جستجوی مقالات مرتبط با کلیدواژه « TEPIX » در نشریات گروه « مالی »

The effect of economical variables at invest market is the most important subject in finance theory. Tehran stock exchange is emerge from special place. efficiency and Capital market development are dependent to be active this Entity in the country.Two important function of tehran stock exchange are gathering small saving and available liquidity in society and directing them to stock product process and services in the country. In this way identification effective factors at efficiency of securities return have significant effect in deeper analysis and taking more appropriate decision from investors. accordingly in this article we examined the effect of volatility currency rate of return as a macroeconomic variable at TEDPIX and TEPIX on Tehran stock exchange on between 1395-1398.In this article with the goal of identification the effect of volatility currency rate of return as a macroeconomic variable at TEDPIX and TEPIX on Tehran stock exchange, two principle theories test with Convergence relationship that as a result the Currency rate of return effect at TEDPIX and TEPIX on Tehran stock exchange with 4 days lag.

The main goal of this research is to studying an identifying the main influencing variables on the TEPIX (Tehran Stock Price Index) and modelling them using artificial neural networks and comparing results with technical analysis and Elliot waves. Independent variables used are dollar exchange rate, inflation, GDP, unemployment and liquidity and dependent variable is TEPIX. In this study, artificial neural networks (NLP and GMDH), technical analysis tools (Elliot waves and regression channel) are used that they show between independent variables in GMDH, unemployment is unneeded variable and have low influence, but others have high influence in the model. Further the study shows that technical analysis and artificial neural networks may have same results, but ANN have more power to predict the TEPIX.

Money and capital market are among financial institutions that have significant role in economy, and coordinating synergic relationship between them could cause economic growth. The Supreme Leader of the Islamic Republic of Iran, Ayatollah Sayed Ali Khamenei, introduced the concept of resistive economy and communicated its executive policies in 1389. Resistive economy is among those models which have other forms in conventional economy. Within this framework, economic policies must be coordinated by recognizing internal and external pressures and fluctuations, and benefiting from the direction and interconnection among the essential pillars of economy in order to control, reduce and remove the negative effects. In this research, by studying the theoretical concepts of capital and money market relationship in conventional economy and explaining resistive economy, we want to map the role of these two markets in the resistive economy model. Besides, based on annual Granger test results in the years 1370-1392, the one-way causality relationship of capital market with money market was confirmed. Also, the regression results confirmed Granger test results and approved the causality relationship of money market with capital market in the Iranian economy. We can conclude, then, that by changing policy making in every market, we could develop another market. In case there is volatility in one market, based on the explanation about the two market interrelationship and by changing policies in the other market, we could control fluctuations and make the Iranian economy resistant against both money and capital market fluctuations. Finally, we suggest some policies in order to reinforce macroeconomic variables, money market, capital market and interrelationship between the two.

Tehran Stock Exchange, as a symbol of capital market, is influenced by various factors, including economic and political variables. Terrorism incidents a primary political variable affecting on stock market, it is necessary to clarify in what way it puts influence on stock exchange. The main purpose of this study is to consider the effect of terrorism on the return of TSE price index (Tepix). Regarding the purpose of the study, terrorism and return of Tehran stock exchange index are considering independent and dependent variables, respectively; moreover, items like rate of exchange, world price of gold, and the price of Iran’s heavy oil, are controlled variables. Required data were collected in a weekly interval between 2002 and 2014. An EGARCH model is applied to examine the impact of terrorism on stock market. Results showed that terrorism had a significant negative effect on the return of TSE price index.

In investor's opinion, liquidity is a critical item for a market to be chosen by investors. This paper aim is a comparison among efficiency of 5 different GARCH models for modeling and liquidity risk measurement. Due to do that, a time series of data belong stock market for a period of 1381-1390 were gathered. Then liquidity risk was modeled by some GARCH models. Moreover, an Amihood criterion was calculated in accordance with TEPIX. The results show that M-Arch is the best model among other GARCH models.