فیلتر های جستجو: فیلتری انتخاب نشده است.
نمایش ۱ تا ۲۰ مورد از کل ۳۴٬۶۰۳ مورد.
۱.

Uncertain Entropy as a Risk Measure in Multi-Objective Portfolio Optimization(مقاله علمی وزارت علوم)

کلید واژه ها: Uncertainty theory Uncertain Entropy information theory Multi-objective optimization Uncertain Mean-Entropy Portfolio Optimization (UMEPO)

حوزه های تخصصی:
تعداد بازدید : 841 تعداد دانلود : 460
As we are looking for knowledge of stock future returns in portfolio optimization, we are practically faced with two principal concepts: Uncertainty and Information about variables. This paper attempts to introduce a pragmatic bi-objective investment model based on uncertainty, instead of probability space and information theory, instead of variance and other moments as a risk measure for portfolio optimization. Not only is uncertainty space expected to be more in line with investment theory, but also, applying and learning this approach seems more straightforward and practical for novice investors. The proposed model simultaneously maximizes the uncertain mean of stock returns and minimizes uncertain entropy as a measure of portfolio risk. The uncertain zigzag distribution has been used for variables to avoid the complexity of fitting distributions for data. This uncertain mean-entropy portfolio optimization (UMEPO) has been solved by three meta-heuristic methods of multi-objective optimization: NSGA-II, MOPS, and MOICA. Finally, it was observed that the optimal portfolio obtained from the proposed model has a higher return and a lower entropy as a risk measure compared to the same model in the probability space.
۲.

Developing an Integrated ISM and DEMATEL Method for Eco-nomic and Political Factors Influencing Investors' Decision-Mak-ing in Investing in the Stock Exchange(مقاله علمی وزارت علوم)

کلید واژه ها: Economic Characteristics Political Characteristics Meta Synthesis method DEMATEL Method Interpretive Structural Modeling Method

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تعداد بازدید : 115 تعداد دانلود : 189
This study examines the political and economic factors influencing the decision of investors in the stock exchange. For this purpose, first, by using the Meta Synthesis method, the factors affecting investment decisions were extracted from previous researches and then, using Delphi technique, the identified features were evaluated and approved by experts. Then, using DEMATEL method, the relationships between the factors were analyzed, and finally, the sequence and rank of each factor were determined based on the Interpretive Structural Modeling method. Based on the results obtained from the DEMATEL method, "Foreign political news and revolutionaries" and "International economic revolutionaries" are the most influential factor on other factors and "Predicting the country's economic situation in the future" is the most influential factor among other factors. Also, the results of the Interpretive Structural model approach show that Political factors such as the "Comments of political officials", "Iran's political relations with other countries" and "Internal Security and Stability" have the greatest impact on investment decisions.
۳.

Impact of Investors' Sentiments on Volatility of Stock Exchange Index in Tehran Stock Exchange(مقاله علمی وزارت علوم)

کلید واژه ها: Feeling and sentiments volatility EMSI Index GARCH Tehran Stock Exchange

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تعداد بازدید : 303 تعداد دانلود : 499
The stock market is one of the main components of the economy, and various factors cause fluctuations in it, one of which is the effect of investors' behavior. Therefore, present study seeks to answer the question of whether the feelings and sentiments of investors might intensify the fluctuations in the Tehran Stock Exchange or not. To answer this question, at first, in order to quantify sentiments, as non-abstract variables, the Equity Market Sentiment Index (EMSI) was used that investors are classified in 5 categories of completely risk-averse, risk-averse, neutral-risk, risk-taking and completely risk-taking. Using GARCHi-in-Mean, results indicate that the sentiments of investors will result in greater fluctuations in the Tehran Stock Exchange. Hence, if fluctuation is considered an indicator of market risk, the excitement associated with an abnormal rise in volumes will increase that risk.
۴.

Portfolio optimization using gray wolf algorithm and modified Markowitz model based on CO-GARCH modeling(مقاله علمی وزارت علوم)

کلید واژه ها: Portfolio optimization gray wolf algorithm Markowitz Model CO-GARCH

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تعداد بازدید : 335 تعداد دانلود : 344
Portfolio optimization which means choosing the right stocks based on the highest return and lowest risk, is one of the most effective steps in making optimal investment decisions. Deciding which stock is in a better position compared to other stocks and deserves to be selected and placed in one's investment portfolio and how to allocate capital between these stocks, are complex issues. Theoretically, the issue of choosing a portfolio in the case of minimizing risk in the case of fixed returns can be solved by using mathematical formulas and through a quadratic equation; but in practice and in the real world, due to the large number of choices in capital markets, the mathematical approach used to solve this model, requires extensive calculations and planning. Considering that the behavior of the stock market does not follow a linear pattern, the common linear methods cannot be used and useful in describing this behavior. In this research, portfolio optimization using the gray wolf algorithm and the Markowitz model based on CO-GARCH modeling has been investigated. The statistical population of the current research included the information of 698 companies from the companies admitted to the Tehran Stock Exchange for the period of 2011 to 2020. First, the optimal investment model is presented based on the gray wolf algorithm, and After extracting the optimal model, the efficiency of the gray wolf algorithm is compared with the Markowitz model based on CO-GARCH modeling.
۵.

Providing a model for measuring the impact of economic policy uncertainty on information asymmetry(مقاله علمی وزارت علوم)

کلید واژه ها: economic policy uncertainty (EPU) information asymmetry TVP-FAVAR BMA

حوزه های تخصصی:
تعداد بازدید : 499 تعداد دانلود : 77
The role of the capital market is fundamental and decisive in the economy of all countries [6]. Studies show that in the capital market, prices are determined based on macroeco-nomic variables[2]. Accordingly, In this study is to provide a model for measuring the impact of economic policy uncertainty (EPU) on information asymmetryn.The research method is applied and has been made to present a model for measuring the effect of EPU on information asymmetry in the EVIEWS12 and MATLAB2021 software environment. The research time period is determined from 2011 to 2020 and 101 companies are selected based on the applied restrictions to estimate the model. In this study, 40 variables affecting EPU are entered into the According to the results of BMA, the most important variables affecting the EPU is provided[2]. Based on the principal components approach, the EPU index is calculated using the most important variables affecting this variable. Then, with the GARCH model, the uncertainty part of the EPU index is extracted, and finally, using the powerful nonlinear TVPFAVAR model, the shock caused by the EPU variable on the information asymmetry indices in the research period is analyzed. The results show that the shock caused by the fluctuation of the variable of EPU has increased the index of information asymmetry in recent years. Based on the results, EPU shock on the index of information asymmetry has had a stronger effect on in the short and long term information asymmetry than the medium term.
۶.

Identifying the Effective Factors on Investors' Behavior and Developing a Measurement Model(مقاله علمی وزارت علوم)

کلید واژه ها: Investors' behavior first and second order confirmatory factor analysis Investment financial literacy

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تعداد بازدید : 394 تعداد دانلود : 332
Objective: To identify the components affecting the behavior of investors and to develop a measurement model using a confirmatory factor analysis approach.Method: This is a correlational paper to identifythe dimensions and structures affecting investor behavior first using TOPSIS technique and then with first-order confirmatory factor analysis and second-order factor analysis. The statistical population includes people who have been active in the Tehran Stock Exchange for at least two years with asample of 327. The sampling method is convenience nonprobability sampling. The data was collected through a researcher-made questionnaire. The expert approval and Cronbach's alpha coefficient were used to assess the content validity. Findings: the current paperidentified seven factors as effective factors on investor behavior according to the theoretical literature and research background using TOPSIS technique. In the next stage, the research findings using the confirmatory factor analysis approach indicate that the two factors of investor financial literacy and investor personality traits have the most effective role in investor behavior. Also, the factors of higher expected returns, rules and regulations, security, profitability, position and location of investment are the next effective priorities on the behavior of investors.
۷.

Investigating portfolio performance with higher moment considering entropy and rolling window in banking, insurance, and leasing industries(مقاله علمی وزارت علوم)

کلید واژه ها: Performance Evaluation Higher moments Banking and insurance Entropy Rolling Window

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تعداد بازدید : 41 تعداد دانلود : 184
The optimal portfolio selection is vital for investment. The risk of portfolio Selection and return is the most critical concern of investment companies and private investors. According to modern portfolio theory, diversification should cover the risk. This theory is based on the normality of assets return. Experimental findings indicate that the assets return non-normality. Higher moments are sed to upgrade traditional models with the primary presumption of a normal distribution in recent years. This study uses a higher moment and the entropy for diversification and selects a portfolio given a non-normality assumption. It is essential to use up-to-date information to increase the model's efficiency, and accordingly, we used the rolling window for new price information. For the financial information method, we use the total index return in the last five working days and weigh the shares of the banking, insurance, and leasing industries on the next working day and evaluate this for three years. Python, math, and NumPy libraries were used to analyze the data. The results show that a much higher moment model can provide better portfolio selection results in most cases.
۸.

Design and Formulation of Strategic Liquidity Management Strategies in the Banking Industry (Case study: Refah Bank)(مقاله علمی وزارت علوم)

کلید واژه ها: strategy Strategic Management Liquidity Management Banking Industry

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تعداد بازدید : 781 تعداد دانلود : 238
The purpose of this study was to design and formulate strategic liquidity management strategies in the banking industry. In this research, in order to combine qualitative and quantitative data, a sequential integrated exploratory method will be used, according to the classification model with emphasis on qualitative data. Therefore, according to its objectives, the present study is part of applied research and in terms of the research process is part of descriptive and exploratory research that was conducted in two parts: qualitative and quantitative. The statistical population of the present study was the qualitative part of the managers of the Welfare Bank. The sampling method was to achieve theoretical saturation and 25 people were selected as the sample size. Therefore, a survey was used to collect information and according to the data collection, two types of tools were used to review documents, interviews, and questionnaires, and the evaluation method of the questionnaire was performed with a 5-point Likert scale. The Cronbach's alpha questionnaire was used. SWOT analysis was used to analyze the data. The results showed that the Welfare Bank has many opportunities to develop appropriate liquidity management strategies. As it was observed, the chart stretches towards the opportunities and strengths of the offensive situation, which requires strategic planning to use the strengths and opportunities, and 11 strategies were developed for this purpose.
۹.

Providing a hybrid strategy based on the theory of turbulence and price acceleration in the Iranian stock market(مقاله علمی وزارت علوم)

کلید واژه ها: Stock Price Forecast price acceleration Chaos theory

حوزه های تخصصی:
تعداد بازدید : 983 تعداد دانلود : 690
Stock prices are influenced by economic, technological, psychological and geopolitical factors. A review of the literature in this field shows that stochastic approaches, trend analysis and econometrics have been used to demonstrate stock market dynamics and price forecasting. However, these techniques cannot provide a comprehensive overview of market dynamics. Because they ignore the temporal relationship between these factors and are unable to understand their cumulative effects on prices. By integrating chaos theory and continuous data mining based on price acceleration, this study has eliminated these gaps by inventing a new price forecasting method called dynamic stock market recognition simulator and combining two methods: one is delay structures. Or gives time intervals to the data set, and the other is the method of selecting new variables for the market environment. The results showed that the method used can be used to predict the long-term stock price using a small data set with small dimensions.
۱۰.

Modelling the effect of monetary policies of central bank on macroeco-nomic indicators in Iran using system dynamics and fuzzy multi-criteria decision-making techniques(مقاله علمی وزارت علوم)

کلید واژه ها: monetary policies Macroeconomic indicators system dynamics fuzzy multi-criteria decision-making techniques

حوزه های تخصصی:
تعداد بازدید : 983 تعداد دانلود : 312
The most important policymaker entity in the bank-centered economy of Iran is central bank of Islamic Republic of Iran which has always been trying to manage and improve macroeconomic indicators by applying monetary policies. However, investigation of Iran's economy after four decades shows that this country has always suffered from double-digit inflation rates and 15000-fold liquidity throughout this period, while GDP of Iran has grown only by two times during this period. This paper tries to evaluate the effect of monetary policies of central bank on macroeconomic indicators by analytical-descriptive and library method via combining system dynamics and fuzzy multi-criteria decision-making using Vensim and Super Decision software. Monetary policy instruments in this re-search include foreign exchange rate, deposits interest rate, facilities interest rate, required reserve ratio, and open market operations. Further, the macroeconomic indicators include inflation, liquidity, national foreign exchange value, and eco-nomic growth. The results indicated that the most important macroeconomic indi-cators in the country according to economic experts are "national foreign ex-change value" and "inflation". The most important tool for monetary policies of central bank is "foreign exchange rate". Indeed, in order to improve the economic misery index, this bank should take measures to improve the national foreign exchange value, then manage inflation and liquidity, and eventually adjust the banking interest rate
۱۱.

Portfolio Optimization under Varying Market Risk Conditions: Copula Dependence and Marginal Value Approaches(مقاله علمی وزارت علوم)

کلید واژه ها: Asset Portfolio Extreme Value Theory Copula Market risk

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تعداد بازدید : 218 تعداد دانلود : 573
This paper aims to investigate the portfolio optimization under various market risk conditions using copula dependence and extreme value approaches. According to the modern portfolio theory, diversifying investments in assets that are less correlated with one another allows investors to assume less risk. In many models, asset returns are assumed to follow a normal distribution. Consequently, the linear correlation coefficient explains the dependence between financial assets, and the Markowitz mean-variance optimization model is used to calculate efficient asset portfolios. In this regard, monthly data-driven information on the top 30 companies from 2011 to 2021 was the subject to consideration. In addition, extreme value theory was utilized to model the asset return distribution. Using Gumbel’s copula model, the dependence structure of returns has been analyzed. Distribution tails were modeled utilizing extreme value theory. If the weights of the investment portfolio are allocated according to Gumbel’s copula model, a risk of 2.8% should be considered to obtain a return of 3.2%, according to the obtained results.
۱۲.

A Study of the Effective Factors on Error of Forecasting Technical Analysis Indicators in Iran Stock Exchange (NNARX Approach)(مقاله علمی وزارت علوم)

کلید واژه ها: Forecasting error Technical Analysis Indicators NNARX MAPE GMM

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تعداد بازدید : 387 تعداد دانلود : 698
It is well documented that using linear models to forecast plenty of financial observations due to their nonlinearity is not satisfactory. Therefore, in this paper, the technical analysis indicators are forecasted using Neural Network Auto-Regressive model with eXogenous inputs (NNARX). Then the effect of different factors (economic, systematic risk, company's properties and corporate governance) on their forecasting error (eRSI, eMA1, eMA2 and eMACD) was investigated. For this purpose, required data were collected using the removal sampling method for 323 companies listed on the Tehran Stock Exchange from 2014-2020. In addition, the mean absolute percentage error (MAPE) was applied to measure the error of forecasting technical analysis indicators. NNARX and dynamic panel data models (GMM) were used to study the effective factors on the error of forecasting technical analysis indicators. Results indicated that the error of forecasting technical analysis indicators is less than 0.1 and has sound accuracy. Also, the company's size and corporate governance indicators didn't significantly affect the error of forecasting technical analysis indicators. In addition, financial leverage doesn't significantly affect eRSI and eMACD but has a significant inverse effect on eMA1 and eMA2. On the other hand, return on assets has a significant inverse effect on eRSI, eMA1, eMA2 and eMACD. Also, economic recession and prosperity, inflation fluctuations, exchange rate fluctuations and systemic risk have a significant positive effect on eRSI, eMA1, eMA2 and eMACD.
۱۳.

Optimization of auditing strategies in companies listed on the Tehran Stock Exchange(مقاله علمی وزارت علوم)

کلید واژه ها: Audit Optimization strategy Assignment Program Development

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تعداد بازدید : 454 تعداد دانلود : 63
Accounting processes and their related decisions play an important role in organizing business. If the organization does not have a comprehensive accounting system, managing it will face many problems such as liquidity deficit, tax penalties and so on. Therefore, optimizing accounting processes is essential for managing an organization and improves the company's performance and greater efficiency for business activities. On the other hand, estimates and subjective judgments in preparing financial statements have caused controversy among auditors and owners. In particular, in cases where the standards are not clear, the use of unavoidable judgment and mentality creates ambiguity in financial reporting. This is while the ultimate value of audit activity is in helping the user to determine the quality of the information received. On the other hand, the financial reporting crises of recent years have focused the attention of researchers and professional associations on increasing the reliability of audit reports and reducing negligence. Therefore, considering the importance of auditing and the quality of financial reporting, this study examines and analyzes auditing strategies and determines the optimal strategy to improve the quality of financial reporting. For this purpose, 120 companies active in the Tehran Stock Exchange, which have a legal and formal audit system and use external audit firms for auditing, are considered as a statistical sample based on the counting method, and the senior supervisors, managers and partners of this Companies have been questioned.
۱۴.

Presenting a model of the relationship between monetary policies, capital structure and banks' risk-taking(مقاله علمی وزارت علوم)

کلید واژه ها: monetary policies Legal Reserve Rate Capital Structure Debt Risk-Taking

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تعداد بازدید : 749 تعداد دانلود : 997
The main objective of this study is to investigate the relationship between monetary policies, capital structure and risk-taking of listed banks in Tehran Stock Exchange. In this study, to measure the monetary policies, the indicator of legal reserve rate have been used. The sample consists of 21 banks listed in Tehran Stock Exchange in the period from 2012 to 2018. In this study, the data were extracted from the Rahavard Novin 3 software and then classified by Excel software, and after calculating the variables, finally, through Eviews10 software, the multivariable regression model and panel data was used to test the hypotheses. The results showed that there is significant negative relationship between monetary policies and banks' risk-taking with in 95% confidence level. In addition, other findings indicated existence of a significant positive relationship between monetary policies and bank capital structure. However, the research results show that there is no significant relationship between bank capital structure and banks' risk-taking.
۱۵.

Measuring the Credit Risk of Bank Based on Z-Score And KMV- Merton Models: Evidence from Iran(مقاله علمی وزارت علوم)

کلید واژه ها: Bank Credit risk Z score KMV-Merton

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تعداد بازدید : 827 تعداد دانلود : 546
This paper examines the credit risk in the Iranian banks during 2008 to 2018 through the Z-score (Accounting based data) and the KMV-Merton (Market based information) models. In the Merton model, equity is equal to call option on underlying value of the bank’s asset. The market value of assets is estimated by share price. The value of assets is then compared to the value of liabilities. Therefore, default when occurs that the market value of assets is less than the book value of debts. so, value of equity becomes negative. In the Z-score model, Return on Assets and Equity to Assets as the numerator and standard deviation of ROA as the denominator are applied. If the mentioned ratios of numerator increase and the denominator decrease, the probability of default decline. As well as, Independent variables are divided into five groups: leverage, management efficiency, profitability quality, financial health, and liquidity. As a result, capital adequacy and profitability have a greater impact on both models. Also, the ANOVA table proves the validity of two models. The value of ROC test in both models is above average (0.5) which are efficient and their efficiency is 99.48% and 92.68%, respectively. Also, in terms of Voung’s test, the KMV is more efficient than the Z-score.
۱۶.

Multilevel Convergence, Cluster Fluctuations, Price Bubbles and Fractal Structure; an Experimental Investigation by Foundation Factor Simulation(مقاله علمی وزارت علوم)

کلید واژه ها: factor modeling multilevel bulk density cluster fluctuations market fractal structure

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تعداد بازدید : 241 تعداد دانلود : 876
Cluster fluctuations and fractal structures are the two important features of space-time correlation in complex financial systems. However, the microscopic mechanism of creating and expanding these two features in financial markets remains challenging. In the present study, using factor-based model design and considering a new interactive mechanism called multilevel convergence, the process of forming cluster fluctuations according to the fractal structure of financial markets is investigated. Virtual agents' trade in different groups according to market performance and their mass behavior is measured at three levels of stock, segment and market. The results, in addition to providing new insights into the space-time correlations of financial markets, show that multilevel convergence is one of the microscopic mechanisms of microstructure of such markets. In other words, multilevel collective behavior is an important factor in the occurrence of cluster fluctuations, price bubbles and market fractals and therefore should be considered in interpreting the concept of risk and defining risk management strategies from this perspective.
۱۷.

Investigation And Evaluation Of Monetary Policy Transmission Channels In The Iranian Economy(مقاله علمی وزارت علوم)

کلید واژه ها: DSGE Models Monetary Policy Transmission Variance Decomposition

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تعداد بازدید : 149 تعداد دانلود : 248
Monetary policy plays an important role in managing the economy, but success in applying this policy requires that the monetary authority understands the process of monetary transmission in the economy. Thus, it is not possible to study the effects of monetary policy on the economy without studying the channels of monetary policy transmission. Therefore, in this paper, the effect of a monetary policy through different channels of monetary policy transmission on inflation and production in terms of time process and extent of effectiveness by using Iran's data over the period of (1960 to 2018) through the method of new Keynesian dynamic stochastic general equilibrium have been investigated. The accuracy of the model was confirmed by analysing the impulse-response functions and calculating the method of moments of the second order. The results of the model show that the effects of monetary policy shock are transmitted through the nominal growth rate of money, the real exchange rate on inflation and production without oil. Also, this effects by increasing the interest rates on bank deposits through the monetary base lead to increase production without oil, and through the monetary base, the exchange rate and the price index of domestic goods reduce inflation.
۱۸.

Recognition and ranking the effective factors on audit quality via the TOPSIS technique(مقاله علمی وزارت علوم)

کلید واژه ها: Audit Quality multiple attribute TOPSIS technique stakeholders and interested groups

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تعداد بازدید : 310 تعداد دانلود : 215
Audit quality is one of the most important issues in the field of auditing and the capital market. Defining a framework for determining the quality of audit is important so the present study seeks to rank and compare the factors affecting audit quality from the perspective of different groups using a multi-attribute TOPSIS technique. In this research, first, 15 influencing factors were selected as quality indicators using library studies, and then these indicators were analyzed using TOPSIS multi-attribute technique by distributing questionnaires among four groups including: researchers and faculty members, audit institutes, chartered accountants, members of the audit committee, and financial managers of the companies listed on the Tehran Stock Exchange and they were rated and compared. From the view point of the of researchers and faculty members, auditing institutes, auditing committee members and chief financial managers, the most important effective factors on the audit quality are professional level of the auditor in the industry expertise, number of employed chartered public accountants and quality control score, respectively. The results of index comparison test indicates that from the view point of the four studied groups, there is a sensible difference between 15 abovementioned indicators.
۱۹.

The Effect of Fiscal Policies on Labor Demand in Iran(مقاله علمی وزارت علوم)

کلید واژه ها: Labor Demand Fiscal policy Gross domestic product (GDP) Government Expenditures Taxes

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تعداد بازدید : 85 تعداد دانلود : 364
The labor market is one of the main markets in the national economy and the equilibrium of the labor market is one of the main concerns of policymakers in every country. Theoretical foundations and empirical studies show that labor demand is the main factor in creating employment and equilibrium in the labor market. This article evaluates the effect of fiscal policy on labor demand in Iran from 1976-2018. During this period, the government has implemented employment-generating projects, tax and insurance exemptions via annual development programs and budgets, and encouraged investment in areas with high unemployment rates. we examined the effect of current government expenditures, government development expenditures, and taxes to study the effect of government fiscal policies on labor demand. In this article, we estimate the dynamic function of labor demand using the ARDL technique. According to the theoretical foundations and empirical studies in the specified function, labor demand is a function of intermittent values and independent variables of Gross Domestic Product (GDP), real wages, capital stock, current government expenditures, government development expenditures, tax revenues, and dummy variables of imposed war and the UN Security Council sanction. The results showed that fiscal policy has not had a positive effect on labor demand in the Iranian labor market in the short and long term.
۲۰.

Investigating the Effect of Stock Tendency of Stock Collision to Fluctuation Limit and Price Fluctuation Threshold and Change the Basis of Fluctuation Limit in Creating Returns Fluctuations(مقاله علمی وزارت علوم)

کلید واژه ها: stock tendency to deal with fluctuation limit market-related factors company-related factors

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تعداد بازدید : 989 تعداد دانلود : 921
The purpose of this study is to identify the effect of stock tendency to deal with fluctuations and price fluctuation thresholds in creating fluctuations. The statistical population of the present study is the companies listed on the Tehran Stock Exchange that were present in the stock exchange during the years 2005 to 2018. In order to confirm and reject the research hypothesis, Eviews software has been used. In Tehran Stock Exchange, following severe stock price fluctuations, the stock price fluctuation mechanism is used to limit severe stock price fluctuations, and according to certain periods, the range of stock price fluctuations changes and over time the range of fluctuations increases. The basis of trial and error has been determined and in a short period of time there have been many changes in the procedures related to the application of stock price fluctuations, without really measuring the impact of these decisions in the market and investors' reaction to changes in price fluctuations. Findings showed that the number of times each share hits the price fluctuation Yield fluctuation has a significant effect.slow efficiency fluctuations have a significant effect; And in line with the concepts of hyper-reactive theory, it can be justified, that is, after the price reaches the range of fluctuation, the trend reverses and the basis of the fluctuation limit changes; It has changed the volatility of stock returns based on jump and price continuity.

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