نشریه چشم انداز مدیریت مالی
پیاپی 39 (پاییز 1401)

One of the important factors affecting the participation of investors in the stock market is the existence of information about the trends and price volatility of this market. In the past years, the economic sanctions and the Covid-19 epidemic have affected the Iran stock market. The continuous decrease of the stock market index is one of the consequences of volatility persistence waves caused by these events. Some financial theories have shown that the decline in stock prices can be caused by the existence of a unit root in the volatility of the market's price returns. In this research, the hypothesis of the drop in stock prices due to the presence of a unit root in the volatility was investigated with the data of the Tehran Stock Exchange index between 2016.September.21 to 2022.March.19 and using the stochastic volatility model introduced by Su and Lee (1999). The findings of this paper indicate that the posterior estimate of the coefficient of ϕ in the Stochastic volatility model is equal to one, therefore, it is not possible to reject the inappropriate performance of the market and the hypothesis of the fall of the Tehran Stock Exchange index as a result of the volatility persistence.

With the separation of ownership and management, the corporate governance system is a good tool in the hands of shareholders to reduce agency costs. Developing the literature in which agency cost is calculated by the absolute amount of cash flow or its interaction with growth opportunities, we measure it with a model-based approach. The second innovation is the adjustment of Tobin`s Q with inflation. Agency costs have been measured in 6 different proxies and their impactability from corporate governance has been analyzed with the mediating role of debt and dividend ratio. The data of companies listed on the Tehran Stock Exchange and Iran Fara Bourse except for financial intermediary companies in the period 2006 to 2020 have been analyzed using structural equations modeling and due to the non-normality of data, its variance-based approach, partial least squares (PLS) method is used. According to the results in all models based on one of the 6 proxies of agency cost, corporate governance has a positive effect on the dividend ratio and secondly, the debt ratio reduces agency costs. In the model-based approach, unlike other measures of agency costs, the path of corporate governance on dividend and dividend on agency costs was confirmed. Because of the impact of the debt ratio on model-based agency costs, shareholders must adjust the debt ratio leading to lower agency costs.

liquidity of financial markets have been different over time. Unpredictability of liquidity in these markets is a crucial source of risk for investors. The illiquidity of the financial market through financial channels can affect the real economy. The present study analyzed the relationship between financial market,s illiquidity shocks and macroeconomic dynamics by using Time-varying parameter vector autoregression (TVP-VAR) model and using quarterly time series data between 3:1387 and 4:1399. In order to achieve this goal, the Amihud index (2002) has been used to calculate the illiquidity variable. The results of the study indicate that the reaction of production growth to the illiquidity shock is negative and decreasing. Also, illiquidity shocks have an increasing effect on inflation, and the effect of liquidity growth on these shocks has been accompanied by a relative increase. Finally, the impact of the stock market illiquidity shock on the unemployment rate was increasing at the beginning of the period, and this effect decreased at the end of the period.

The purpose of this study is to investigate the relationship between changes in new communication technologies and fluctuations in the Tehran Stock Exchange index (or market risk). The issue is important because the development of financial markets and its impact on cyberspace and the field of information and communication technology, on the one hand can cause fluctuations and consequently abuse for some, and on the other hand can raise awareness and provide Proper information to reduce fluctuations, and therefore the subject requires proper management and the establishment of correct and efficient laws in this area. To answer the main question of the research, data of information and communication technology and stock price index fluctuations. have been used as the main variables and price fluctuations in the goods and services market, exchange rate fluctuations, gold price fluctuations and crude oil price fluctuations as control variables during The time period of 1991-2020 has been used. the results obtained from the ARDL method indicate that the ICT index has a negative and significant effect on the stock market fluctuations. In other words, the improvement of the ICT index over the past years has reduced the fluctuations of the stock market. Therefore, by properly managing and improving the performance of ICT indicators, the risk of financial markets can be reduced and fluctuators in the market can be prevented from being abused. The effect of control variables has been evaluated.

Interval-valued forecasting is related to predicting an interval that is determined by two random variables. In the present study, using the neural networks method, the interval related to the lowest and highest daily prices is predicted and then based on it, a daily scalping trading system is formed, including buying and selling in the forecasted amounts. To reduce the risk of the trading system and increase the number of trading positions, the optimal daily scalping trading portfolio is developed in the mean-variance framework. The sample portfolio includes five shares of the Tehran Stock Exchange in a 190-day period, taking into account trading costs, shows that the average daily return is 0.0028 and the Sharpe ratio is 0.6379, which is better than the Sharpe ratio of individual daily scalping trading of portfolio assets. The daily average of the total index in the research period is 0.001 and the Sharp ratio is 0.0835, which shows that the trading system has a much better performance than the buy and hold strategy.

Food and drink industry has a main share in capital market and a considerable role in stock market transactions through the collection of community micro-savings. Hence, the cruicial aim of this paper is to investigate the effects of nominal exchange rate volatility and entry of real shareholders on the return on assets (ROA) in the 44 food and drink companies of Tehran stock exchange as a export oriented companies during the period of 2011-2019. For achieving this, by using of Panel GARCH method, the exchange rate volatility has been estimated and then, the impacts of this variabble with other explanatory variabbles such as entry of real shareholders, profit margin, capital and interest rate to the operational profit, have been examined on return on assets in these companies. The empirical results of model estimation by GMM estimator revealed that the exchange rate volatility has negative and entry of real shareholders has positive and significant effect on the return on assets. Moreover, the auxiliary variables like profit margin, capital and interest rate have positive, positive and negative effects on the return on assets. By results of this study, we can suggest that the financial policy makers with decreasing of exchange rate volatility through control of domestic prices and capital market stabilization policies, motivate real shareholders to enter the capital market and increase the production and profitability of food and drink companies.

One of the most fundamental problems in investment decisions and portfolio optimization is choosing a suitable measure for risk assessment and management. In this study, the performance of the krill herd Algorithm is investigated for solving the mean-value at risk and mean-conditional value at risk portfolio optimization models considering the cardinality constraints, among 35 active companies in Tehran Stock Exchange. For algorithm training, the roller window method has been used in 2011-2018 and 2012-2019. The Sharpe ratio and the conditional Sharpe ratio of the models have been evaluated and they are compared using the Wilcoxon test. According to the numerical results, the mean–conditional value at risk model outperforms the mean–value at risk model in terms of the rate of return. Also, the model’s profitability improved using cardinality constraint with 5 stocks. Based on the empirical studies, we concluded that there is no significant difference between the performance of the value at risk and conditional value at risk based models. Furthermore, the portfolios with lower number of stocks have shown the better performance.