فصلنامه بورس اوراق بهادار
پیاپی 29 (بهار 1394)

This research aims to study the relationship between stock price synchronicity and liquidity. The sample comprises 162 Tehran Stock Exchange (TSE) traded ordinary common stocks over the period of 2000 and 2012. In order to test this relationship, panel data regression method was used. The results showed that there was a positive relationship between the stock price synchronicity and liquidity. Furthermore, the synchronicity was divided to systematic and idiosyncratic volatilities and their relationships with liquidity were evaluated. The results showed a negative relationship between these two variables and liquidity. Robustness tests showed that the change in the number of trading days has significant influences on the results. However, other omitted factors could probably have effects on the results. Morover, different measures for estimating idiosyncratic volatility affect significantly the relationship between liquidity and systematic volatility.

The efficient markets hypothesis has always been one of the most widely criticized theories in the financial literature in recent years on the basis that investors may exhibit irrational and predictable biases mainly attributed to psychological factors. This paper examines one of these biases; Intentional herding. Herding studies in the world mainly are on the basis of cross-sectional deviation of returns and a regression between it and the market return. Because of the obvious weaknesses of this method, this research presents another approach which uses the comparison instead. In addition to Tehran Stock Exchange, and by the assistance of an artificially created market free of herding effects which is the comparison of 27 international indices, we examined intentional herding in Korea and Spain markets and after that we compared the level of this behavior in Iran, Spain and Korea.

Over the last decade, processes with long term memory have been based on time series analyses. Existence of long term memory in stock price index has important applications in market efficiency, asset pricing and choice of portfolio. Accordingly in this paper, macroeconomic factors affecting stock price index are specified, and then the long-run vector is used to VAR model for the period (1369-1390). The results indicate that the real exchange has a positive effect on liquidity, interest rate and inflation but a negative effect on stock price index. Then it has been reviewed in the content of ARFIMA-GARCH model, to investigate the long memory. Finally, according to the estimated equation (ARFIMA (0, 0.24, 1)), that implies to the long term memory in stock price index, if there are shocks in stock price index some effects of these shocks will remain for a long period.

Mutual funds as a financial institution in Iran capital market, is one of the newest forms of collaborative legal structures which despite having some similarities compared to other conventional legal frameworks, has important distinctions too. Legal study of this institution with investigating its foundation and legal relationships and structure, not only helps us explain the legal nature, impacts and consequences of this financial institution but also will help analyze the rights and obligations of its factors and components, particularly its investors. In exploring the legal relations governing mutual fund with regard to legal entity of this financial institution, we came to the theory that each component is an element integrated into a whole legal entity. Trading securities as one of the main activities of mutual funds is considered as dealing real estate property which in the Commercial Law of Iran is known as a commercial operation and accordingly in determining the appropriate legal framework for this operation, we came across the commercial companies in form of stock companies. After surveying similarities and differences, we then reached a special pattern of stock companies with variable capital which can be foreseen by legislator in the new bill of the Commercial Law.

Studies show that there are two dominant models for corporate governance in the world (Anglo- American and continental) Countries follow one of them in accordance with their legal system and economic, social and cultural situation. Each of these models have some defects and virtues and the none of them is chosen as a final model and the tendency towards new corporate governance¬ hybrid governance. The legal system of Iran stock companies conforms with continental model. In this article along, with review and criticize these two models and he existing corporate governance system in Iran stock companies, it has been concluded that dynamic comparative corporate governance model is suitable for Iran.

Interlinking capital markets has always been an interesting issue since it not only provides more investment opportunities but also results in reduction of the risk of market volatility due to increase in the size of market. However، global and local barriers like different currencies، legal issues، settlement risks and costs prevent such interlink age to take place efficiently. In this paper، we propose a model for interlinking capital markets of different countries taking advantage of automatic guideline information provided from the settlement hub to the trading engines. The context data is used in order to take into account and accommodate the above differences and address challenges efficiently. We show that SAMIP (Settlement-Aware Market Interlinking Protocol) can be easily developed، deployed and integrated with current CSD (Central Securities Depository) and trading engines with minimal effort and can drastically reduce the cost and risk of international settlement which consequently can increase the practical volume of international investment. Computer-aided simulations show that SAMIP is viable، practical and does not require costs as much as international CSDs.