فصلنامه دانش مالی تحلیل اوراق بهادار
سال پانزدهم شماره 53 (بهار 1401)

In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Some of them are widespread and global. This paper examines the volatility of cryptocurrencies, with particular attention to their potential long memory properties. Three different long-memory methods (R/S analysis, fractional integration and fractional GARCH extensions) are used to analyze it in the case of the four main cryptocurrencies (BitCoin, Ethereum, LiteCoin and Ripple) over the sample period January 2013– November 2019. Our results are twofold. First, R/S method is prone to detect long memory whereas the findings of ARFIMA and GARCH type models indicate that in the case of two examined cryptocurrencies (BitCoin and Ethereum), long memory exist (there is a positive correlation between its past and future values). Such predictability represents evidence of market inefficiency in their markets: trend trading strategies can be used to generate abnormal profits in these markets. Although our findings show that returns of Litecoin and Ripple don’t have a significant long memory.

In emerging capital markets, the inability of investors to analyze financial information, scarcity of information, as well as the impact of macroeconomic and political factors on financial markets, causes the investor to focus on market excitement and the behavior of other investors. The emotional and herd behaviors of investors are the source of the emergence of various anomalies such as price bubbles and the formation of sharp fluctuations in the market. Managers also have behavioral biases such as overconfidence, myopia and narcissism, which leads to a favorable image of the business and delays in presenting bad news, resulting in stock price bubbles. Accordingly, the purpose of this study is to investigate the effect of biases of investors and managers' behavior on the stock price bubble. The research sample included 129 companies listed on the Tehran Stock Exchange in the period 1392 to 398.To test the hypotheses, multivariate regression method with combined data was used.The results show that investors' behavioral distortions (emotional and herd behavior) increase the gap between the intrinsic stock price of the company and its value set by investors and lead to the formation of stock price bubbles. Managers' behavioral biases (overconfidence myopia and narcissism) also lead to the emergence of stock price bubbles.

With the increasing changes of markets and fluctuations in stock returns under the sometimes unbalanced economic conditions of countries, creating balance and stability is considered as an effective strategy to attract investment for economic development. But economic challenges are not necessarily the only basis for developing corporate sustainability at the capital market level. Focusing on violating social norms and stakeholders' need for more transparent access to information for investment is also an important part of focusing on developing sustainable reporting functions. The purpose of this research is developing a Sustainable Reporting Function Based on the Anomie of Social Pressures by Intuitive Fuzzy Analysis. In terms of purpose, this research is part of developmental research, because due to the lack of a basis for the existence of anomie social pressures and sustainable reporting in previous research, based on the meta-analysis, in the first step, an attempt was made to identify the components as the analytical basis of the research and the propositions as the decision variables. Then, in order to explain the identified components and propositions, at the level of the capital market, in a small part, intuitive fuzzy Vikor analysis was used to determine the most effective sustainable reporting function based on the anomie of social pressures. In this study, the target population consisted of two parts: qualitative and quantitative. In the qualitative part, with the help of 15 accounting experts at the university level, an attempt was made to identify the research components, components and propositions in the form of scoring forms. In a small part, 20 managers of the top 50 companies of the Tehran Stock Exchange in 2019 were selected to participate in the research. The results showed that the normative anomaly of stakeholders is the most effective factor for the development of sustainable corporate reporting functions. In fact, the result of this study reflects the fact that the normative anomie of stakeholders is the most effective factor affecting sustainable reporting functions and is a stimulus for sustainable socialism as the most effective sustainable reporting function at the level of capital market companies.

Recognition and functioning of warehouse receipt is one of the legal issues that was not studied in Iran’s law. Therefore, in this article firstly recognition and legal nature of warehouse receipt and secondly functioning of this instrument in Iran’s and US law were considered. Historically, warehouse receipt has entered in Iranian law’s litreture since 1961. Although, merchants have used aforesaid instrument prior sch time. In Iran’s law, this instrument has the collateral role. After submission of the commodity to the public warehouse, stockman is obliged to issue the warehouse receipt. This instrument is the proof of title of the commodity and it could be trasfered to the third party through endorsement. In Federal legal system and US Uniform Commercial Code, this instrument has the collateral, endorsable and bearing role. Warehouse owner may select one of the Federal and/or state regulation. In local level, it is possible not to meet unified procedure in warehouse receipt issue. Although, several states supervise on warehouse directly.

Successful implementation of appropriate portfolio of related projects with taking advantage of private company capabilities, is one of the progress indicators in each country. Build - Operate - Transfer contracts as a branch of Public - Private Partnerships are also one of the popular tools to respond to government fund deficiencies in infrastructure projects. In this paper, the whole investment process is set based on self-financing. For selection and time schedule favorite of the project portfolio, a two - way mathematical model with sustainability goals by considering risk, resource constraint, optimal project, interdependence among projects and the flexible time horizon strategy is presented. Also, the main contribution of this paper is considered on maximizing the social benefits of stakeholders. To solve the model, the epsilon constraint method in small and medium size and metaheuristic method of multi - objective genetic algorithm in large size is used. Finally, the main project decision makers determine the cost of the project by selecting the optimal value.

The debate on the direction of causality between financial development, trade liberalization and economic growth has been comprehensively growing since 1980s in theoretical and empirical literature. The existing literature provides conflicting views of this relationship. Many economists believe that neglecting the effects of financial sector and trade openness on economic growth will provide us with incomplete picture of the growth process.For this reason, the purpose of this paper is to empirically investigate the impact of financial development and trade liberalization on economic growth of selected countries including Iran. we have studied countries based on the IMF Income classification in two groups: emerging markets and middle-income economies, low-income developing countries. Cointegration approach and generalized method of moments Difference estimation (DIF-GMM) are used, in this paper, to investigate the relationship between variables.The results indicate that financial development is positively significantly determining economic growth in all groups. Morever In emerging markets and middle-income economies, trade liberalization (in form of reducing tariff and non-tariff barriers) has positive and significan impact on economic growth. We also found that The good performance of the financial system reinforces the effect of trade liberalization and vice versa.

This scientific research aims to study the strengthening and limiting role of effective factors on fraudulent behavior of opportunistic companies in order to change the profit and risk management. The purpose of present research is to delineate the role and importance of overconfidence of managers, quality of auditing and political relationships on influencing process of fraudulent behaviors upon risk and profit management of companies in order to control. The effective factors in This regard. The statistical society consists of listed companies in Tehran stock Exchange and statistical sample consists of 152 companies by using financial information of 2011-2021 time period. Hypotheses have been tested by using multivariate linear regression model and data have been analyzed by panel date analysis. findings indicate in addition to significant positive relationship between fraud incident and risk and profit management, political relationship and quality of auditing have negative moderating effects and managerial over confidence results in increasing intervening effect on positive relationship between fraud and risk and profit management..

Access control in the blockchain network is one of the challenges we face with the growth of the blockchain network. In the blockchain network, the set of financial activities of users that require a digital signature is performed, this information is stored in the blockchain server. Manually signing digitally and verifying the authenticity of transactions is a time consuming and user-friendly process and is one of the reasons why blockchain technology is not fully accepted. In this paper, a new method is proposed based on a combination of clustering and classification methods. First, the data is labeled using the clustering method and then the labeled data is used to teach the SVM algorithm to determine healthy transactions. The proposed method is a machine learning method for access control that automatically blocks blockchain transactions and detects abnormal transactions. In order to evaluate the proposed method, atrium data have been tested and analyzed. And with the help of KMEANS clustering algorithm and machine vector support method, healthy transactions are detected from suspects, which shows the ability to identify with 89% accuracy

Sukuk is one of the new tools growing in Islamic financing. This study aimed to identify the dimensions of sukuk risks using Fuzzy Delphi (FD) technique and by creating a conceptual model of DEMATEL to investigate the type of relationship and penetration power and dependence of Sukuk risk factors. The new aspect of this article is identifying the dimensions of Sukuk risk based on FD and innovation of the present study, in identifying the risk components and designing an interpretive structural model in creating a conceptual model and investigating the relationships between the research components using DEMATEL. The statistical population consisted of 15 financial experts. The identified factors are credit risks, interest rates, prices, liquidity, base assets and sharia. Analysis of penetration power and dependence of risk dimensions shows that credit risks, interest rates and liquidity are the most influential and sharia risks are the most effective dimensions and have the most interaction with other risk dimensions.

Cultural hegemony as a mechanism for the domination of the values considered by those in power today is not limited to large systems of government but also in the arteries of the functions of economic systems; Political; Social and ... has infiltrated and upset the balance in the level of protection of the interests of the majority groups that are not dependent on any power. Cultural hegemony by penetrating the capital market has somewhat disturbed the balanced values and information symmetry as the basis of the free circulation system in the market and has caused uncertainty about the functional functions of companies in protecting their interests. The Purpose of this research is the effect of cultural hegemony to protect the interests of shareholders by moderating role of social pressure tests stakeholders. In this study, which was conducted in the period of one year in 2018-2019, the collection tool included two parts of a questionnaire and the data disclosed in the financial statements of Tehran Stock Exchange companies. In fact, in order to improve the level of innovation in the relationship between judgmental and quantitative processes in accounting research, a standard questionnaire was used to collect data on cultural hegemony and social pressures and entropy analysis method was used to collect data on stakeholder protection. Finally, partial least squares analysis (PLS) was used to fit the model. The results showed that cultural hegemony has a negative and significant effect on the protection of shareholders' interests but the result of the second hypothesis of the study showed that the social pressure of stakeholders moderates the negative impact of cultural hegemony on the protection of shareholders' interests.

The purpose of this study is to determine the effectiveness of testosterone on the decisions and attitudes of investors. The research method is experimental with pre-test-post-test design with control group. The statistical population includes all accounting students of the Islamic Azad University of Tehran who have worked in the stock market for one year. Then, available at Azad University of Tehran, Markaz and Damavand Branches were selected as a sample and after screening, 80 people were selected as a sample and randomly assigned to two groups of 40 (experimental and control). Testosterone was injected for the experimental group and placebo for the control group. The instrument used by the researcher was the validity of a formal and content questionnaire and Cronbach's alpha test was used for reliability. Finally, the data were analyzed by covariance test. The results showed the effect of testosterone on investor decisions and attitudes.

Since portfolio optimization models are based on past information, the efficiency of these models has always been questioned. In this study, first, an optimization model based on investor views is introduced and then the performance of all optimization models are compared with the performance mutual funds to both measure the effectiveness of these models and to achieve a practical model for this purpose. The research period is between 2016 and 1400 and MATLAB software has been used to obtain the optimal portfolio. The results show that using different evaluation criteria, the optimal portfolio of Black Literman model performs better than other optimization models and mutual funds; Also, the returns generated by all optimization models at the market risk level were significantly higher than the average returns of equity mutual funds and top mutual funds.