Iranian Journal of Finance

Iranian Journal of Finance

Iranian Journal of Finance, Volume 2, Issue 3, Summer 2018 (مقاله علمی وزارت علوم)



Foreign direct investment, economic growth and the moderation role of host country’s financial market(مقاله علمی وزارت علوم)

تعداد بازدید : ۱۲۳ تعداد دانلود : ۹۸
foreign investments have always been welcome and policy makers always do their best in order to attract more and more capital into their area; But a question which gave rise to a series of studies is that is FDI always beneficial for the recipient and does it under all circumstances help the growth in the host economy? In order to answer this question, we first examined whether or not FDI, by itself, has any significant impact on growth and the results proved that FDI affects growth positively in our full sample. We then show that FDI’s effect on growth is different in developed and non-developed countries. A surprising finding in our study is that in developed countries foreign flows of investment do not affect economic growth where this effect in non-developed countries is relatively high and significant. Three different stock market indicators (market capitalization, value traded and turnover ratio) are then introduced and it is tested whether the differences in FDI’s impact in developed and non-developed countries is due to their stock-market-related financial absorptive capacities. Our key contribution in this paper, along with our other novel findings, is that we introduce cut-off levels for these three indicators which successfully split our sample into one sub-sample in which FDI strongly affects growth and one in which FDI’s effect on growth diminishes.     

Asset-Liability Management (ALM) Following Liquidity Management Approach Based on Goal Programming in the Commercial Bank(مقاله علمی وزارت علوم)

تعداد بازدید : ۱۴۱ تعداد دانلود : ۱۲۴
Asset-liability management (ALM) helps managers achieve their respective objectives by surveilling and controlling the ways through which resources are obtained and allocated. Furthermore, with the help of liquidity management, which sets the required cash by banks for fulfilling costs and other needs (e.g. the cash requested by depositors), ALM controls the risk. In addition, ALM helps managers realize profitability and efficiency of the bank through the application of goal programming (GP) whereby multiple objectives are simultaneously considered when making decisions. In the present research, upon collecting the required data and information, acquiring opinions of experts at a sample bank, and investigating balance sheet of the bank while considering respective constraints, orders of priority of objectives were determined. The results indicated consistency of some items in the balance sheet, such as cash inventory and liability to Central Bank with those set by the model. On the other hand, when it came to some other items, including receivables from the government and credited facilities to public sector, the observed growth was in line with that anticipated by the model. In the meantime, for most items of the balance sheet, including termed deposits and other deposits, investments, and joint activities, the model suggested variable yet positive growths; the growth was higher in demand deposits which are known as less expensive resources, indicating facts about Iranian banking system and Iranian economy where communities are making greater deals of effort to attract this sort of resource.

Comparison of linear regression models Ordinary Lasso, Adaptive Group Lasso and Ordinary Least Squares models in selecting effective characteristics to predict the expected return(مقاله علمی وزارت علوم)

تعداد بازدید : ۱۶۱ تعداد دانلود : ۲۱۳
In this study, for the selection of the characteristics of the company that provides the incremental information to investors and financial analysts, the linear models are adapted by the ordinary Lasso method (Tibshirani, 1996), Adaptive Group LASSO (Zu, 2006) and the least squares method (OLS). The main objective of this research is to determine which method can predict the expected return on stock portfolios in the shortest time and using the least effective features. The research sample is1340observations, including 134companies listed in Tehran Stock Exchange, and the research variables from the financial statements of the companies and the stock market reports between 2008and 2018. The results of this study show that by employing the least squares regression method, 7 characteristics, the typical 5- characteristics LASSO method and in the Adaptive Group LASSO method, only 4characteristics, contain incremental information to predict the expected returns of stock portfolios. In the second place, by applying the Adaptive Group LASSO regression method, one can achieve the same results with using the least characteristics.

Providing a Logistic Model to Predict Individual Trading Behavior in Tehran Stock Exchange(مقاله علمی وزارت علوم)

تعداد بازدید : ۱۵۶ تعداد دانلود : ۱۷۰
Information is like a strategic decision-making tool in which the quality of decisions will merely depend on the information used at the time of making those decisions. The purpose of this research is to assist individual investors in Tehran Stock Exchange by providing them a logistic model enabling them to predict their trading behavior. The data in this research has been collected from the statistical population of the study through variables, believed to have effects on the investors' process of decision making. Therefore, in order to achieve the statistical data, 2400 transactions in the form of 100 transactions, including buy and sell of stock shares from March 2017 until February 2019 have respectively been collected as samples. Based on the results of the logistic regression test, the behavior of institutional investors, as well as the volume of stocks traded have a significant positive impact on the behavior of individual investors (the probability of buying shares by them) versus the Beta, earnings per share, and dividends per share that have a negative effect on the probability of purchasing shares by individual investors. The analysis of the results suggests that individual investors are mainly subject to collective behavior which in particular is the same behavior of institutional investors. On the other hand, they tend to invest in stocks with low beta (defensive stocks) along with factors such as earnings per share and dividends per share which have less impact on the probability of stock purchases by individual investors.

Designing and Explaining the Convergence-Based Financial Services Marketing Model in Tehran Stock Exchange (Mixed Approach)(مقاله علمی وزارت علوم)

تعداد بازدید : ۱۲۷ تعداد دانلود : ۱۱۹
This study was conducted for designing and explaining the convergence-based financial services marketing model in Tehran Stock Exchange. This study was mixed (qualitative-quantitative), and in the qualitative phase, a group of experts in the field of financial services marketing and senior managers of asset management companies were selected and unstructured interview was done for modelling based on ground theory. In the quantitative phase, customers of asset management companies were considered as the statistical population and 500 statistical samples were selected and questioned by questionnaires and 26 hypotheses derived from the initial model were tested. All hypotheses were confirmed but the effect of risk-taking and history of financial services providers on convergence of trends and indexes were rejected. There was also no relationship between history and requirements. Also, conditions and economic fluctuations governing the society and history of financial services providers did not have a significant effect on adherence to requirements of stock exchange.   Finally, the results led to the design of convergence-based financial services marketing model in Tehran Stock Exchange (based on the structure of the paradigm model). Comparing the model of the present study with previous models in the field of financial services marketing, an important and innovative point is the attention of asset manager companies to convergence in the financial markets, which was identified as one of the effective strategies for promoting perceived value and customer loyalty and its effect was also proved. Paying attention to the concept of convergence and contagion between markets and paying attention to parallel markets to get more returns is a significant factor in attracting financial services customers.

Developing a Comprehensive Pattern of Preventing Stock Price Manipulation in Iran’s Capital Market: A Grounded Theory Approach(مقاله علمی وزارت علوم)

تعداد بازدید : ۱۵۴ تعداد دانلود : ۱۴۲
The purpose of this research is to design a comprehensive model to prevent price manipulation in the Iranian capital market. The approach used in this research is qualitative and has been used as the research method from the theory of grounded data (grounded theory). The data collection was done in depth and open interviews with 26 capital market elites and professors and students from different universities. For data analysis, the comparison method has been used during three stages of open, axial and selective coding. With regard to the analysis of data, we have found that the comprehensive model for preventing price manipulation consists of six main categories, including regulatory mechanisms, legal mechanisms, educational mechanisms, cultural mechanisms, structural mechanisms and implementation of the pattern of prevention. The price manipulation is explained in detail. Finally, the circumstances, the conditions of the intervention, the conditions governing (strategies), the strategies and the consequences have been identified.