فصلنامه بورس اوراق بهادار
پیاپی 58 (تابستان 1401)

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.

Increase in number and variety of Mutual fund in the Iranian capital market has caused that these funds as one of the most important financial instruments, will be interest by the many investors and capital market players. funds statutes are one of the most important tools that used to estimate the rate of compliance of a fund with the investment needs of individuals so that investors can easily target their fund according to their investment needs. Therefore, by providing a new and innovative approach, the research seeks to detect that is there compatibility between the style of a Mutual fund with the actual composition of its assets or not?. for this reason, among the different styles of Equity Funds / Growth Funds and Balanced Funds active in the Iranian capital market, six of their most well-known ones were selected and then examined them according to the characteristics and composition of the portfolio. In the following, in order to estimate the scale of price changes of the shares in the portfolios of funds, and forecast their future behavior were used the time series analysis through the R program. The results showed that in funds without sponsor (Income style), there are maximum compatibility between the declared style of mutual funds and composition of fund portfolios. in contrast, composition of funds portfolios with sponsor have been most distence with declared style of mutual fund.

Floating rate issuance is one of the financial innovations that has attracted the attention of the ‎public and private sectors in recent decades. Basically, financiers are looking for access to less ‎expensive financial resources, and investors are also looking for high-yield, low-risk investment ‎opportunities. Accordingly, the design of this tool should be in a way to bring the utility of both ‎parties to a satisfactory point, which is provided according to the conditions, expectations and ‎economic policies. When the government enters as an economic policy maker, this issue takes on ‎other dimensions, so the issue of economic management of the country, management of ‎government debts and liabilities, the amount of money and liquidity, formation of interest rates in ‎the economy and its relationship with budget deficits, management of economic cycles and its ‎determination is of great importance that should be considered in the design of this tool. Treasury ‎inflation protected securities are a type of floating-rate securities that are often issued by ‎governments, so they need to be studied more carefully in order to be more localized. The present ‎article uses a descriptive-analytical method to examine the advantages and disadvantages of ‎issuing securities for the government. The results of this study show that the economic effects of ‎Treasury Inflation Protected Securities are very different from floating-rate securities, and given ‎the current economic situation of the country with high and variable inflation rates, treasury ‎inflation protected securities are recommended.‎

Investigating the Impact of financial leverage and employee compensation from the perspective of human capital of Listed Companies in Tehran Stock ExchangeThis study investigates the relationship between corporate financial leverage and employee compensation using annual reports of listed companies in Tehran Stock Exchange during the period 2012-2019. Multivariate linear regression based on panel data was used to test the research hypotheses. Has been. In this study, regression analysis has been used to investigate the relationship between financial leverage and the salary and benefits of CEOs of companies as important employees and the salaries and benefits of all employees.The results of the research hypotheses show that companies with different levels of leverage typically pay employees because of their human capital risk, while firms with financial problems also consider leverage as a bargaining chip that leads to a reduction in employee pay. Compared to companies without financial problemsof Listed Companies in Tehran Stock Exchange

Audit committees are considered as one of the effective tools to improve financial reporting and greater transparency in information and financial reporting of companies. An effective audit committee is considered as a determining factor in the governing pillars of the firm. The best use of it can be considered for the company. For this purpose, in this study, a model for the effectiveness of audit committees has been presented. The foundation method has been used to achieve the research goal. To this end, we conducted semi-open interviews with capital market experts and financial experts, and went so far as to saturate the number of interviews. In this study, 13 people saturated the level of interviews.According to the interview process and the selection of the community of experts and then the analysis of the interview through open and axial and selective coding, we finally have access to a model with specific criteria. The results showed that the audit committee is influenced by various causal factors, including the conditions of the audit committee, the rules governing the audit committee and cultural characteristics, which if used properly, we will see more effective audit committees in society.

Investor behavior and factors affecting investment decisions are important issues that researchers have been seeking to provide a comprehensive model for interpreting in recent years. In this regard, the present study with the behavioral finance approach has investigated the effect of share price path on investment satisfaction and future behavior of investors. In this study, a series of experiments examining share price paths was analyzed. The results showed that the share price path had an impact on investment satisfaction. Regardless of whether or not the final return is positive or negative, the downward-upward price path doubles the upward-downward path of investment satisfaction. The results also showed that expected returns and risk will also change significantly under the influence of different price opportunities with identical returns. On the other hand, the indirect path increases the share of tendency to hold stocks, which is indicative of the bias of disposition effect on the investors concerned.

Anomalies in financial markets, which is produced and exacerbated by sensitive and imitative behavior and reduces market efficiency, have always been the focus of researchers. In this research, a criterion for measuring the mass turnover of institutional investors is introduced, which, while considering the fundamental factors, also controls the turnover between institutional investors of same type and non-same type. In this study, in order to achieve the above objectives, modeling of institutional investor transactions and deriving mass aggregation criteria from regression models, taking into account the effects of economic variables affecting stock prices, has been used to calculate the aggregate measure. Then, the effects of bulk on momentary anomalies, stock turnover ratio, price volatility, P/E, accrual and profitability to stock return ratio were studied. The results indicate that herding has the greatest effect on momentums. The two-month momentum has the highest coefficient with a negative sign. This means that with the increase (decrease) in bulk density, the two-month momentum decreases (increases), in other words, the increase (decrease) in bulk density leads to a decrease in the abnormal efficiency caused by the momentum. Among the other anomalies examined, the six-month price fluctuation has the greatest impact on mass production. Also, by examining the relationship between bulk density and anomaly, it was determined that this relationship is two-way and also after entering the bulk factor in the Fama-French models, the explanatory power of the model has improved.

Accurately predicting of earning management to detect and identify manipulation of financial statements has always been one of the most fundamental Challenges ahead of financial reports users. Applying the Beneish model can be one of the most appropriate models for modeling in the field of earning management prediction. Beneish model 1999 has been developed for this purpose by emphasis on the variables of corporate governance system including audit committee structure, legal inspector and independent auditor, board of director's structure and corporate ownership structure requirements. The data of 81 companies listed on TSE during 2012-2018 has been analyzed by the hybrid method of multi-layer perceptron MLP neural network and metahuristic algorithms of biogeography based optimization BBO, Imperialist Competitive Algorithm ICA and water cycle algorithm WCA. The accuracy of the model by hybirid mothodes of MLP-BBO, MLP-ICA and MLP-WCA has been increased from 59.08 ، 59.96 and 59.79 percentages to 92.06 ، 89.24 and 79.72 percentage respectively. The results indicate the accuracy improvment of the proposed model in detecting earning-manipulator companies and also the higher efficiency of the hybrid method of MLP-WCA compared to the other methods in optimization of multilayer perceptron neural network.

The development of analytical techniques in the investment portfolio in accordance with market conditions and economic climate can increase the dynamism of investment development and achieve greater returns against risk control. Forecasting and optimization techniques help financial decision makers to place the best stocks in their portfolio based on market information and achieve greater returns by optimizing it. The purpose of this research is predicting the effectiveness of the difference between Sortino and Markowitz portfolios is based on the hybrid analysis systems algorithm. Accordingly, 102 companies of Tehran Stock Exchange were examined in the 2014-2018 period. In this study, by separating value stocks and growth stocks, random portfolios were selected to test the research hypotheses and for analysis, two algorithms Support Vector Machines (SVM) and an Adaptive Neuro-Fuzzy Inference System (ANFIS) were used to select the most desirable portfolio. The results showed that Sotino (X) portfolio based on meta-heuristic algorithm (support vector machine algorithm) is significantly different from Markowitz (Y) portfolio, so that decision makers in Sortino portfolio seek to optimize their stock portfolio through long-term growth stocks. It was also found that the accuracy of the adaptive neural fuzzy inference analysis (ANFIS) system is higher than the accuracy of the support vector machine analysis (SVM) system to select the most effective portfolio from Sotino and Markowitz portfolio, because it has two learning mechanisms and Neural network optimization and linguistic expression of fuzzy inference help managers to make better estimates of uncertainty and uncertainty.

The aim of this study is to investigate the calendar effect of the holy month of Ramadan on market risk indicators in Pharmaceutical companies listed on Tehran Stock Exchange. To achieve the purpose of the research, the data of 17 Companies in the period of 2010-2019 were analyzed. The present study is considered as applied in terms of purpose and correlation in terms of descriptive method. Multivariate regression model and combined data were used to investigate the relationship between variables. The findings of this study showed that there is a positive and significant relationship between the effect of the holy month of Ramadan and the coefficient of variable risk. The results also showed that there is no significant relationship between the holy month of Ramadan and the semi-variance risk index, liquidity risk and non-systematic risk. According to the results of the study, it can be said that investors believing in Islam who fast this month, by reducing their investment operations, participate less in trading transactions, so their investment risk is reduced. In other words, during Ramadan, the number of transactions in the financial markets decreases since Muslims’ economic activities and speculation slow down. The present study tries to fill the gap on the relationship between the calendar effect of the holy month of Ramadan on the risks in the Iranian stock market by using and combining the existing literature and the new research method.

Combining social capital with knowledge and human capital is considered as one of the most important strategies of companies in the competitive market, which has consolidated a theory called corporate integrity. The purpose of this research is developing a corporate integrity model to capital market prosperity by An Analysis Based on Panel and Focus Group Evaluation., it is in the category of mix method research (qualitative/quantitative). In this study, three-time analysis and meta-synthesis of qualitative analysis Delphi in representation system based on interaction with focus groups were used in the quantitative section. The results indicate the existence of 12 approved researches, according to which there are two categories of Inside Corporate Integrity and Outside Corporate Integrity based on 3 main components of behavioral integration; Structural integrity and social and cultural integrity were identified with 38 propositional themes., it was determined that a total of 19 propositional themes entered the analysis phase of the focus group based on systemic representation. it was found that in the category of Inside Corporate Integrity, strengthening the independence of the board based on specialization of corporate governance composition has consequences such as strengthening financial reporting structures in timely reflection of news and information. It was also found that in the category of Outside Corporate Integrity, promoting the values of corporate behavior for ethical accountability to stakeholders has consequences such as reducing the cultural component of the distance / gap of expectations between stakeholders and the company.

The decisions of investors in the stock market are influenced by various factors. One of the causes of behavior that causes investors to not react properly to the published information is the phenomenon of mental anchorage.Due to the fact that there is no correct information about the phenomenon of anchoring in the Iranian stock market and its relationship with accounting information. This study aims at investigating the effect of subjective anchoring on investors' decisions in Tehran Stock Exchange.. The statistical population of this research consisted of companies listed at Tehran Stock Exchange in a period from 2010 to 2019. And the statistical sample includes 128 companies. The hypotheses of this research were tested by data panel method. According to the results of this research, investors follow subjective anchoring phenomenon during decision making based on the expected profit of management by making a comparison between this profit and the average predicted profit of the industry, while real investors are further affected by subjective anchoring phenomenon compared to institutional investors. In addition, the investors are not affected by subjective anchoring phenomenon by making a comparison between the expected profit of management and the average profit for the last three years of the company. In general, it can be said that investors in the Tehran Stock Exchange are affected by the phenomenon of mental anchor.

This study aims to design a digital marketing model in the field of capital markets using a hybrid approach. The present research is an applied research in terms of type of method, and in terms of data collection method is a mixed research method. The statistical population in the qualitative section includes 17 experts and in the quantitative section includes capital market managers, especially the CEOs of brokerage companies and their deputies and senior managers, from which a sample of 580 people has been selected. The main tools for data collection in the field section include a semi-structured interview (in the qualitative section) and a researcher-made questionnaire of 38 items based on a five-point Likert scale (in the quantitative section). The validity of the questionnaire was confirmed using the content validity method. To evaluate the reliability of the questionnaire, Cronbach's alpha coefficient was calculated. Cronbach's alpha coefficient was more than 0.7. To test the hypotheses, the partial least squares technique and PLS software were used. Based on the results of qualitative analysis, three categories of comprehensive categories including customer orientation, branding and digital marketing were identified as the main components of digital marketing in the capital market. After identifying the components involved in digital marketing, the relationship between the organizing categories was evaluated using the partial least squares technique. The results showed that digital roadmap has a significant effect on customer knowledge management and social media marketing; Social media marketing has a significant effect on customer engagement.

The study examines the effect of a number of happy and sad Islamic Occasions on the gold price index and gold futures market trading volume in a daily time series from 2013 to 2017 by using linear regression analysis in two steps; with the entering dummy variables of holy-days and then adding global gold price and exchange rate variables. Research findings show that, after controlling the effect of the global gold price and the exchange rate, a number of happy and sad Islamic Occasions show a significant relationship between the gold price index and futures market trading volume, but cannot attribute this directional behavior as a general rule to a total of Islamic Occasions. In other words, there is no unusual trend in cultural events on the price of gold and the futures market trading volume, and the thinking of calendar anomalies according to Islamic Occasions content does not endorse.