جستجوی مقالات مرتبط با کلیدواژه "بازار کارا" در نشریات گروه "مالی"

The importance of predicting and knowing the future in order to plan and formulate economic strategies is not hidden from anyone. The accuracy of forecasts is one of the most important factors in choosing the type of forecasting method. The stock price index is one of the effective variables in economic systems that these very complex time series are usually assumed to be random and as a result their changes are assumed to be unpredictable. Such time series variables have the property that the shock to the variable takes a long time to disappear due to the possibility of long-term memory. The aim of the present study was to test the fractal market hypothesis with the Markov regime change model with a possible combination and convergence in the Tehran Stock Exchange. In this paper, the amount of long-term memory and stability of financial time series resulting from the total stock market index for the period 1388-1386 were examined. For this purpose, first the existence of long-term memory was examined, then the fractal nature of the market was examined using the Harst view index. The results indicate the existence of long-term memory in this variable. In this case, with one differentiation, it becomes more differentiated, so the stock price index series in Iran has long-term memory and the effects of each shock on this variable due to its long-term memory remain for long periods. It stays. The results also showed that the overall stock market index is fractal.

This study was carried out aimed to test the efficiency of the commodity market through an econometric regression model called the "Cost of carry model". Market efficiency is measured by examining the relationship between the commodity's futures price and the market value of the underlying asset and through the time-series of the price behavior in the market. This proposed model for market efficiency is superior to other alternative models (such as Variance-ratio test and Jarque-Bera Test), which only pays attention to the price behavior of the commodity market. Accordingly, the data of cumin seeds, saffron and gold coins transactions have been collected from the Iran Commodity Exchange in a 360-day period, and have been tested using the cost-of- carry model in practice. According to the results, the market is unable to detect the price of a futures contract (FP) and the lack of convergence of the market value of the underlying asset and the price of a futures contract indicates the rejection of market efficiency.

Bubbles in asset markets result in diversion of savings allocations. For this reason, in macro level, the diversion of the savings disrupts investment efficiency and whole economy. Many studies in the field of behavioral finance have been undertaken to investigate this phenomenon. Recent research has shown that traditional models of unit root in the detection of explosive behaviors, especially at long ranges, are weak. In this paper, the generalized models, right-tail Dickey Fuller (RADF), and more powerful models of generalized Dickey Fuller (SUP ADF and GSADF) are used. These models, in addition to their stronger identification of explosive behaviors at long intervals, can also specify the time period of the bubbles. In this paper, the time period from 1980 to 2003 for the stock market and real state was tested. The results of this research, which is based on the advanced tests, show that the stock market and the reals state market experienced explosive bubbles behaviors in the period examined; it was 24 periods for the stock market and 12 periods for the housing market.

This paper aims to examine the hypothesis of asymmetric speed of stock price adjustment to new information in Tehran Stock Exchange (TSE). The econometric model is based on a partial price adjustment model which allows for asymmetric adjustment. The research sample consists of daily stock index data for eight sectors of TSE over the period 2008 to 2011. The results show that stock prices adjust asymmetrically to new information. Specifically, bad news are incorporated faster to current prices than good news. However, positive returns are three times more persistent than negative returns. An explanation for these results is that investors think that cost of failing to adjust prices to bad news is greater than good news. The results are consistent with the prospect theory of Kahneman and Tversky about risk aversion of investors and support it in TSE. Generally speaking, the results reject hypothesis of efficient market for TSE.

This paper has done for research about behavioral finance context. In this paper we try to prove the existence of Saturday، Monday and weekend yield effect and the existence of Saturday، Monday and weekend transaction mass effect for 6 years (2007-2012). In this paper we use Student''s t-distribution. Goal of this research is recognition of investors’ behavior and earn more profit in Tehran exchange market. Also، this research characterizes somewhat market efficiency. Conclusion show that there are strong Sunday effect and semi-strong Saturday effect into other days and yield of Saturday is lower than other days. Also، there is strong Wednesday effect with positive yield into other days. About transaction mass، there is Saturday and Wednesday effect how Wednesday transactions mean is higher than Saturday transactions mean. These effects show that investors are hopeful in Wednesday to earn more yields on the next week and buy more stock، but in Saturday they are hopeless and began to sell their stock

Financial Scientists have always been eager to distinguish between whether the price series could be random walk (unit root) or mean reversion processes. Random walk means that accruing shocks to the stock price have permanent impacts and prices dont revert to their previous trend path. In efficient market, the stock return couldnt be predicted using previous price variation. However, efficient market hypothesis is under question because the researchers have provided evidences that reveal some anomalies in stock markets. Mean reversion stock price is one of these anomalies. The purpose of this research is the study of mean reversion in the period 1380-1389. In line with this research, using unit root test (Dickey Fuller generalized), the phenomenon of mean reversion in the total stock price index, stock price and cash returns index, and the index's top fifty companies were examined. The results of the study indicate that continuous changes in the total stock price index and the index of the top fifty companies follow a random walk process or more words that are not eligible for mean reversion. But the price and cash returns index index the result shows that only 1% error level was confirmed that the mean reversion. Error levels of 5% and 10% of the rest of the process did not follow a random walk and mean reversion confirmed. In general, the performance of the Tehran Stock Exchange Index and fifty top companies indicate But the price and returns index results in poor performance suggests a lack of cash.

The subject of financial markets efficiency is an issue which has been widely considered by economists and financial researchers since half a century ago. By studying the efficient market theory, the new financial management has confirmed the existence of calendar anomalies such as daily transaction effect, special monthly effect, holiday effect, etc as well as non calendar anomalies like initial public offering effect, neglected firm stock effect, political cycle effect, etc and acknowledges them as anomalies of the efficient market theory. In fact, the recognition and existence or non existence tests of these anomalies are new subjects within investment area in recent years and several studies have been carried out in this regard by using different experiments, specially time series and regression model with dummy variables, which are much observable in developed as well as emerging markets. By scrutinizing calendar and non calendar effects as well as full description of the efficient market theory anomalies, a sample of these effects known as “The effect of special months on Tehran Stock Exchange (TSE) is studied and results of the study are used to test the efficiency of the TSE. Also, the effect of lunar months is considered in order to increase quality and quantity of the research.