فصلنامه دانش مالی تحلیل اوراق بهادار
سال شانزدهم شماره 58 (تابستان 1402)

One of the most important challenges for Islamic financial engineers is to pay attention to the differences between religions in Islamic countries, including Iran, and plan to discover the differences, resolve legal ambiguities, and finally lay the groundwork for increasing public participation in various financing projects. The importance of the present research is to resolve the legal ambiguities and doubts in order to increase participation in the financing of Mudarabah bonds. The lack of financial research in Iranian Sunni jurisprudence in connection with the issue of Mudarabah bonds, the population and the high economic and development potentials of Iranian Sunnis, as well as the potential ability to participate in various financing projects by this special segment of the Iranian society, from It is one of the necessities of conducting the present research. . Therefore, in this research, with the aim of reducing the jurisprudential doubts of the Iranian Sunnis, from the two perspectives of Shafi'i and Imami jurisprudence, the Mudarabah papers were examined and analyzed jurisprudently, in order to clarify and resolve its jurisprudential ambiguities, in fact, the present study seeks to answer this question. What are the similarities, differences and the percentage of jurisprudence and difference in Mudarabah papers based on the standards of Imamiyyah and Shafiiyyah jurisprudence. The main approach in this research is a comparative approach. In order to analyze and issue jurisprudence in Imami jurisprudence, the document analysis method (documents and approvals of the Jurisprudence Committee of the Stock Exchange Organization) has been used, and in connection with Sunni jurisprudence (Shafi'i jurisprudence), in-depth interview and focus group methods have been used, a statistical sample It includes 9 experts of Shafi'i jurisprudence. The results of the research show that the similarities and common points of jurisprudence are very high and the percentage of jurisprudence and jurisprudence in the two jurisprudence systems of Imamiyyah and Shafiiyya in relation to Mudarabah papers is at a very high level (100%), which is important. It can be the basis for increasing the participation of Iranian Sunnis in projects related to Mudarabah bonds and other Islamic securities issued in Iran.

One of the most difficult decisions for private/intuitional investors of stock exchange market is finding the best combination of shares (portfolio) which meets their financial expectations. Therefore, a systematic performance evaluation of companies in stock exchange is a critical prerequisite for their investment. By developing a combined multi, criteria decision analysis (MCDA) approach; this research aims to help investors in evaluating Tehran stock exchange industries. To this regard, after determining the weight of the five main criteria in financial performance evaluation of the stock exchange listed companies using analytical network process (ANP), WASPAS, PROMETHEE II and ELECTRE III methods, the listed industries in Tehran stock exchange were ranked during a 10 years period (2011 to 2020). Next, the results of the applied methods combined for each year using Borda aggregating method and the ranks of the industries in each year were calculated. Finally, using Spearman's rank correlation coefficient, the outputs of the applied methods compared with the rank of Borda method. According to the results, ranking of the ELECTRE III method has the highest correlation with Borda method. Therefore, ranking of the ELECTRE III method selected as the best ranking.

Traditional models do not have sufficient ability to predict the return on investor portfolio due to changes in the external environment (systematic risk) and the internal environment (non-systematic) and this is mainly due to the identification of the explanatory variables and the experimental design of the model.Therefore, the present research, while explaining this issue and in order to adjust the uncertainty problem of the model, by averaging all the models (Bayesian averaging), has determined the effective risks on stock returns in Iran.The present study expresses this failure in identifying explanatory variables and empirical model design. The statistical sample of the research includes 138 listed companies in the period 1390 to 1399.In this study, 62 risks affecting stock returns in the form of 31 indicators in the field of systematic risk and 31 non-systematic indicators entered into nonlinear Bayesian models with time-varying parameters.The results show that among BMA, TVP-DMA, TVP-DMS, BVAR and OLS models, the TVP-DMA model is the most efficient model. According to the TVP-DMA model, 10 non-fragile risks include systematic risks (real GDP growth rate, unofficial market currency, inflation rate, interest rate) non-systematic risks (instantaneous ratio, liabilities, cash flows from operations, return on equity, debt ratio, and price-to-earnings ratio) as the most important risks affecting stock returns. All the mentioned risks, except interest rate and debt ratio, have a positive effect on stock returns.

The issue of efficiency evaluation is one of the most important challenges facing managers in the dynamic and vital banking industry. Due to the very important and fundamental role of banks in most economic activities, the study of bank efficiency has a special place. Models based on data envelopment analysis had wide applications in the field of measuring and evaluating the efficiency of banks. In this study, we tried to add other assumptions to the traditional model of data envelopment analysis, using a model that is more consistent with the real conditions related to decision-making units and calculates the efficiency more accurately. In designing the data envelopment analysis model in the present study, attention has been paid to the networking and internal relations of each decision-making unit, undesirable output, involuntary input and the fuzzy nature of the variables. After developing the model with the mentioned assumptions, first, based on reviewing previous studies as well as field studies and obtaining opinions from industry experts, indicators considered as input and output. After identifying the indicators, fuzzy Delphi method used for initial screening of the identified indicators from the research literature. After the initial approval of the indices, the indices analyzed using the confirmatory factor analysis technique. Finally, the research model solved using data collected by GAMS software and with alpha-cutting approach. The results show that out of 38 branches examined, 8 branches are efficient and another 30 branches are inefficient.

Correct and fair options pricing has always been one of the challenges faced by financial researchers and investors. For this purpose, several models have been designed and tested for the pricing of option bonds. All these models have used the past information of the stock price for the pricing of the corresponding option, and the information content of the price from the index trend of market has not been paid attention to. In the current research, the option pricing model is evaluated based on the information content of the market index under the title of information-oriented model, and its performance is compared with the basic Black-Scholes model.The statistical population of the research includes the companies listed in Tehran Stock Exchange during the years 2016-2020, whose price and yield information along with market index values ​​were collected with monthly frequency during this period. To compare the fair valuation of options under the two methods of Black-Scholes and the proposed method of this research, first the stocks with information content from the market are identified through the estimation of the information transfer rate parameter, and then the value of the options for each share during a one-month maturity period is identified, and it was estimated based on two pricing models Black-Scholes and information-oriented.The results showed that the information-oriented model provided a more correct evaluation of the value of options and, therefore, provided a fairer valuation than the Black-Scholes model. According to the findings of the research, the ratio of profitable transactions under the information-oriented model was significantly larger than this ratio under the Black-Scholes model. The use of environmental and market information in the pricing of capital assets such as shares and options can significantly reduce the investment risk and provide higher profitability for investors.

The importance of volatility in financial markets is that sharp price fluctuations in markets lead to a decrease in public confidence and, as a result, reduce the demand for investors in the market, and this will reduce economic growth in the future. Had. The purpose of this study is to investigate the effect of daily price fluctuations, liquidity and the effect of magnetism on the temporary cessation of trading on the Tehran Stock Exchange. In this study, to test the relative effectiveness of the symbol stop and the price fluctuation limit, the changes in the mean from the pre-event period to the post-event period have been investigated. 600 trading interruptions and 1149 price fluctuations of 120 selected companies by elimination sampling method during the period 2010-2020 have been investigated. The statistical test of the research performed using SPSS software. The results show that the factor of daily price fluctuations, liquidity and the effect of magnets on the stoppage of trading and the development of research models with this factor and the formation of corresponding modified models, improves the performance of those models in explaining stock stops.

Studying and analyzing the behavior of fluctuations in the return of securities requires the discovery of a behavioral pattern of stock returns that Based on this model, shareholders are able to choose the best stocks by evaluating their stocks and other stocks in the market, and as a result, they can decide to keep, sell or replace the stocks. The main purpose of this study is to study and analyze the behavioral patterns of stock market fluctuations to show different characteristics of different layers, appropriate strategies with different horizons and evaluate the level of economic activity of investors. In this research, using discrete wavelet transform with maximum overlap in MATLAB software, stock market fluctuations in different time periods are examined and analyzed; For this purpose, Return variances of effective stock market indices during the years 2011-2020 are compared and analyzed.The results of the research showed that the wavelet variance of the total index is lower in different scales compared to the wavelet variance of the cash return index,also the wavelet variance of the stock return is more than the moving average of the stock return. According to the movement scales of each of the stock returns and the moving average of the stock returns during the long-term scales,the wavelet variance was less and the co-movement was less, but during the short-term time scales, the co-movement increased and the variance of the wavelet return was higher among them. In the end, it was suggested that investors formulate their investment strategies in a dynamic and intelligent manner according to the analysis of the behavior of the fluctuations of total indices, price and cash yield and their moving average in different time layers.

The main goal of this research is to present the behavioral model of momentum and random investors in the Iranian stock market and to estimate the factors affecting it. In this way, the antecedents and consequences of the financial behavior of momentum and random investors can be compared. Applied research has been done in a mixed method. Qualitative part of foundation data theory and quantitative part of structural equation technique. The data collected through semi-structured interviews and questionnaires, theoretical sampling continued until the categories were saturated, and interviews conducted with 24 Momentum and Random investors. Then, based on the theoretical systematic approach of Strauss and Corbin in the three main steps of open coding, central coding and selective coding, the behavioral model of both types of investors presented in terms of components, antecedents and consequences. In the following, research hypotheses formulated and tested in the quantitative part of the hypotheses. The results indicate that among the causal conditions of momentum investors' behavior, individual factors, psychological factors of the market, investor's feelings during the transaction and news and information have a significant effect. In addition, among the causal conditions of random investors' behavior, demographic factors, mental and emotional states and conditions, shareholders' expectations and news and information have a significant impact.

We examine the behavior of institutional investors in response to extreme market fluctuations in the Iranian stock market. Specifically, we examine whether institutional investors engage in herding and follow the market, or are contrarian traders and provide liquidity during market turmoil. We examine the relationship between institutional investors' ownership percentage, stock returns, and volume in severe market fluctuations. We also explore the relationship between institutional ownership and stock returns for different types of institutional investors, including insurance, mutual fund, and investment companies. Using the daily data of listed companies from 2009 to 2019, we find that institutional investors trade against the direction of the market during market turmoil and provide liquidity for stocks in which they are a blockholder or the controlling owner. We find no evidence of herd behavior among institutional investors.

In this study, we seek to investigate the effect of financial stability and fluctuations in the value of the national currency on the efficiency of Islamic banking in recession and boom regimes. For this purpose, the effect of study variables during the period of 1373 to 1400 is investigated by using the rotation model and Markov switching regime change. The estimation results of the model show that the coefficient of financial development is positive in the prosperity regime. The coefficients of the variables of weakening the value of the national currency in both recession and boom regimes, liquidity and global financial and oil crises have also had a negative impact on the yield of bank contracts in the recession regime. The artificial pricing of the exchange rate in the years before the crisis and preventing its adjustment according to economic conditions is one of the main reasons for the recent fluctuations in the value of the national currency. Thus, as the growth of the exchange rate has increased, the policy makers have tried to control the growth of the exchange rate and prevent its increase by reacting more to it. Meanwhile, the reaction to exchange rate deviations has led to a further weakening of the value of the national currency. As the fluctuations in the value of the national currency increase, the amount of investment in the production sector has decreased and the production situation and the efficiency of the contracts have also worsened.