فصلنامه بورس اوراق بهادار
پیاپی 63 (پاییز 1402)

Securities Exchange Organization is one of the regulatory models in the Iranian capital market. The main question in this article is: From the perspective of public law, what are the challenges relationship between the “government” and “Securities & Exchange Organization”? In answer to this question, it has been concluded, using a descriptive-analytical research method, that:The composition of the Council members is first and foremost state-owned. Secondly, the strong presence of the government in the organization strongly influences the organization's performance and policies as a public nongovernmental organization, in a way that fosters the “governmental” and “statehood” of the exchange. Thirdly, although legally defined, the organization is a public nongovernmental organization, but the broad level of government involvement in it has violated the principle of independence and the legal personality of the organization, suggesting that such oversight would pose risks to the organization. It follows the philosophy of a non-governmental public entity, and the role of the government in this organization is more than a guardianship institution. Fourth; the council is involved in two conflicting goals: governance and tenure, resulting in reduced the stock market productivity and efficiency. Fifth; for strategic success, the stock market needs to follow the market economy in the context of limited state.

The capital market is one of the most important financial markets that fluctuations in this market affect not only the national economy but also the regional and global economy. Therefore, the present study was conducted to evaluate the relationship between stock volatility and stock liquidity. The statistical population of the research consists of Tehran Stock Exchange companies in the period 2012-2019. 91 companies were selected as a statistical sample. To perform the two-way relationship between special fluctuations and stock liquidity, Panel VAR regression and Eviews11 software were used. The results of the co-accumulation vector showed that one unit of increase in special stock fluctuations reduces liquidity by 76.927 units. Also, the results of stimulus-response functions showed that the response of stock-specific fluctuations to stock liquidity during 10 time periods is very small and fluctuates (positive and negative). The response of stock liquidity to stock-specific fluctuations is also very small and volatile over 10 time periods.

Many behavioral biases affect investors when making decisions. Behavioral distortions divert the investor from rational decisions, and as a result, resources are not diverted to appropriate investments. Behavioral biases can be evaluated in different types including collective behavior. data are collected of financial statements and stock returns of 125 companies listed on the Tehran Stock Exchange during 2012-2017. Data analysis was performed in eviews software version 10 The single variable results indicate there is no significant difference between the rates of investors' collective behavior in two groups of companies with and without weaknesses. While multivariate data analysis in the form of regression models showed that the auditor's report about the presence of significant weakness in internal control (which indicates high agency costs and high information asymmetry between managers and shareholders), strengthens investors' collective. Based on the results, it seems that investors' behavioral biases are based on the priority and importance of good and bad news in the market, and as long as there is bad news in the stock market towards the company, good news cannot cause behavioral bias in investors.

This study examines the risk of the Tehran Stock Exchange and the S&P 500 index, as well as gold and silver. Each investigation was performed separately before the outbreak of Covid-19 and during it. To do so, we use the fractional cumulative residual entropy (FCRE) for risk analysis. Also, we investigated the effect of Covid-19 on the Hurst exponent of the aforementioned markets and discussed the dynamic of each time series as well. The results showed that the Hurst exponent increases to one after the Covid-19 pandemic for all investigated markets. Therefore, the pandemic led to higher persistence trends in all markets that were studied. The results of FCRE showed that for all markets, randomness and irregularity have increased since the outbreak, which indicates that the risk and uncertainty have generally increased after the outbreak. Gold, however, showed the lowest entropy level since the pandemic, indicating that information perceived by gold investors did not significantly affect their fears during the Covid-19 pandemic. The results provide insights into the response of financial markets and precious metals to investor expectations after the Covid-19 pandemic.

The purpose of this paper is to identify the most important sustainability indicators and criteria of the exchange industry. Due to the importance of this industry in capital formation, price discovery, risk sharing, liquidity of securities, financing, regulation and supervision of listed companies and consequently its important role in contributing to sustainable economic development, in this study, sustainability reporting of exchanges are taken into consideration. To identify important sustainability criteria, 45 sustainability reports published by 26 exchanges around the world have been examined using inductive logic in the qualitative content analysis method. A full review of these reports has led to the identification of 10,523 codes, 388 sub-criteria, and 38 main criteria under 4 dimensions (economic, social, corporate governance, and environmental). The results of this study indicate that the economic criteria are the most important and the environmental ones are the least important in this industry which can be explained by the type of exchanges activity and their importance in economic growth and development as well as their low environmental impacts. As we know, this study is the first in-depth study in the field of identifying the sustainability criteria in the exchange industry at the international level, and its findings can be used as a framework for measuring, evaluating and reporting the sustainability performance of exchanges.

In this paper,, we study a new kind of exotic options called geometric Asian rainbow option on the Iranian stock market. At first, we choose two stocks from the Iranian stock market. Next, we present the price for the two-asset geometric Asian rainbow option under the fractional Brownian motion. Then, our sensitivity analysis of the model parameters such as the risk-free rate and Hurst exponent will be investigated. In addition, we study the effect of these parameters on the price of geometric Asian rainbow option and the results confirm the accuracy of our pricing model. Finally, we compare the price of the geometric Asian rainbow option with those of European, American and Asian analogs. The outcomes show that this new option has a cheaper price in comparison to the mentioned traditional options and also could work better in risk management. Therefore, it can be highly noticed by investors and financial agents.

The purpose of this study is to determine the efficiency limit and evaluate the performance of the stock portfolio in issues with numerical limitations in the Tehran Stock Exchange and IRAN Farabors in year 1398, using data envelopment analysis method. The efficient frontier in the issue of stock portfolio with numerical constraints is discrete and asymmetric. It is not possible to use the data envelopment analysis model. In this study, the efficient boundary is categorized into several continuous boundaries and the "data envelopment analysis" model is used. For this purpose, first the beginning and end points of each continuous boundary are determined as "data segment points" based on the proposed algorithm, and then the data envelopment analysis model is used for each continuous interval. 188 stock exchange and OTC symbols listed in Tehran Stock Exchange and IRAN Farabors were examined in 1398, and with the limitation of selecting 5 to 10 stocks from 188 stocks based on different weights (total stock weight equal to 1), the efficient limit of the stock portfolio was determined. Due to the lack of fast and accurate computational methods in determining the efficiency limit of stock portfolio with numerical constraints, data envelopment analysis method to determine the efficiency limit and evaluate stock portfolio performance of particle swarm algorithm, genetic algorithm and imperialist competition algorithm And the efficient border can be drawn and used.

investigating the intellectual and conceptual structure of crowdfunding enable scholars not only to understand the dominant intellectual framework on the special subject, but also help them to identify current and future research trends. To do so, present study is a quantitative review aims at specifying the scientific evolution in crowdfunding using bibliometric analysis and and visualisation software. this bibliometric study analyzed 1210 scientific productions retrieved from the web of science database and next used VOS viewer software for mapping and showing relationships. In the first step this study is study identified leading authors, articles, journals, institutions and countries in this field and then co-citation and keywords co-occurrence analysis conducted.study findings indicate increasing trend of studies, in particular since 2016. in terms of number of scientific productions and citations , 2021 reached the highest point with 273 and 7011. Based on citation analysis four clusters discovered showing the intellectual structure underlying these studies. Moreover, utilizing the keywords co-occurrence analysis confirmed these findings and also presented the evolution of this topic and it’s constructing schools of thoughts. This review also highlighted some interesting research gaps.

The issuance of government securities plays an important role in financing budget deficite. Due to the usury of various types of conventional treasury securities, government sukuk has been designed as an alternative to conventional treasury in the Islamic Republic of Iran. Despite years of experience, financing government through government securities, faced serious challenges, which has called into question the government's continued access to this source of funding. The present article deals with the determining challenges of government financing through the issuance of Islamic securities and provides related solutions with a practical approach.In this study, using the content analysis of library documents and interviews with experts, supply and demand side, functional and jurisprudential challenges of government securities are analyzed. Then, practical solutions are presented, including; the establishment of primary dealer system, the establishment of a securities issuance committee and the adoption of a relevant permanent law, not to force the banking system to buy securitiess, strengthening the market depth with Utilization of fintechs, creation of information system for debt market, reforming determining coupon rate system, use of innovative contracts and development of market tools.

In this study, the moderating role of corporate social responsibility on the relationship between related party transactions and firm has been investigated. The statistical population of the study was all companies listed on the Tehran Stock Exchange in the period 2014 to 2020 that the purposeful removal method was used to determine the statistical sample size. Finally, 102 companies were selected as a statistical sample. Data analysis and testing was performed using the combined data approach and the fixed effects data method. The results showed that related party transactions on the firm value have a significant relationship ,so that sales transactions increase the value of the company and purchase transactions lead to a decrease in the value of the company. In examining the fourth hypothesis, it was found that the company's social responsibility had a moderating role on the relationship between related party transactions and the firm value.The results of the study indicate the effectiveness of related party transactions dependent on the value of the company and show the market response to such transactions. Social responsibilities are also a factor affecting the above relationships.

The Earnings Forecasts report is one of the sources of information for stakeholders in the capital market. The presentation of this report has been a challenging issue in recent years. The purpose of this research is to develop a framework for Earnings Forecasts reporting in the Iranian capital market. In this research, a qualitative research method and an approach based on theme analysis have been used. To achieve the purpose of the research, First, the primary framework was identified by studying the literature review and theoretical background of the research. then, Using the snowball sampling method, 21 experts in the field of financial reporting and capital market were interviewed in a semi-structured manner. Finally, the data of the research was analyzed with the method of theme analysis and the Earnings Forecasts reporting framework was extracted according to the country's environmental characteristics. According to the findings of the research, 14 sub-themes and 6 main themes including generalities, antecedents, characteristics, consequences, challenges and evaluation were identified, which were determined as the components of framework for Earnings Forecasts Reporting. The results of this research can be a suitable guide for amending regulations and developing financial reporting standards.

The main purpose of this study is to investigate the impact of economic and policy uncertainty on the financial stability of the banking sector. In this regard, firstly, using Generalized AutoRegressive Conditional Heteroskedasticity (GARCH), inflation uncertainty as an indicator of economic uncertainty, government tax revenue uncertainty and exchange rate uncertainty as indicators of government policy uncertainty are calculated. Then, the impact of these indicators on the financial stability of the banking sector (calculated using the ZSCORE approach) has been examined. In this study, the monthly data of 19 banks including Melli, Sepah, Post Bank, Maskan, Tejarat, Mellat, Karafarin, Eghtesad Novin, Parsian, Pasargad, Mellal, Sina, Ayandeh, Day, Tourism, Shahr, Iran Zamin, Qarz Al-Hasaneh Resalat and the Middle East has been used in the period 2015 to 2020. The results of this study show a negative and significant relationship between inflation uncertainty and exchange rate uncertainty with the financial stability of the banking sector. However, the coefficient of tax revenues uncertainty is not statistically significant. In addition, the results of the final model indicate a positive relationship between the bank deposit ratio and a negative relationship between the size and ratio of foreign debt with the financial stability of the banking sector.