is negatively related to cash flow volatility and price momentum.