فصلنامه بورس اوراق بهادار
پیاپی 60 (زمستان 1401)

This study aims to investigate the weekend effect on the trading speeds higher than usual on traders' cumulative abnormal returns around seasonal earnings announcements. The sample of the study consists of 161 companies listed in Tehran Stock Exchange, covering a period of five years from the beginning of 2013 to the end of 2016. The results of this study show that in the time period of one month before and after the quarterly earnings announcements, trading speeds higher than usual of traders on Tuesday and Wednesday in the first quarter and in the third quarter of the year are higher than in the second quarter. Thus, it can be said that as the end of the fiscal year approaches and the speed of transactions increases, information asymmetry increases and leads to abnormal returns. existence of high trading speed of stocks leads to development of the theoretical framework of information asymmetry

Cash flow forecasting is an important component of economic decision-making, especially in the area of investment and validation.The purpose of this study is to investigate the relationship between the components of accruals and future cash flows of listed companies in Tehran Stock Exchange. And seeks to answer the question of Does the categorisation of accruals into working capital accruals, non-current operating accruals, financing accruals components and components of operating cash flows enhance the ability of total accruals – and thus of earnings – to explain future CFO? For this purpose, the data of 137 companies listed in the Tehran Stock Exchange during the period of 2010-2017 were investigated.Empirical evidence suggests that the components of working capital accruals (current operating assets and liabilities) and the component of accruals assets of non-current operating and financing play an important role in explaining future cash flows. In contrast, the liability component of an non-current operating and financial item does not have the ability to predict future cash flows. in this study, it was noticed that accruals of assets compared with debt accrual and variables of operating cash flows compared with accrual components were more predictive for future cash flows.

Index tracking that is known as one of the most attractive passive management methods of investing seeks to form portfolios in such a way that replicate the performance of market index as closely as possible. In this study, the application of a binary optimization model in time series clustering to form an index tracker portfolio is investigated. For the clustering process, various time series similarity measures including Capula-based correlation coefficients and dynamic distance based approaches (DTW and EDR) have been used. Out-of-sample test on market ratios and tracking error of portfolios based on 50 More Active Company index of Tehran Stock Exchange in the period from beginning of 1394 till the end of spring 1397 indicates that portfolios have been successful in tracking index and average tracking error of portfolios did not differ significantly. Also, pairwise comparisons test on portfolio tracking error indicates that portfolios tracking error does not differ significantly.

Trust is an important element of the banking industry, the relationship between the customer and the bank is a two-way exchange, both parties may trust each other or choose opportunistic behavior. Therefore, we are faced with a strategic game. The purpose of this article is to analyze the opportunistic and trusting behaviors between customers and banks. In this paper, a structural equation model based on the logic of behavioral economics games is presented to analyze the unique effects of trust and opportunism between legal clients and their banks. The results show that trust and opportunism affect the perceived risk by the customer. Mutual trust between the customer and the bank greatly reduces the level of risk perceived by the customer. In addition, opportunity opportunism jeopardizes the relationship and creates a high level of perceived risk. The results also show that assuming other conditions remain constant, if the bank's trust in the customer decreases by one percent, the perceived risk will increase by 28 percent, but when the customer trust in the bank decreases by one percent, the perceived risk will increase by 51 percent. The above results are consistent with the principles of behavioral economics. These results emphasize the importance of trust as a tool for creating and maintaining stability in the financial system. The findings also emphasize the importance of network trust and the role of relationship marketing in the banking industry.

Because of the sanctions imposed on Iran and the reduction of foreign exchange earnings, the capital market has undergone significant changes. This study tries to provide the transition mechanism of foreign exchange crisis on the stock market and compare with other emerging countries. In order to obtain the results, using the monthly data of the period of 2009:01–2020:03 and using the nonlinear Markov switching approach. For this purpose, among the various modes of Markov switching model, MSIAH (2) –VAR (2) has been selected. The empirical findings of the study show that only in a regime with high fluctuations, the increase in the exchange rate has increased the stock index while the stock index has no impact on the exchange rate. In addition, the results indicate that the sustainability of the stock index in the regime with the low fluctuations (first regime) was more than that of the regime with the high fluctuations (second regime).

The present study is about the effect of financial risk Impulses (based on Enterprise Risk Management-ERM) and dividend policy on the efficiency of capital allocation by PVAR method. The implementation of this research is in terms of the need to move from the traditional style of risk management to the new style (ERM); In order to manage financial risks in the form of a portfolio, the need to improve the quality of capital allocation and exploit the functions of dividend policy is important.The research method is analytical-descriptive.Data analysis of114 companies during2009-2017 using PVAR method, which is a combination of self-explanatory vector and panel data, was performed with Stata15 software.Efficiency models of capital allocation were estimated based on two indicators: "investment inefficiency - the first model" and "investment elasticity to value-added market - the second model". According to the (IRF), the "reaction intensity" and "damping period" of the individual impulse effect of the variables in the second model are more intense and earlier than the first model and about 4 periods.According (Fevd), the most changes in both measures of capital allocation efficiency are due to these criteria and only in the first model, the share of financial risk explanation at the end of the period reaches10% to16% and the share of dividend policy to19%.As a result, in the process of capital allocation and financial risk management, firms should focus on the autoregressive process of capital allocation efficiency indicators and financial risks in the first place and in the short run.

The purpose of this study is to investigate the effect of uncertainty in financial markets on real macroeconomic variables with emphasis on the overlapping generation model. In this regard, a new Keynesian Stochastic Dynamic General Equilibrium (DSGE) model involving households, firms, the banking sector and the government has been designed to examine the impact of financial market uncertainty on the real sectors of Iran's macroeconomy. Therefore, in the following, the trend of time series of stock market variables and macroeconomics in Iran during the period 1390 to 1399 and also the correlation and causal relationships between them have been studied. The results show that the more the countries's capital market has a share in the economy, the higher the real per capita income and the lower the inflation rates, and therefore can be due to the optimal allocation of resources and long-term financing of investment. They expected better performance from the economy. Also, the significance of the effect of disruptive traders on the increase of volatility and turbulence is confirmed and the intensity of the impact is considerable; However, due to structural problems in the Iranian economy, the effect of disruptive traders and the behavior of brokers on creating uncertainty in financial markets is not significant compared to other effects and should be addressed in other variables such as economic problems and political disputes.

To assess the financial market risks, the correlations between the prices of the individual stocks are of crucial importance. They change significantly in time due to trader's market expectation changes and the relation between business units' changes .This means the volatility of financial time series is non-stationary and fluctuate quickly. Non-stationary can lead many challenges for estimating the covariance estimation, which is main parameter in risk assessing. In addition, the impact of large event shows that we cannot easily assume normal distribution for financial time series especially when we observe large event frequently in the case of crises. In fact, non-stationary leads heavy tails distribution and this can affect the quantities we wish to measure. In this regard, we review the changes of covariance matrices of returns related to companies listed on the Tehran Stock Exchange during the period of 2011-2019 and obtain the multivariate distribution of returns, in terms of taking into account non-stationary and using the method of random matrices. The results show that the theoretical distribution obtained from the random matrix method with two approaches, heterogeneous and homogeneous covariance matrix, can well describe the experimental distribution of returns of Tehran Stock Exchange companies.

The Halo effect phenomenon causes the investor to be impressed by a desirable feature of the stock which results in its generalization to other features; This has led to erroneous citations that can potentially lead to incorrect stock market pricing, stock price fluctuations and financial market inefficiencies. Therefore, the present study aims to investigate the role of managerial forecasts in the occurrence of the halo effect phenomenon in the Middle East capital market. In this regard, this study has used the capital market information of 12 Middle Eastern countries for the period 2016-2020 from data panel models to investigate the existence of this phenomenon. The findings of this study show that managerial forecasts have no role in the occurrence of the halo effect phenomenon in the Middle East capital market. In other words, investors in the Middle East capital market do not use management forecasts to follow the pattern of the halo effect phenomenon. Therefore, investors, managers, legislators and other users should act more rationally in their decisions.

This paper assesses the impact of a comprehensive set of macroeconomic factors (including changes in exchange rate, changes in inflation rate, changes in liquidity, changes in trade balance, and changes in gross domestic production) on voluntary disclosure in companies annual reports. The analysis of systematic factors) economic variables and the level of voluntary disclosure is ignored in capital market researches, which is considered the contribution of the present research.The data set includes 113 companies listed on Tehran Stock Exchange (TSE) for the period of 1391 -1398. The study used Ordinary Least Squares (OLS) regression model to examine the relationship between above mentioned macroeconomic factors and corporate voluntary disclosure. The empirical results show that among macroeconomic variables that have been examined, there are only significant relationships between changes in inflation rate, liquidity, and gross domestic product and voluntary disclosure. We did not find any statistically significant association between other macroeconomic factors (including changes in Exchange rate and trade balance) and voluntary disclosure. The results suggest that macroeconomic variables can explain the corporate voluntary disclosure.

In recent years, with the developments in Iranian Capital Markets and also the influence of Social Networks, new trading strategies like as social trading emerged which makes the need to a tailored social platform for Iranian capital market. The purpose of the study is to design and explain the trading social platform in iran’s capital market. Using the qualitative research based on theme and content analysis and through deep interviews with fintech and investment experts, the research was performed. The participants were selected using targeted sampling and the interviews were continued until Theoretical saturation and 12 interview were performed. In order to analyze the interviews, open and selective encoding, continuous comparative analysis, and creating contents and categories were used. Social trading platforms, considering extensive interactions between individual participants with social media, are inevitable developments and according to encoding of interview, the experts pointed to 11 dimensions and 60 categories essential for development of a Trading Social Platforms in order to improve the trading and information in capital market.The resulting dimensions are as follows: information and trading transparency, the characteristics of social network, stock analysis and returns, financial developments indices and the interaction of money and securities markets, financial and market ratios, owners equity and financial statements, risk management, technologic characteristics, competitiveness ability, training and investor education and reducing herd behavior, and inventory management systems.

Noise traders are traders who make decisions based on market sentiment, and in the behavioral financial literature, more volatility may indicate more noise traders in the market and less willing or ability of rational traders to neutralize their effects.The present study analyzes and evaluates the relationship between noise traders and volatilities in the price index of Tehran Stock Exchange. This research is practical and quantitative. In this study, first, the sentiment index is extracted by EMSI method to explain the behavior of noise traders. Then, to model and derive the volatilities of the price index of Tehran Stock Exchange and control variables, the EGARCH model is used, and in the last step to measure the effect of traders' optimistic and pessimistic sentiment on the volatility of the stock price index, the ordinary least squares method ( OLS) or generalized (GLS) is applied. The results show that the effect of optimistic and pessimistic sentiment on stock market volatilities are negative and positive, respectively, and both are significant. The value of the coefficients also indicates the intensity of the small effect of optimistic and pessimistic sentiment on the stock market volatility.

The goal of capital market dispute resolution system is legal claims resolution with a focus on securing private interests, like civil litigation. The difference is that there are public and economic interests of the country in addition to private interests in the capital market.Ensuring a fair and efficient dispute resolution system is one of the factors for capital market prosperity by reducing investment risk and encouraging more investment. The efficiency of dispute resolution system is rooted in its desirability for investors. Fairness, speed, and expertise in dispute resolution system are the most important criteria for the desirability of dispute resolution system from the perspective of investors.Alignment with the special interests and necessities of capital market dispute resolution system (speed and expertise) will be achieved by deviating from some principles of dispute resolution system, while the invariable and definite principles of dispute resolution must be completely applied. The present research seeks to identify and evaluate the mentioned principles by the descriptive-analytical method.

The purpose of this study is to investigate the efficiency of dynamic econometric models (BEKK-GARCH, CCC-GARCH) to cover the cross-risk of stock returns and coin futures contracts on the Tehran Stock Exchange using daily data during the years 1392-1392. Therefore, the researcher has used BEKK-GARCH model and CCC-GARCH model to determine the efficiency of different Garge models for cross-coverage of stock market return risk using coin futures contract. According to the estimation of symmetric Garch models in the present study, it was found that both cross-coverage of stock market risk and equity symmetric Garc models can be used to cover the risk in the stock market using coin futures contracts. On the other hand, considering that the coefficient of determination in the VAR-BEKK model is greater than the coefficient of determination in the CCC-GARCH model, so the VAR-BEKK model is more efficient than the CCC-GARCH model. Also, based on the coefficients obtained in these two models, considering that in the second equation of the CCC-GARCH model and the insignificance of stock market return coefficients in the previous period and the previous two periods and its lack of impact on coin futures contract returns, the model can be concluded. VAR-BEKK is more efficient than CCC-GARCH model