Iranian Journal of Finance

Iranian Journal of Finance

Iranian Journal of Finance, Volume 5, Issue 3, Summer 2021



Investigating the financial crisis of the Tehran Stock Exchange using the entropy method of transfer and comparing it with the US financial market

تعداد بازدید : ۳۴ تعداد دانلود : ۲۹
This work aims to analyze the relationship between stocks in the financial market of the Tehran Stock Exchange embedded in their transfer entropy. In this regard, the behavior of the transfer entropy between indices of 180 corporations of the Tehran Stock Exchange has been studied. Then the footprint of crises of the market has been searched in the trends of the transfer entropy. The result has been compared with the result of the analysis imposed on the stocks included in the Dow Jones industrial index in the stock exchanges of the United States. In order to investigate the financial crisis of the Tehran Stock Exchange, the stock price data of 180 companies in this market that were active in the period from 2008 to 2018 are analyzed. It is observed that the average pairwise transfer entropy of indices in the Dow Jones group declines over the financial crises in the United States. In Iran, despite the United States, the financial crises have not left a footprint in the pairwise transfer entropy over the studied period. Such an observation suggests future studies on the pairwise and possibly collective behaviors of indices in Iran and the United States.

The Event Research in the Effect of Clear Rumor Declarations on Abnormal Stock Returns Behavior

تعداد بازدید : ۳۵ تعداد دانلود : ۲۳
In this research, the impact of clear rumor declarations on the measurement of abnormal stock returns behavior has been investigated in Tehran Stock Market by means of event research so that to reveal well abnormal stock returns behavior. Following testing 169 clear rumor declarations during the period (2017-2019), Using Spss statistical software version 26 and Eviews version 12, the results of regression analysis and correlation tests indicate that content of clear rumor declarations may affect abnormal stock returns behavior. Confirmation of good rumors has increased the efficiency of abnormal stock returns 10 days after the date of the given declaration and approval of bad rumors has led to reducing the efficiency of abnormal stock returns upon declaration day. Similarly, the results showed that if rumors were disclosed during working hours in Tehran Stock Market they would reduce the efficiency of abnormal stock returns on the same day. After comparing the results of the research, the need to educate and promote the shareholding culture among shareholders is felt more than ever before. They also need to shift their focus from focusing on rumors to principled investing in futures stocks to avoid cross-sectional fluctuations, destructive rumors and other market risks and achieve a good return stock

The Dynamic Impact of Oil Price on Investor Sentiment in Tehran Stock Exchange: An Industry-Level Analysis

تعداد بازدید : ۳۹ تعداد دانلود : ۲۷
Investor sentiment is one of the non-fundamental factors that affect the financial markets, which itself is influenced by various factors, including oil price changes. This study aims to investigate the impact of oil price on investor sentiment in stock market industries in the Tehran Stock Exchange (TSE) using monthly data from April 2010 to June 2020. To investigate this issue, stock exchange industries were grouped into three categories: total industries, oil-related industries, and non-oil industries, and the effect of oil prices on investor sentiments in these three groups was examined using the pooled mean group (PMG) technique. The PMG approach considers both the short- and long-run relation between series and provides reliable results in the context of dynamic heterogeneous panel models. The implementation of PMG in all three models shows the impact of oil prices on investor sentiment over both the short and long run. Findings suggest also that oil price has positive and significant in all three models in the long run and the oil price coefficient is higher in oil-related industries than non-oil-related industries. These results are the opposite of the results obtained by similar studies, which can be due to the special features of countries, e.g. being oil exporters or oil importers

Studying the Moderating Role of Audit Committee Independence in the Relationship between CEO Narcissism and Real Earnings Management

تعداد بازدید : ۴۹ تعداد دانلود : ۳۴
A manager’s personality and psychological attributes may influence his or her performance, thereby affecting the quality of financial reporting by companies. On the one hand, today there is an increasing requirement for protecting the interests of investors as providers of investment and the most important group of accounting information and financial report users. The development of audit committees is among the mechanisms expected to be effective in protecting the interests of different groups of accounting information and financial report users. In order to act effectively, an audit committee must be independent. Therefore, the present study aims to examine the role played by the independence of audit committee members as a quality of an audit committee to identify how it may moderate the relationship between managers' narcissism and real earnings management in the firms listed in the Tehran Stock Exchange (TSE) using a statistical sample consisting of 642 observations (year-firm) over the period 2013-2018. The findings obtained through hypothesis testing using statistical analysis of panel data suggest that independence of audit committee members does not moderate the relationship between CEO's narcissism and real earnings management through abnormal cash flow, real earnings management through abnormal production, and real earnings management through abnormal discretionary expenses. Thus, the independence of audit committee members as a moderator cannot moderate the relationship between CEO's narcissism and real earnings management

Offering Catastrophic Risk Management Framework by Alternative Risk Transfer Instruments to Islamic Capital Market with Cat Takaful (CT) Sukuk

تعداد بازدید : ۴۴ تعداد دانلود : ۳۱
Out of 64 possible catastrophic events in the whole world, about 34 of them have been experienced in Iran; more than 80% of the regions are exposed to natural disasters risks such as earthquakes exposure. Domestic insurance capacity does not cover this volume of risk and the need for external reinsurance capacity is always felt. Catastrophe bonds structure as a financial & insurance innovative solution (Alternative Risk Transfer Instruments) allows an issuing institution to transfer catastrophic exposures and risk to capital market's investors by creating capital relief and additional risk capacity for our insurance industry. We adjusted the formal cat bonds structure with the Islamic jurisprudence. According to the systematic review research method 8 steps, the Sukuk model was implemented based on the extracted concepts from 23 Farsi articles and 50 English articles. After that interviews by 18 experts who were selected by purposive & Snowball sampling, The Delphi method was used to obtain the opinion of experts and their opinion was modified and implemented in the final model. In the open coding stage, 415 concepts were extracted which were classified into 10 categories and finally presented in 4 Propositions/themes. The trustworthiness and authenticity did base on the four-stage model of Lincoln and Guba and also its complementary step. We finally suggested that the catastrophe bond instrument could be issued in the form of a cat takaful (CT) sukuk contract template, as a solution for transferring catastrophic risks to the Islamic financial market.

Developing a Strategy for Buying and Selling Stocks Based on Semi-Parametric Markov Switching Time Series Models

تعداد بازدید : ۲۹ تعداد دانلود : ۲۸
The modeling of strategies for buying and selling in Stock Market Investment has been the object of numerous advances and uses in economic studies, both theoretically and empirically. One of the popular models in economic studies is applying the Markov Switching models for forecasting the time series observations based on stock prices. The semi-parametric estimators for these models are a class of popular methods that have been used extensively by researchers to increase the accuracy of estimation. The main part of these estimators is based on kernel functions. Despite the existence of many kernel functions that are capable in applications for forecasting the stock prices, there is a widely use of Gaussian kernel in these estimators. But there is a question if other types of kernel function can be used in these estimators. This paper tries to introduce the other kernel functions that can be a good replacement for this kernel function to increase the ability of Markov Switching models. We first test six popular kernel functions to find the best one based on simulation studies and then offer the new strategy of buying and selling stocks by the best kernel function selection on real data.