جستجوی مقالات مرتبط با کلیدواژه « tehran stock exchange » در نشریات گروه « اقتصاد »

The purpose of this research is to investigate the impact of real earnings smoothing on labour investment efficiency company's. In order to test the research hypothesis, from financial information 96 firms from listed on Tehran stock Exchange in 2015 – 2022 have been used. The results that real earnings smoothing on abnormal net hiring has a negative and significant effect, which shows that real earnings smoothing lowers deviations of real net hiring away from the expected level. The results obtained from the hypothesis test are in accordance with the signaling theory regarding private information, real earnings smoothing conveys managers' private information about future earnings to stakeholders and by doing so, it reduces the information asymmetry between firms and external capital suppliers and inefficient labour Eventually, real earnings smoothing can help companies achieve high productivity and labour investment efficiency.

Having an investment portfolio with minimum risk and maximum return is the Pareto optimum that all investors in the financial markets are looking for. Achieving this goal is not possible due to its idealistic nature, and people can only approach this optimal situation. However, the basic principle in the composition of the investment portfolio is to have financial assets with minimal correlation in the portfolio. This is followed to reduce the yield spillover effect among the portfolio assets. This is the reason for this study to investigate the yield spillover between assets such as gold, dollar, euro and major stock market indices such as automotive, banking and chemical group index for the daily period from 2018 August 26 to 2023 March 15, using the ARCH approach. Results of EGARCH(1,2), EGARCH(1,1), GARCH(1,2), GARCH(2,2) and AR(2) models for banking group index, chemical group index, gold, euro and dollar respectively which are based on the selected information criteria, showed that the spillover effect of the studied assets is different from each other.

This research investigates the relationship between oil price Volatility and investors' sentiments in the Tehran Stock Exchange. Oil is one of the most important sources of energy in the world and is necessary for many industries. Oil price Volatilities directly and indirectly impact the economy and financial markets. In this research, the monthly relationship between oil price Volatility and investors' sentiments was investigated using the Nonlinear Autoregressive Distributed Lag Model (NARDL) in the period from April 2011 to March 2023. The results showed that there is a significant relationship between oil price Volatility and investors' sentiment index, asymmetrically in the short term and symmetrically in the long term, that is, the price of oil in the ups and downs of the market has a different impact in the short term and a similar impact in the long term on sentiments. investors, and on the other hand, in the short and long term, oil price Volatilities impact investors' sentiment with different intensity, Therefore, stock market investors should have a different analysis in forming their portfolio for oil price Volatilities in the ups and downs of the market.

The information diffusion and interactions within financial markets have a significant impact on the price discovery process and the sentiment and risk dispersion. Despite its importance, limited research has been conducted on information flow dynamics within the Tehran Stock Exchange, which is a vital component of Iran's capital market. This study aims to fill this gap by examining the information flow dynamics among 39 major industries from March 27, 2010, to June 21, 2023. Effective transfer entropy is employed to quantify the intensity of information flow between industry indices. Sequence of information matrices are constructed using rolling one-week windows over one-year periods. Given the occurrence of critical events during the research period, their influence on information flow dynamics is analyzed using Frobenius distance-based k-nearest neighbor networks, Influence Strength analysis, and threshold networks. The findings reveal that the effective transfer entropy matrix exhibits time-varying characteristics and remains stable throughout most periods. Furthermore, critical events significantly impact information flow dynamics, with abnormal values of Influence Strength associated with market volatility and major events. Additionally, the dominant source of information in the information flow network changes over time, highlighting the transient nature of industry dominance within the network.

Considering the role of the capital market in the economy of countries and studying the performance of this market has a particular importance. One of the factors that affect the performance of the capital market is the decisions made regarding the financial structure of companies’ performance in this market. Today, in fact, the credit rating of companies is largely dependent on their financial structure, or in other words, their capital structure, and in fact, the basis of production and service provision depends on the way financial funds are provided and used. On the other hand, the financial structure of each company is an early warning regarding the number of financial resources of the company, and it is necessary to determine the factors affecting their financial structure in the strategic planning of companies. Many variables affect the financial structures of stock companies, among which we can mention financing with Islamic instruments. Sukuk is one of the important financial instruments and conforms with the Islamic Shari'ah, which provide an alternative source of funding, especially for large (very active) companies, and more efficient sources compared to conventional bonds.

 THEORETICAL FRAMEWORK:

In financial field, the way in which the company invests is called financial structure. Financial structure, or in other words capital structure, describes the long-term capital financing of a company, which represents debt and equity, and is a type of permanent financing that supports the growth of the company and related assets. One of the most important functions of the Islamic financial system is to facilitate financial flow and guide it towards the most efficient type of investment, and as a facilitator of financial flow, it gives producers the opportunity to move economic resources with greater speed and accuracy by relying on monetary and financial resources. The existence of these types of financial instruments increases capital efficiency and optimal allocation of resources in companies. Since Islamic financing can lead to global financial stability and economic growth; Therefore, wider access to financial services improves social participation and increases market power, and ultimately strengthens protective laws and solves problems and issues of financial development, and increases profitability and improves the financing process of companies.

This research is considered as applied research in terms of its objective; Because it examines the relationships between variables, the subject of the research is the Tehran Stock Exchange Organization in terms of location, and the time scope of the research is from the fiscal year 2010 to 2019 by using the annual data of the companies. The 83 companies were selected as the statistical sample used in the research. In order to estimate the effects of the variables, the panel data technique with Johnssen's approach is used. In this research, the variable of financial structure is used as dependent variable and the variables of ejare sukuk, murabaha sukuk, sode sukuk, istisna sukuk and mosharekat sukuk are used as explanatory variables.

According to the empirical results of this study, all new Islamic financing instruments had a positive effect on the financial structure index (ratio of capital to assets). In the long run, ejare sukuk, murabaha sukuk, sode sukuk, istisna sukuk and mosharekat sukuk explain 7.06, 20.32, 0.07, 3.32 and 0.84 percent respectively, of the changes in the financial structure index.

CONCLUSIONS & SUGGESTIONS:

The present study investigates effectiveness of the financial structure of listed companies from new Islamic financing instruments (Sukuk) by using the panel data technique with the Johanssen approach. For this purpose, the data of 83 listed companies on the Tehran Stock Exchange has been used during the years 2010 to 2019. According to the research results, instruments had a positive effect on the financial structure index (ratio of capital to assets). Accordingly, the issue of sukuk can significantly improve the financial structure of companies. Companies should use a complete combination of modern financing tools (Sukuk) to achieve benefits such as increasing liquidity, increasing shareholders' wealth and increasing diversity in financing sources.

The effects of the spread of the COVID-19 virus on food supply chain companies and subsequently on the agricultural commodity exchange and food industries are evident;, food and agriculture stock returns during COVID-19 show differences from other sectors in terms of sensitivity to shocks. This study was conducted to investigate the fluctuations of the food industry index in the face of the six waves of COVID-19.Study

In this study, the daily data of Tehran Stock Exchange was used from the 2018 March 21 to 2022 March 22. Box-Jenkins method and ARCH and GARCH methods were used to investigate the fluctuations of the food industry index. To identify the best predictive model of the food industry index, among the 256 possible estimates, the best 20 models were presented using the differentiation method and Box-Jenkins technique.

The optimal equation for predicting the time series food industry index variable is SARIMA (7,1,6) (0,1,1) and the optimal equation for predicting its heterogeneity variance is GARCH (1,1).

The results obtained from including the waves of the spread of COVID-19 in the optimal equation showed that the first, second, and third waves of the spread of COVID-19 have a significant effect on the fluctuations of the food industry index variable.

More capable managers, because they are confident in the financial reporting process of their companies, try to reduce the scope of the audit by negotiation and pay a lower audit fee. Capable managers can reduce the asymmetry of information between shareholders and managers by improving the quality of financial reporting, and provide an indirect path for the influence of managerial ability on the profit response coefficient by increasing the smoothing of profit and income. They can provide financial information transparently. Provide more and expressive to foreign investors and improve the information environment. The purpose of this research is to answer the question "How does the reaction coefficient of a company's profit change with management ability?" in companies listed on the Tehran Stock Exchange. It is of the causal type. The number of 182 companies in the period of 1392-1400 from among all the companies accepted in the Tehran Stock Exchange have been selected as the research sample of the statistical society of the research, the statistical analysis is done using Eviuz software. In order to test the research hypotheses and determine the relationship between independent and dependent variables, econometric models have been used and the relevant hypotheses have been investigated using the panel multivariate regression method. The management ability of the company.

The financial crisis caused by the Covid-19 pandemic can affect all types of financial markets, on the other hand, considering the effective role of the OPEC basket oil price as an influential factor in the economy of oil exporting countries, It is important to examine the impact of changes in OPEC basket oil prices on financial markets during the Covid-19 pandemic. In this research, cubic spline interpolation has been used to find a two-dimensional curve to examine the changes in OPEC basket oil prices and the total index of the Tehran Stock Exchange on a monthly basis during the years 1397-1400. By calculating the approximation curve parametrically and in terms of the time variable, it was found that during a period of approximately six months after the prevalence of Covid-19, First in a period of almost three and a half months, the total index of Tehran Stock Exchange has been a descending function and then an ascending function in relation to OPEC oil price changes.

The experience of the world economy over the last few decades shows that herd behavior is one of the main factors in the formation of financial crises. In identifying the causes of such behavior, economists have pointed the finger of accusation at various factors, and it can be said that monetary policy is at the top of this list. Because of the harmful effects of herd behavior on stock market, identifying the factors influencing this type of behaviour can be of great importance. As a result, the main objective of this study is to investigate the effect of monetary policy on the formation of herd behavior in Tehran Stock Exchange. In this regard, using the monthly data from April 2009 to March 2021 and using the non-linear STR-GARCH model, the effect of monetary policy on the formation of herd behavior in the Iranian stock market was investigated. This method allows the researcher to model the non-linear pattern in herd behavior. In the estimated model, Chang et al.’s index (2000) was used to measure the dispersion of stock returns around the market return, also, the monetary policy variable (growth of liquidity) was used as threshold variable. By choosing this variable as a threshold variable, we can check whether changes in this variable can lead to a transition from a rational regime to a herd regime or not. The results of the study indicate that herd behavior in Tehran Stock Exchange has a variable behavior over time and the linear model is not suitable for investigating such behavior. Also, the results of the research show that based on different values of liquidity growth variable, the behavior of investors changes, so that for monthly liquidity growth values smaller than 2.3%, rational behavior is observed in investment decisions, but with an increase in the growth rate of liquidity and crossing this threshold, over time, herd behavior becomes the dominant behavior in the stock market.

The purpose of this research was to present a model of sustainability reporting with the foundational data theory approach in companies admitted to the Tehran Stock Exchange. This research is applied in terms of purpose, exploratory in terms of data, and foundational data in terms of implementation method. The statistical population in the qualitative section was 12 experts by snowball sampling and in the quantitative section 2184 managers and experts, of which 317 were selected by simple random sampling. The data collection tool was a semi-structured interview in the qualitative part and a questionnaire in the quantitative part. The causal results of the qualitative section include 5 components of environmental requirements, environmental incentives, environmental pressures, cultural, social and political characteristics of the country and the characteristics of the international environment, the contextual results of the qualitative section include 4 components of the characteristics of the company environment, economic characteristics of the country, financial incentives and accounting environment and The country's finance, the intervention results of the qualitative sector including 6 components of the company's structural characteristics, corporate governance characteristics, competition in the industry, the behavioral characteristics of managers and performance characteristics, the results of the qualitative sector strategies including 6 components of the establishment of the internal control system, training on the category of sustainability, specifying the institution responsible for sustainability , developing principles and standards of sustainability, strengthening and using new technologies and forming a sustainability committee in companies and the results of the consequences of the qualitative sector including 5 components of environmental protection for future generations, increasing social trust, quality of financial reporting, quality of financial reporting, improvement of quality of life Humans and the growth of the capital market. In the quantitative section, the highest rank was related to background conditions and the lowest to intervention conditions.

 The emergence of information technology has led to a huge transformation in the world of business. However, the type and degree of impact of information technology and its different parts onthe efficiency of companies is not known; Efficiency in economics is a broad concept that is used to indicate the state of best possible performance and includes the minimum cost of producing goods or services, the maximum amount of production and the maximum market performance. (ODonnell, 2018). Recently, rapid technological developments have made companies use information technology to ensure their growth in order to survive in the business competition (Fadhilah & Subriadi, 2019).In Iran, the importance of this technology in the field of industry, economy and trade has not been properly clarified for managers and capital owners. Therefore, it is of great importance and necessity to conduct a research that shows the impact of the use of information technology on the efficiency of companies in a documented manner and using data from various companies at different times. Also, information technology has different parts (hardware, software, database, network, human resources) that the use of each sector requires investment and spending the company's limited resources in those sectors. Now, focusing on which part can have a greater effect on efficiency is also an issue that is addressed in the current research. Therefore, the current research tries to address this issue by using econometric models and relying on real data. Therefore, the main goal of the current research is to investigate the effect of information technology on the efficiency of companies admitted to the Tehran Stock Exchange, and based on this, the main and sub-hypotheses of the current research are proposed as follows:Information technology has a significant impact on the efficiency of companies.Investment in hardware, investment in software, investment in database, investment in network and investment in skilled human resources have a significant impact on the efficiency of companies.

 The current research aims to investigate the impact of information technology on improving the efficiency of companies with an analytical-applicative approach. The statistical population of this study includes companies admitted to the Tehran Stock Exchange during the 5-year period from 2014 to 2019. And the research sample is the data of 41 companies that were selected using the systematic elimination sampling method. The variables examined in this research include the dependent of the companys efficiency information technology in five areas:hardwared) Hardware-Invi,(, software (software-Invij), network and communication facilities (Network-Invij), database (Database-Invij)  and investment in skilled human resources  (Humanresources-Invij), company size and risk. The method used in this research (in order to investigate the relationship between independent and dependent variables) is the pooled data model.In order to estimate the model, we first use Limer's F statistic to determine the presence or absence of width from separate origins for each section (using the methods of combined regression patterns and panel data pattern); If the combined regression models are not confirmed, the Hausman test is performed in order to use one of the fixed effects model and the random effects model for estimation. The models investigated in the current research are derived from the model (Fadhila and Sobriadi, 2019).

 The findings of the research indicate that information technology and its components have a positive effect on improving the efficiency of companies admitted to the Tehran Stock Exchange. In this equation, the role of the controlling variable of company size is also confirmed. In fact, information technology can increase the efficiency of companies by investing in five sectors: hardware, software, database, network, and human resources, and this means that companies that have invested more in information technology had a higher efficiency rate.

 that investing in hardware has a positive effect on improving the efficiency of companies. Therefore, it can be said that with the increase in the investment of companies in the hardware sector, the efficiency of the companies accepted in the stock exchange has also increased. Investing in software has a positive effect on improving the efficiency of companies. Based on this finding, it was found that companies can achieve improved efficiency by investing in software and increasing readiness to provide facilities and keep pace with technological developments. Also, investing in the database has a significant effect on improving the efficiency of companies. Based on this, it can be concluded that companies can increase their efficiency by increasing their investment in the database. Investing in the network has a significant effect on improving the efficiency of companies. Networks consist of intranet, extranet and internet. The presence of these networks in the company facilitates the process of exchanging information, carrying out processes and making decisions, and ultimately improves the efficiency of the company. Investing in human resources has a significant effect on improving the efficiency of companies. Therefore, it can be said that companies' investment in human resources can improve the efficiency of companies. Based on the results, the companies were looking for higher efficiency by investing in this sector. Based on the investigations carried out in all the fitted models, it is clear that the company size variable has a positive and significant effect on the efficiency of the companies admitted to the Tehran Stock Exchange  This factor indicates that larger companies, in terms of size, have experienced higher efficiency, and this factor can be caused by the distribution of the fixed cost of these companies on other costs.

The success of capital market investors depends on their mastery of market structure, opportunities and threats, also knowledge of financial market analysis methods. This study, in the time domain of the research (2017 to 2018) and in the statistical population of the research, which is all the companies of the two petroleum and chemical groups of the Tehran Stock Exchange, tries to compare the two analytical methods of CANSLIM and Ichimoku. In this research, while identifying the top stocks based on CANSLIM, the back testing of the Ichimoku trading strategy and its profitability evaluation has been done, and finally, while introducing the adjusted CANSLIM model and appropriate to the Tehran Stock Exchange, the profitability of the combined strategy of adjusted CANSLIM and Ichimoku has been evaluated. The general result of the research was that the profitability of the combined trading method of adjusted CANSLIM and Ichimoku, whose win rate in this research was at least 66%, is more profitable than the investment method based on CANSLIM. In this study, the criteria of new higher prices, market direction, and the institutional sponsorship, which are the constituent elements of adjusted consensus, were recognized as the most effective indicators for identifying superior stocks.

The aim of this study was to investigate the effect of volume shock on abnormal stock returns. In terms of research method, this research is in the category of descriptive-correlational research and in terms of research purpose, it is in the category of applied research. The statistical population in this study is all companies listed on the stock exchange that 120 companies were selected as a statistical sample and the information of these companies during the years 1393 to 1399 from the database of Tehran Stock Exchange and Soft New Rahvard ideas were extracted. EVIEWS software and data panel template were used to analyze the data. The results of the data panel model showed that there is a positive and significant relationship between volume shock and abnormal stock returns. Because the probability value of this variable (0.0032) is less than the standard value of 0.05. Therefore, the research hypothesis of a significant relationship between non-volume shock and abnormal stock returns is accepted. A coefficient of 0.098 indicates that with an increase of one unit in the volume shock of transactions, the amount of abnormal stock returns increases to the rate of 0.098 units. The results also showed that there is a significant negative relationship between equity returns and abnormal share returns. According to the results, there is a positive and significant relationship between financial leverage and abnormal stock returns. The results also showed that there is no significant relationship between firm size and profit margin with abnormal stock returns because the probability value of these variables is higher than the standard value of 0.05.

Since increasing stress in financial markets is important for analysis and forecasting of economic activities and can be reflected in many variables of the financial market, recognizing the main sources of financial stress and its effects on various economic activities and sectors is one of the most important areas in the financial discussions. Considering the importance of this issue, in the present research, the financial stress index in Iran will be calculated, and then the short-term and long-term relationship between financial stress and stock returns of top industries in the Tehran Stock Exchange by using the panel method in the form of a multivariate model will be evaluated during the period of 1384-1398 using daily data. The analysis of this relationship in the long and short term will be investigated using Co integration and Panel Error Correction Model (PECM) and dynamic ordinary least squares (DOLS) methods will be used to investigate the long-term dynamic relationship between model variables. It should be noted that in order to more accurately analyze, in addition to investigation the effects of total financial stress index FSI (which is a combined index of financial stress in the capital, currency and money markets) on the stock returns of the studied industries, the financial stress index of each markets (money, capital and exchange market) has been entered into the model separately and we have investigated the effect of financial stress index in each of  studied financial markets on the stock returns.

In this research, in order to investigate the effect of financial stress, oil price and other independent variables on the stock returns of the studied industries, in the form of a multivariate panel model and the analysis of long-term and short-term coefficients, using Pedroni panel data method (Pedroni 1999&2004) and The panel error correction model (PECM) is used, and for this purpose the following is considered:                                                                                    
    (1)
 
SR: stock returns of the top industries in the Tehran Stock Exchange. This variable is calculated using the following: (Maditinos., & Theriou, 2011)                                                                         (2)                                                                           
 Ti,t  is the stock price index of industry i in period t.
FSI: Financial Stress Index
INF: inflation rate
INT: Interest rate
RER: real exchange rate
                                                                           (3)
       ER: Nominal exchange rate
       CPI*: Foreign CPI
       CPI: Domestic CPI
OIL: oil price 

The results show that in all four estimated models, the effect of the financial stress index on the stock returns of industries is negative and statistically significant. The estimated coefficients for the oil price variable are positive in all four models, which are statistically significant in all models.The estimated coefficients for the inflation rate variable in all models have a negative sign and are statistically significant.The estimation results indicate the positive effect of the interest rate on the stock returns of the studied industries.Based on the obtained results, the exchange rate in all models will have a positive effect on the stock returns.

The results indicate that in all four estimated models, the effect of financial stress index on industry stock returns is negative and statistically significant. In other words, financial stress in the studied markets, including the capital market, money market and foreign exchange market has a negative impact on the stock returns of industries and decrease stock returns of these industries. Also, the research findings show that in all estimated models, oil prices, exchange rates and interest rates have a positive effect on stock returns of the studied industries in Iran. In addition, the findings show that the estimated coefficients for the inflation rate variable are negative in all models and are statistically significant.

As a measurement of risk, Value-at-Risk has always been attractive to researchers in the field of risk management and capital markets. This importance has always led them to develop models to increase the accuracy of VaR estimation. GARCH models are used to estimate conditional variances in parametric approaches of calculating VaR. In the latest developments, Hansen presented the Realized GARCH model using intra-day data. Regarding the recent high fluctuations of the Tehran Stock Exchange Index, the use of Realized GARCH models to compute VaR can increase the accuracy of forecasting. In this paper the three different distributions, Normal, T, and GED, are combined with conventional GARCH models, and the new Realized GARCH model. Next, the VaR of the Tehran Stock Exchange index is forecasted using the rolling window sampling method. And finally, the accuracy of predicted VaR has been evaluated and compared using a two-step Backtest method. The outcome of this study indicates that using the new Realized GARCH model in forecasting VaR will tend to result in more accurate estimates, whether at the 5% or 1% level.

The main purpose of this study is to investigate the effects of economic growth rate shock on the selected industries value in the Tehran Stock Exchange; For this purpose, in the present study, the effects of economic growth rate shock were investigated by applying the time-varying parameter factor-augmented vector autoregressive model (TVP-FAVAR) and using quarterly data during the period (2011-2018).The results show that the response of different industries value to economic growth rate shock has been different; Also, this response has been different for each industry over time, which highlights the need for a TVP approach. Also, by entering the economic growth rate impulse (as much as one standard deviation), it was found that the stock market response to this impulse is associated with a time lag and the effects of this variable appear after several periods on the selected industries value. As the results of the research show, even in the years when we have had a negative economic growth rate, the response of some industries' value has been completely opposite to the variable direction of economic growth rate; One of the reasons for this subject is the low quality of economic growth rate in the country.

The purpose of this research is to assist the decision making of individual investors in Tehran Stock Exchange by identifying and ranking the factors affecting the individual investors' decision making. Given the various variables associated with investors decision making, first of all, the importance of 24 variables extracted from the research literature in terms of the severity of impact on individual investors' trading decision was surveyed by 95 broker managers of Tehran Stock Exchange. By applying an exploratory factor analytical method, the 8 variables of volume of stock trades, the behavior of Institutional investors, stock price volatility, stock return trend, earnings per share, the beta of stocks, dividend per share and realization of earnings per share were identified as the main factors influencing the investors 'decisions and then empirically tested the effect of these factors on the individual investors' decision using market trading data. For this purpose, 2268 stock trades were randomly selected from March 2018 until February 2020 and analyzed using logistic regression method. Based on the results of this test, variables of stock trading volume and behavior of institutional investors have significant positive effect on individual investors' purchase decisions and earnings per share predicted, stock beta and dividend per share have significant negative effect on individual investors' purchase decisions. Also, the effect of stock price volatility, stock return trend and earnings per share on individual investors' purchase decisions was not confirmed.