فصلنامه بورس اوراق بهادار
پیاپی 22 (تابستان 1392)

The Objective of this research is to study the Impressibility of stock market from erratic growth of liquidity during a quarterly period of time from 1999 to 2008. For this reason, in addition to the theoretical analysis of the topic, the effects of research topic through time series analysis by using GARCH models and OLS technique will be studied. The research results indicate that growth of liquidity and erratic growth of liquidity have meaningful effects on total index of stock market (total price index of stock market), Therefore, 1% increase in the growth of liquidity, Would increase 0.66% total index of stock market and 1% increase in the erratic growth of liquidity Would decrease 0.028% total index of stock market. The interest rate does not have a meaning full effect on total return of the stock market too.

Capital accumulation as the driving force for economic growth and development of the macroeconomic policy is important. The process of capital accumulation in econom depends on factors such as increasing the volume of savings from internal and external sources and the optimal allocation of resources through a good governance system. It is long time that complexities related to the conflicts of interest between shareholders and managers on one hand and the effects of firm’s performance on stackholders on the other hand, have attracted attention to find a suitable model. Today, experts believe that the best approach to solve this problem is in improving corporate governance.The purpose of this research is to rate corporate governance of firms listed in Tehran Stock Exchange and investigate the effect of that on the corporate performance. To proxy the quality of the governance, we propose the construction of a governance index for the companies selected in the sample. This governance index includes 25 different corporate governance criteria. These criteria are grouped into three governance category indices, which are then combined to produce a single overall index. These three categories are transparency, board structure and ownership structure.For this purpose, information related to 90 companies in the year 2009 were analyzed, using regression methods and the research hypothese was tested. The results showed that there is not a meaningful relationship between the quality of governance and corporate performance.

In this study, we first defined the factors which have impacts on separation of unsuccessful companies, then presented an optimal model for anticipating the financial performance of these companies. So, we selected all listed companies of the Tehran Stock Exchange since 2001(except investment and service companies) and tried to test the companies by their financial indicators and statistical differences. The findings of this study showed meaning ful differences of financial information of these two kinds of companies and provided a good condition to present the insolvency prediction model.

The highest price in last 52 weeks is a type of momentum strategy that uses reference points to determine investment strategy. This study investigates the relationship between the highest price in last 52 weeks as a reference point and the stock prices with use of daily stock return and the highest price in last 52 weeks. To examine this hypothesis, we used regression method with panel data of 272 listed companies in Tehran stock exchange. The period of research is between 2004 to 2011.The results indicate that there is significant relationship between the highest price in last 52 weeks and daily stock return in Tehran stock exchange. When good news cause stock prices achieve to the highest price in last 52 weeks, optimistic feeling in market lead to increase recent trends pursuit behavior and improve momentum effect or the highest price in last 52 weeks effect, consequently.

The dynamics of sustained growth and profitability forces the corporations to find out the relationship between their growth and profitability. The main objective of the study is to evaluate the effect of company's growth on profitability and the interaction between them. To achieve the purpose and following a two stage cluster sampling, 40 companies listed in Tehran stock exchange, have been selected from pharmaceutical, chemical, sugar free foods, and sugar industries for the period of 2004 to 2010. Data analysis was done by a vector auto-regression (VAR) model and using dynamic panel system GMM estimator with the help of Eviews5 software. The results showed that the market share has a positive impact on profitability, while the increased sales’ growth rate in the current year and the Past year's and debt leverage have not a significant relationship with profit in the current year. Moreover, the last year's profit and market share have a positive impact on the sales’ growth rate in the current year, whereas profitability and debt leverage in the current year have not a significant relationship on sales growth rate in the current year.

Investment companies and mutual funds as financial institutions that help amateur investors to invest in securities indirectly, have common specifications. For example, professional management and risk management via portfolio formation could be seen in both institutions. Also, it is expected to manage nonsyematic risk by both of them. the question is that which of two institutions has more appropriate performance. The objective of this research is conducting a comparative study on risk and return of mutual funds and companies and calculating the risk-adjusted return of these two institutions using Sharp and Trainor criteria. For this purpose, in the time period of March 2009 to March 2012 the obtained results regarding calculated ratios for mutual funds and companies were studied. According to the obtained results calculated by t-test, performance of mutual funds is assessed to be better than investment companies based on Sharp criterion. However, based on Trainor criterion where excess return is adjusted with Beta Index, no meaningful difference has been observed between the two institutions.

In this article, we compare the operation of parametric and semiparametric multivariate GARCH models portfolio including TEDPIX, DJIA, and Nikkei 225 in order to estimate the value at risk. To surmount the problem of parametric models which ignore the information existing in standard errors, we use semiparametric models. Therefore, after estimation of conditional covariance matrix using parametric multivariate GARCH models, we calculate standardized errors by kernel regression estimator nonparametrically. Semiparametric covariance matrix is obtained by combination of parametric covariance matrix and nonparametric residual matrix, then with parametric and semiparametric covariance matrix estimated the value at risk and evaluated the result. The result represents the excellence of semiparametric to parametric in value at risk estimation.