Iranian Journal of Finance

Iranian Journal of Finance

Iranian Journal of Finance, Volume 3, Issue 2, Spring 2019 (مقاله علمی وزارت علوم)



Comparing Prediction Methods of Artificial Neural Networks in Extracting Financial Cycles of Tehran Stock Exchange based on Markov Switching and Ant Colony Algorithm(مقاله علمی وزارت علوم)

کلید واژه ها: Market Financial Cycles Bear Market Bull Market Artificial Intelligence Markov Switching Model

حوزه های تخصصی:
تعداد بازدید : ۲۹۷ تعداد دانلود : ۳۰۱
The stock exchange is considered to be an important establishment to finance long term projects, on one hand, and to collect savings and finance of private section. The stock exchange can be a safe and secure place to invest surplus funds to purchase corporate stocks. As recession and prosperity in this market can have a great role in stockholders` decision-making, it becomes vital to predict these cycles. In this paper, using model MSMH(4)AR(2), we extract the financial cycles of the market. Then, using the ant colony algorithm, we determine the most significant predictors and predict the market financial cycles using neural networks. The results show that the PNN model performs better in predicting the future market with respect to the criteria of mean squared error, the root mean squared error, the model accuracy and kappa coefficient.

The effect of Related Parties Transactions on the Firm Value: Moderating Role of Audit Committee(مقاله علمی وزارت علوم)

کلید واژه ها: Related Parties Transactions Firm Value Audit committee Tehran Stock Exchange

حوزه های تخصصی:
تعداد بازدید : ۳۵۵ تعداد دانلود : ۳۲۶
In recent financial scandals, related parties transactions (RPTs) have been as one of the major concerns, so that the targeted use of these transactions and lack of their disclosure or insufficient disclosure are some of the factors in the failure of the corporates. In RPTs, there is a risk that the related party may be favoured with terms that could harm the interests of the company’s shareholders. The purpose of this study was to investigate the effects of different types of related parties transactions on the firm value with the moderating role of the audit committee incorporates listed in Tehran Stock Exchange. The research statistical sample consists of 100 listed firms in the Tehran Stock Exchange in 6 years of 2013-2018. This research, based on the nature and content, is a descriptive/ correlational research. Using Panel data and multiple regression, the results of the research show that there is a negative relationship between RPTs and the firm value. The findings also show that there is a positive relationship between the audit committee and the firm value. Also, the findings show that different types of RPTs have a different effect on the firm value. The results also show that the audit committee does not affect the relationship between RPTs and the firm value. 

Portfolio optimization with robust possibilistic programming(مقاله علمی وزارت علوم)

کلید واژه ها: Portfolio optimization Sharpe ratio robust possibilistic programming

حوزه های تخصصی:
تعداد بازدید : ۳۱۲ تعداد دانلود : ۲۰۲
one of the most important financial and investment issues is Portfolio selection, that seeks to allocate a predetermined capital (wealth) over one or multiple periods between assets and stocks in such a way that the wealth of investor (portfolio owner) is maximized and, Simultaneously, its risk minimized. In the paper, we first propose a mathematical programming model for Portfolio selection to maximize the minimum amount of Sharpe ratios of the portfolio in all periods (max-min problem). Then, due to the uncertain property of the input parameters of such a problem, a robust possibilistic programming model (based on necessity theory) has been developed, which is capable of adjusting the robust degree of output decisions to the uncertainty of the parameters. The proposed model was tested on 27 companies active in the Tehran stock market. In the end, the results of the model demonstrated the good performance of the robust possibilistic programming model. 

Technical analysis and the strategy-based portfolio versus random one(مقاله علمی وزارت علوم)

کلید واژه ها: Monte-Carlo Technique Random portfolio Strategy-based portfolio Technical Analysis

حوزه های تخصصی:
تعداد بازدید : ۴۹۳ تعداد دانلود : ۳۸۴
Market participants use different tools basically technical or fundamental analysis to have a higher return in constructing a well-maintained portfolio. Examining the efficiency of technical strategies in creating a portfolio is the main objective of this study. Technical analysis is based on using historical trading data to launch selling and buying rules that maximize return and still control risks of loss. We use the adjusted trading data of 50 active stocks in the Tehran Stock Exchange as our sample which includes daily trading data from 2008 to 2019. We construct two types of portfolio; strategy-based portfolio versus random one. Then we calculate abnormal returns of each type of portfolio, applying the Monte-Carlo technique. Using Independent-Samples T-Test to compare means of the abnormal returns, our findings show that there is a significant positive abnormal return for both strategies applied in constructing a portfolio (0.057 and 0.062 mean difference for the first and second strategy, respectively), confirming the higher efficiency of applying technical strategies in portfolio management. Therefore, it is suggested to have and apply a strategy or combination of strategies for trading as an active participant, instead of constructing, rebalancing and maintaining one’s portfolio only by chance, since there will be undesirable results in the long-run.

The effect of the main variable of Money Market on stock price index in Iran(مقاله علمی وزارت علوم)

کلید واژه ها: Stoke Price Index Three Stage Least Square Interest Rate Iran

حوزه های تخصصی:
تعداد بازدید : ۳۰۷ تعداد دانلود : ۲۳۲
The Stock Exchange is a private sector savings and liquidity fund to fund long-term investment projects. The indicators of this market are influenced by several factors, one of which are economic variables. Banks are also one of the most important investors in the financial market. In this study, the effect of exchange rate, bank interest rate, liquidity and inflation rate on stock price index using time series data of 1978-1988 and using equation system model of four equations of the stock price index, inflation rate, profit rate Deposits, and facility interest rates were estimated using the three-stage least squares method. The results showed that the effect of the exchange rate, deposit interest rate and positive liquidity volume and the effect of inflation rate on stock price index was negative. Other equations have been estimated because of the relationship between the bank interest rate and inflation rate, and the results show that both deposit interest rate and facility interest rate have a positive relationship with the inflation rate

Social Value Added; A New Model for Developing Sustainability Accounting(مقاله علمی وزارت علوم)

کلید واژه ها: Tangible value added Intangible value added Social Value Added Sustainability accounting

حوزه های تخصصی:
تعداد بازدید : ۲۸۹ تعداد دانلود : ۲۵۱
Sustainability accounting by presenting a holistic view of the organization activities and providing a balanced view of its economic, social and environmental impacts and benefits, and by presenting sustainability reporting seeks to encourage business units and investors to maintain the mutual benefits of all stakeholders in the society. Given the criticisms that researchers have had about the efficiency of sustainability reporting, the purpose of this article is to develop sustainability accounting by presenting a new model that can address the challenges in sustainability accounting and can be a good alternative to sustainability reporting. Social value-added is the sum of tangible and intangible values created and added to society by a business through technological development/change and the knowledge of its manufacturing engineers and managers. In this research, to test the proposed social value added model, Nano engine oil was selected randomly and the test was performed using paired comparison of data. The results of the research showed that social value-added statement can be an appropriate report for evaluating the economic, social and environmental performance of a business entity. Nano engine oil has a social value added of 3797.2 percent compared to regular engine oil, that 15 percent of it is related to tangible value added and 85 percent to intangible value added. 


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