جستجوی مقالات مرتبط با کلیدواژه « کارایی بازار » در نشریات گروه « مالی »

Exchange Traded Funds (ETFs) have so many features like low cost, tax efficiency, liquidity and stock like attributes which make it most attractive. Because of this, ETFs are the most popular type of investment destination. Intuitively, because of their ease and low cost of trading, ETFs may be appealing to individual (unsophisticated, uninformed) investors who are more likely to chase trends, raising a concern over the impact of their introduction on the overall market efficiency. The purpose of this article is to examine the strategy of feedback trading and investors’ behavior ETF in the capital market of Iran for the first time. For this purpose, the daily data of seven ETFs 2013/10/07-2023/03/20 and Santana-Wadvani model (1992) have been used. The results showed that despite the existence of a fully overlapping market for underlying asset transactions, these ETFs are traded below their net asset value on most trading days. The results of the estimation of the feedback trading model showed that there is no evidence of the existence of feedback trading in ETFs and traders do not pay attention to their past performance. The market of these ETFs is efficient, which can be attributed to the professional management of these ETFs

The Behavioral finance literature states that human beings in practice behave differently from what modern financial theories portray as rational human beings, so the assumption of rationality of investors and the belief in the efficiency of stock markets has been criticized. Accordingly, the present study examines the impact of investor behavioral biases on how to make decisions and market efficiency simultaneously, which has not been addressed so far. It also highlights the importance of understanding the process and the role of behavioral factors in investor decisions and market efficiency for future capital market policymakers and regulators. The present study is applied in terms of type of use and descriptive-correlational research. The target population of this study was real investors in Tehran Stock Exchange and Available purposive sampling method was used. Structural equation modeling were used to analyze the data and test the conceptual model of the research. The research findings show that biases of overconfidence, representation, availability and anchoring and adjustment have a significant effect on market efficiency. Findings also showed that overconfidence bias, anchoring and adjustment have a significant effect on investment decisions. Behavioral biases among investors are inevitable that these biases can affect investors' decisions and market efficiency.

The stock price reaction delay is one of the important and influential components on the inefficiency of the stock market in Iran. In this study, the role of the effective criteria on the stock price reaction delay is investigated using equation version 3 modeling. This study is a correlation-survey research in terms of method and is an applied research in terms of purpose. First, a sample consisted of 42 experts was selected and through interviews with them, the initial model (grounded theory) and data collection tools were designed. According to the opinion of experts and theoretical foundations, the researcher-made questionnaire was given to 200 people in the statistical population of the research and finally 112 questionnaires were received. Influential variables were classified into 8 main groups, including: macro factors, psychological factors, market failures, company-specific characteristics, quality of accounting information, corporate governance characteristics, market and stock characteristics and published news sources, and influential criteria were identified. The results indicated that except for the variable of characteristics other variables have significant and influential on the delay of the stock price reaction. Findings of the study confirm that due to the importance of the delayed reaction of stock prices in market efficiency, it is necessary to pay more attention to this issue and the factors affecting it.

While inefficiencies in the financial markets are the leading cause of capital misallocation, options market efficiency is a major area of interest within this field of study. Since arbitrage efforts to take advantage of arbitrage profit opportunities in the options market lead the market to efficiency, the current study seeks to explore arbitrage strategies that can be used in this regard.

In the literature, there are two strategies to do the options market efficiency tests. The first strategy is to compare the market price with the implied price derived from theoretical models such as the Black-Scholes model. The second strategy is no-arbitrage options pricing relations violation test based on the hypothesis that there is no arbitrage opportunity in the market (i.e., the selected approach in this research). The advantage of examining no-arbitrage options pricing relations is that they can provide a simple way of testing the efficiency of the options market without imposing restrictions on the preferences of investors or distributional assumptions on the return of the underlying asset. The description of variables measured in empirical studies changes over time and between the different countries and research conditions. The meta-analysis approach (based on studies published from 1978 to 2019) was used to identify arbitrage strategies and the amount of profit from each strategy. In addition, the analysis of variance and a one-sample t-test was used to rank and compare the strategies. In total, 54 empirical studies with the support of more than 3.7 million options transactions and 1,315 effect sizes (research sample) were meta-analyzed.

The results showed that in the whole sample, the options market is always efficient. This means that the cumulative effect size for the whole sample (empirical tests performed in different countries and different time periods) is significantly different from zero. In addition, in combined strategies (which include both buy and sell options), there is more arbitrage profit opportunity than in simple strategies. The reliability of the tests was evaluated by applying 26 experimental conditions.

In all cases, the superiority of combined strategies was confirmed. On the other hand, the reasons for the divergence of efficiency in the options market were discovered. First, combined strategies in which options are traded simultaneously have made the options market inefficient. Accordingly, it is argued that market efficiency is underestimated in cases where no-arbitrage relations are based on trading strategies including simultaneous trading of put and call. On the other hand, in such strategies, investors earn more arbitrage profit. It was pointed out that the most likely reason for this result is the complexity of these strategies, which requires the simultaneous efficiency of the call market, the put market, and the spot market. For example, in different countries, assuming transaction costs in the presence of dividends and etc., the research results remain robust.

The main purpose of this research is to investigate the effectiveness of Surveillance measures and provide a model for Updating of appropriate supervisory systems with market anomalies in Tehran Stock Exchange and Overseas Iran. This research is a descriptive survey that consists of two parts. The first part is the prioritization of market abnormalities, which the method of theoretical discussions collecting has been library, as well as the information necessary for the realization of the research objectives using distribution and collection a questionnaire was conducted among 22 supervisors of Tehran Stock Exchange. In the second part of the research, the effects of identified abnormalities in securities transactions on the efficiency of Tehran Stock Exchange at two levels of large and small companies been investigated. The results of the survey briefly state that in large companies the most violations are affected by price and transactions manipulation, while in small companies, often violations will be due to the inside trading-based transactions. It can also be concluded that the anomalies of trades on the stock exchange reduce market efficiency.

This study aimed to investigate the effects of information asymmetry and illiquidity related to cluster trading on market efficiency and examine the mediating roles of these two variables in the relationship between noise trading and market efficiency. To measure the information asymmetry, Adj PIN and illiquidity related to cluster trading obtained from PSOS models were used. Also, market return based on trade volume imbalances was utilized as the indicator of market efficiency. The sample include 146 companies, which were listed in Tehran Stock Exchange between 2014 and 2020. The results showed significant inverse effects of information asymmetry and illiquidity related to cluster trading and market return. However, the effect of illiquidity related to cluster trading on market return was stronger than that of information asymmetry. In addition, the findings showed that noise trading had direct and significant effects on information asymmetry and illiquidity related to cluster trading. Thus, the relationship between noisy trading and market return through information asymmetry and illiquidity relevant to cluster trading, as well as the mediating roles of these two variables, was confirmed.

The efficient market hypothesis (EMH) states that stock prices reflect all available information and price changes (or return) should be unpredictable. But the lead-lag effect is a phenomenon that provides the predictability of return in the stock market. Examining the lead-lag relationship between stocks, in addition to evaluating market efficiency, provides investors with useful trading strategies.

This study has investigated the lead-lag effect between stocks within 20 industries of the Tehran Stock Exchange (which cover 75% of the market capital) from 2015 to 2020 using the vector autoregression (VAR) model.

From 20 industries in our sample, 13 industries show the lead-lag effect. In 10 industries, the return of small stocks leads to the return of big stocks within the same industry. Whereas, in the other 3 industries, the return of big stocks leads to the return of small stocks within the same industry. In addition, a stronger lead-lag effect has been observed in the computer, transportation, and metal products industries (which are relatively small industries).

These observed lead-lag relationships (or predictable returns) between stocks intra-industry show a systemic inefficiency in the Tehran Stock Exchange market. Also, the results show that in some industries of the Tehran Stock Exchange, there are potentially profitable trading strategies.

The stochastic dominance theory has extensively employed in various financial fields because it is not necessary to assume a specific distribution of returns, such as normal distribution. In this research, one of its new applications has been used to identify arbitrage opportunities and consequently, to evaluate the efficiency of the market and also to analyse the investor preferences.

To this end, a new approach of estimating stochastic dominance, the quantile regression method is utilized to perform the stochastic dominance test on the daily returns of the Tehran Stock Exchange total index close values over a period of 19 years (from September 1999 to February 2019) that contains different bullish and bearish market conditions.

Data analysis suggests that no evidence has been found to reject the dominance of cumulative distribution of returns between the two periods. Thus, the non-rejection of the statistical hypothesis of the first-order stochastic dominance indicates the possibility of obtaining arbitrage profit and on the other hand, the second-order stochastic dominance test rejects the market efficiency hypothesis. The existence of a third-order stochastic dominance can also be seen as a sign of the herd behavior of investors during the upward market conditions.

The results indicate the existence of arbitrage opportunities in the Tehran Stock Exchange between bullish and bearish market conditions. Other results of this study, do not confirm the Tehran Stock Exchange efficiency hypothesis, which is consistent with most previous research about the market efficiency of the Tehran Stock Exchange. These findings also imply that risk-averse investors tend to invest in market growth cycles and suggest the existence of herd behavior during these periods.

This study is the first to examine the issue of time-varying long-term memory in the Tehran Stock Exchange, using a new efficiency index through a rolling window technique. To test the robustness of the results, this estimation technique is repeated with time windows with 5-day shifts. Furthermore, the wild bootstrap versions of the Automatic Portmanteau test (AQ) and the Automatic Variance Ratio test (AVR) have been performed with 14- and 5-day shifts.

The sample employed in this paper consists of daily observations on the Tehran Stock Exchange Index (TEPIX), covering the period from December 2008 to October 2019, making up a total of 2621 observations. The TEPIX series are collected from the Rahavard Novin software. The hypotheses are analyzed by Excel, EViews, R, and MATLAB software.

The findings show that in the Tehran Stock Exchange the estimated values of the generalized Hurst exponents (GHE) for all windows with 14-day shifts are over the efficiency indicator 0/5. Therefore, a kind of long-term memory exists on the Tehran Stock Exchange. Moreover, a high degree of inefficiency ratio is observed in the market. Furthermore, the Tehran Stock Exchange does not become more efficient over time. Finally, the results from the time windows with 5-day shifts as well as wild bootstrap versions of the AQ and AVR tests with 14- and 5-day shifts indicate that the previously-mentioned empirical results are robust. The findings from the study provide important implications for investors, portfolio managers, and policy-makers.

This study is an attempt to introduce a suitable model to evaluate the efficiency of capital market in Iran. Optimal allocation of resources in micro and macro investments is essential to the capital market. The main task of the capital market is to streamline capital and allocate resources effectively. Investigating what factor or factors influence the market price of a share in market and whether there is a systematic pattern of pricing a share is In terms of market efficiency .In this regard, the daily data of the Tehran Stock Exchange Index and Total Price Index during 2008-2018 have been used. ARCH, GARCH and Kalman filters were used to perform the test. The results of the tests show that there is no weak form of market efficiency in the Tehran Stock Exchange. And this inefficiency has not changed significantly since the first period. In other words, it is possible to predict returns in the Tehran stock market.

The Efficient Market Hypothesis is one of the cornerstones of modern financial economics. It’s also an important topic for investors in terms of making extra profit. In this way, the main objective of this study is to test the weak form of market efficiency in Iran foreign exchange and gold markets using monthly data during 1980M04-2018M09 and 1985M04-2018M09 respectively for foreign exchange market and gold market.

Due to inability of linear models in capturing structural breaks and nonlinearities in financial time series, in this paper, for testing the efficiency in foreign exchange and gold markets the Markov Switching Unit Root method has been used.

The result of the linear unit root test show that both the foreign exchange and gold markets are efficient; But the results of the Markov Switching unit root test is slightly different and show that market efficiency has a time varying nature. Results also show that the main source of market inefficiency is the government’s interference in the market.

Results of this research show that the linear unit root tests which have been used so far in literature for testing the weak form of efficiency in asset markets suffer from the lack of power for testing EMH. The reason is straightforward, since most financial time series are nonlinear in nature, therefore modelling such time series with linear methods inevitably will result in biased results.

Transactions based on secret information has always been one of the most important issues in stock exchangesis. Traders with inside information on two categories of traders first hand (people who have a legal relationship with the Company publishers) and traders second-hand (traders without having the actual directly with publishers who through intermediaries as scheduled or random data secret, have ) are divided and that their decision based on inside information can be bought and sold.In this study, the definition of inside information, a variety of trading with inside information and approaches and theories with respect to insider trading, the topic losses from trading with inside information discussed and that losses from trading with inside information how to compensate .In the next section the analytical method to the analysis and implementation of this type of transactions with principles and standards of jurisprudence including a ban on the harm and losses, to ban cheating, deception, usurpation of property, prohibition as Rkban paid ban the harm and losses, the prohibition of misrepresentation, unlawful seizure of property and breach of trust, including those for legal ban on trading by insiders can be mentioned.

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.

One of the most important topics in financial markets in recent decades is the market efficiency. The efficient market hypothesis states that all available information is fully and immediately reflected in asset prices, therefore it is not possible to achieve systematic profits by price forecasting. The main purpose of this study is to evaluate the weak form of efficient market hypothesis for gold coin futures market in two settings of low volatility and high volatility of returns.
In order to test the weak form market efficiency in prices of gold coin futures market, Markov-switching GARCH and Markov-switching autoregression methods have been applied to the period from 2008 to 2017. The results of the FIGARCH and FARMA models indicate the fact that the series have long term memories of risk and average returns. The results of the estimation for the Markov-switching GARCH model (MS-E-GARCH) and the Markov-switching autoregression (MS-AR) imply that both risk and average return of gold coin futures market is predictable, and as a result the gold coin futures market does not have the weak form of efficiency in both low and high volatility settings and systematic profits could be achieved in this mark

In an efficient market, prices should reflect all information available to investors. In reality, several frictions can prevent prices from incorporating the information immediately after disclosure. This can cause delays in the incorporation of information into prices and increase the premium investors require for investing in stocks. Using an empirical measure of price delays, we examine the effect of these frictions and the resulting price delays on the cross-section of expected returns on Tehran Stock Exchange. The delay measure is defined as a function of contemporaneous and lagged systematic information that is impounded into prices. If frictions prevent information from impacting prices contemporaneously, lagged information should have explanatory power for stock returns. We find that stocks with higher price delays tend to have a premium that is not explained by known risk factors of market risk, size, value, momentum and liquidity. Our results are robust to a number of empirical specifications, namely the zero-investment portfolio returns and Fama-Macbeth regressions

Certainly, information is one of the most important factors in financial markets and stocks trading. Information symmetry is among the basic principles of an efficient market which is milestone in price clearance mechanism. Also, information risk is a considerable factor for investors in the stock markets. Existence of private information can cause increasing of investment risk. Information risk is a very important factor in trading of stocks that have low liquidityand low transaction numbers. Therefore, ignoring private information and information risk in this stocks’ trading, can cause irreparable losses.
This work aims to investigate information asymmetry and information risk in Tehran Stock Exchange via using information risk models. Volume-Synchronized Probability of Informed Trading market microstructure model (VPIN) is one of the newest methods of calculating information risk in financial and stock markets. Intraday information of the active companies is used to compute information asymmetry for the stocks of Tehran Stock Exchange.

Mutual fund persistence is well documented in the finance literature, but not well explained. The purpose of this paper is to examine the performance persistence of a large sample ofmutual funds over time. Specifically do mutual fund managers show positive (negative) performanceyear after year?
Accordingly in light of random walk, strong form of efficiency can be tested through the study of the persistence in mutual funds performance. In this paper, the performance consistency for 62 mutual funds, from April 2008 to March 2014, is examined. Our findings indicate the strong form of efficiency from evidence Tehran Stock Exchange.

The goal of this research is to empirical analyzing fractal dimensions on cash return and price indices of listed companies of Tehran Stock Exchange. To have access to this goal, cash return and price indices of Tehran Stock Exchange were studied. Statistical sample of research includes cash return and price indices during period 1382 to 1391. Using R/S analysis and Hurst exponent, this research surveys the cash return and price time series being stochastic. To study the stochastic time series and differentiating from time series are not stochastic, R/S analysis is used as an efficient nonlinear method. Distribution type disrelation is the most important advantage of R/S analysis. Results of research show that, cash return and price indices time series are not stochastic and have a long-memory.

Based on momentum strategies (momentum), stock return has a particular behavior at various time intervals, and in the time horizon considered can to take the excess returns earn, by using an appropriate investment strategy, this view is contrary to the efficient market hypothesis.
This study examines the relationship between volume and its effects on the profitability of the momentum strategy in Tehran’s Stock market. The hypothesis is that volume can affect the momentum strategy as well as the decisions of the investors in Tehran’s stock market. The statistical society of the research consists of the total company active in Tehran stock exchange in the fiscal years 2008 to 2012.Our findings show that in most cases, momentum investing strategies, test portfolio in periods of three, six, nine and twelve months has had the best performance (win) in the majority of the maintenance periods (period three, six, nine and twelve months)to be continue to its better performance than a portfolio that in periods of three, six, nine and twelve months have been the worst performance (losers). The results also show that the volume of transactions (independent variable) and return (dependent variable) there is no relationship. While the excess market return (the independent variable) and the excess return on the winner portfolio (the dependent variable), there is a significant relationship.

Overreaction and underreaction phenomena in financial markets reflect it’s inefficiently. Different methods are suggested for evaluation of overreaction and under reaction in researches. One of these methods is measurement of the securities price adjustment speed. Speed of price adjustment securities is time duration that information absorbed in stock prices and reach stock price to their intrinsic values. At this article, is classified several researches to three approaches and described different models and then presented their results. Also the determinants for delayed Stock price adjustment is described and finally is explored Iran capital market specifications and propose some practical suggestions for increasing the stocks adjustment speed improving capital market efficiently.