فهرست مطالب

نشریه اقتصاد محاسباتی
سال سوم شماره 1 (زمستان 1402)

  • تاریخ انتشار: 1402/12/01
  • تعداد عناوین: 7
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  • سید رضا پورنقی، احمد جعفری صمیمی، فرید عسگری، فرزانه خلیلی صفحات 1-21

    سرمایه گذاری یکی از مهمترین مولفه های رشد اقتصادی به شمار می آید، به طوری که نوسانات این متغیر سبب رونق یا رکود اقتصاد خواهد شد. بر این اساس، از دیرباز نظریه پردازان درصدد تهیه الگویی بوده اند تا بتوانند رفتار سرمایه گذاری را تبیین و مهمترین عوامل تاثیرگذار بر آن را شناسایی کنند. در بین سیاست های اجرا شده در یک اقتصاد، سیاست های تغییر ساختار از اهمیت بالایی برخوردار هستند. از این رو در مطالعه حاضر به بررسی نقش سیاست های تغییر ساختار به عنوان مهمترین سیاست های اقتصادی بر حجم سرمایه گذاری طی دوره 1370 تا 1398 پرداخته شده است. نتایج برآورد الگوی خودرگرسیون با وقفه های گسترده نشان می دهد رابطه بلندمدت بین متغیرهای مورد بررسی وجود دارد و تغییرات ایجاد شده در الگوی سرمایه گذاری طی دو دوره به تعادل خواهد رسید. در بین سیاست های تغییر ساختار، تنها سیاست خصوصی سازی دارای اثر مثبت (غیرمعنادار) بر سرمایه گذاری کشور بوده و سیاست های آزادسازی مالی و آزادسازی تجاری رفتارهای متفاوتی در کوتاه-مدت و بلندمدت بر سرمایه گذاری داخلی دارند. لذا توصیه می گردد در اجرای سیاست های نامبرده نتایج احتمالی آنها از قبل پیش بینی شده و برای جبران اثرات منفی در دوره های مختلف (کوتاه مدت یا بلندمدت) اقدامات مناسب اتخاذ گردد.

    کلیدواژگان: الگوی خودرگرسیون با وقفه های گسترده، آزادسازی مالی، آزادسازی تجاری، خصوصی سازی، سرمایه
  • یونس تیموری، فرامرز طهماسبی، نادر مهرگان صفحات 23-48

    این مطالعه به تحلیل و ارزیابی اثرات اعمال مالیات سود سپرده بر روی حجم سپرده های غیردیداری بانکی می پردازد. در این تحقیق برای تقلیل پیامد محدودیت های، تغییرات نرخ سود سپرده بانکی به عنوان جایگزینی برای مالیات بر سود سپرده در نظر گرفته شده است. اثرگذاری تغییر نرخ سود بانکی بر حجم سپرده های غیردیداری در قالب مدل اقتصادسنجی و با روش خودرگرسیون با وقفه های توزیعی (ARDL) برآورد می شود که در آن اثرگذاری دو متغیر نرخ ارز بازار غیررسمی و تولید ناخالص داخلی نیز تحلیل شده است. نتایج برآورد نشان می دهد تولید ناخالص داخلی حقیقی نتوانسته است بر روی میزان سپرده های غیردیداری به لحاظ آماری اثرگذار باشد. اما در مقابل، نرخ ارز بازار غیررسمی از جمله مواردی است که به صورت معنی دار از لحاظ آماری بر میزان سپرده ها تاثیرگذار می باشد. براساس مدل طراحی شده، میزان تاثیر مالیات سود سپرده بر حجم سپرده های غیردیداری علاوه بر ضریب برآوردی، بستگی به نرخ اسمی سود سپرده در سیستم بانکی و نرخ تورم موجود در اقتصاد دارد. بنابراین با ثابت گرفتن نرخ های مذکور، اثرگذاری اعمال مالیات سود سپرده در سه حالت نرخ مالیات 5، 10 و 3 درصد تحلیل شده است. براساس یافته های مدل، با در نظر گرفتن نرخ سود بانکی 20 درصد و نرخ تورم 40 درصدی برای اقتصاد، اعمال نرخ مالیات 3درصد (10 درصد) موجب کاهش 23 میلیارد تومان (77 میلیارد تومان) سپرده های غیردیداری از نظام بانکی در یک سال می شود.

    کلیدواژگان: مالیات سود سپرده، سپرده بانکی، نظام مالیاتی مبنا، مدل ARDL
  • احسان رجبی صفحات 49-74

    نوسانات نرخ ارز از کانال صادرات و واردات هزینه کالاهای واسطه ای را تحت تاثیر قرار داده، در نتیجه، قیمت سهام و بازدهی شرکت ها تغییر می کند. این مقاله به بررسی اثرات اثر نااطمینانی و بی ثباتی نرخ ارز بر بازدهی سهام شرکت های پذیرفته شده در بورس اوراق بهادار تهران در گروه های صنایع صادرات محور و واردات محور و صنایع کشاورزی و مواد غذایی می پردازد. برای انجام این پژوهش نمونه ای از 165 شرکت از شرکت های پذیرفته شده برای دوره 1390 الی 1398 انتخاب شده است. الگوی واریانس ناهمسانی شرطی تعمیم یافته برای تولید لگاریتم سری های واریانس برای برآورد بی ثباتی ارزی و از واریانس شرطی برای تخمین نااطمینانی ارزی و مدل خود رگرسیون برداری ساختاری برای برآورد تاثیر بی ثباتی و نااطمینانی ارزی بر بازدهی و شاخص قیمت سهام استفاده شده است.
    نتایج درآورد مدل نشان می دهد که بین نوسانات نرخ ارز و بازده سهام در بین شرکت های وارد کننده ارتباط معنا داری و رابطه مثبت وجود دارد ولی در سایر موارد یعنی شرکت های صادر کننده و صنایع کشاورزی و مواد غذایی هیچ ارتباط معناداری بین بازده سهام و نوسانات نرخ ارز در حالت معمول و با یک وقفه زمانی دیده نمی شود.

    کلیدواژگان: بی ثباتی، نااطمینانی، نرخ ارز، صنایع کشاورزی و غذایی، بورس.
  • فاطمه معصومی سوره، محمدرضا ناهیدی امیرخیز، علیرضا بافنده زنده، سید یوسف حاجی اصغری صفحات 75-98

    در این تحقیق سعی شده است به بررسی رفتار بخش های مصرف، تولید و سرمایه گذاری در بازارهای پول و سرمایه ایران پرداخته شود. بدین منظور از داده های سالانه متغیرهای شاخص قیمت مصرف کننده، شاخص بهای تولیدکننده، سرمایه گذاری بخش خصوصی در ساختمان های جدید مناطق شهری و نااطمینانی تورم و ارزش معاملات سهام و عرضه پول استفاده شد و پس از بررسی رفتار هر یک از متغیرها در قالب رفتار مصرفی مصرف کننده، رفتار تولیدی تولیدکننده و رفتار سرمایه گذار برای سال های 1357 تا 1397، با استفاده از روش فیلترینگ هودریک-پریسکات، مدل تحقیق به روش اتو رگرسیون با وقفه توزیعی (ARDL) و الگوی خود رگرسیون برداری (VAR) مورد بررسی قرار گرفت. نتایج حاصل از روش ARDL برای بازار پول نشان داد که در کوتاه مدت متغیرهای رفتار مصرفی مصرف کننده، رفتار تولیدی تولیدکننده و رفتار سرمایه گذار و در بلندمدت تمام متغیرها با عرضه پول رابطه دارند. اما نتایج همین روش برای بازار سرمایه نشان از عدم وجود رابطه معنادار بین هر کدام از متغیرها با ارزش معاملات بازار سهام، هم در کوتاه مدت و هم در بلندمدت، می باشد. نتایج حاصل از VAR برای بازار پول نشان داد که بین عرضه پول با رفتار مصرفی مصرف کننده و رفتار سرمایه گذار یک دوره قبل رابطه معنی دار مثبت و بین عرضه پول با رفتار تولیدی تولید کننده یک دوره قبل رابطه معنی دار منفی وجود دارد و نیز خروجی منتج از همین روش برای بازار سرمایه بیانگر وجود رابطه معنی دار منفی بین رفتار مصرفی مصرف کننده، رفتار تولیدی تولیدکننده و رفتار سرمایه گذار با ارزش معاملات سهام یک دوره قبل دارد.

    کلیدواژگان: فیلترینگ هودریک - پریسکات، رفتار مصرفی مصرف کننده، رفتار تولیدی تولیدکننده، رفتار سرمایه گذار، بازار پول و سرمایه.
  • ابوذر گندمکار، سید نعمت الله موسوی، عباس امینی فرد صفحات 99-126

    رابطه بین تغییرات قیمت واقعی نفت و بازده سهام به عنوان تعامل بین بازارهای مالی حائز اهمیت فراوان می باشد. در این مطالعه به بررسی رابطه بین قیمت نفت و بازارهای سهام در کشورهای عمده صادرکننده نفت (روسیه، نروژ، کانادا، ایران) و واردکننده نفت (ایالات متحده آمریکا، هند، ژاپن) پرداخته شده است. برای این منظور از رگرسیون چندکی و داده های هفتگی از ژانویه 2010 تا ژوئن 2022 استفاده شده است. نتایج مطالعه نشان داد قیمت نفت تاثیر مثبت و معنی داری در تمامی دهک ها بر شاخص سهام در کشورهای روسیه، نروژ، کاناد، آمریکا و هند دارد. این در حالی است که قیمت نفت در 4 دهک اول در شاخص سهام ژاپن و 6 دهک در شاخص سهام ایران تاثیر مثبت و معنی داری دارد. همچنین آماره خوبی برازش نشان دهنده تاثیر قابل توجه شاخص سهام از تغییرات قیمت نفت در کشورهای مورد بررسی می باشد.
    این در حالی است که قیمت نفت در 4 دهک اول در شاخص سهام ژاپن و 6 دهک در شاخص سهام ایران تاثیر مثبت و معنی داری دارد. همچنین آماره خوبی برازش نشان دهنده تاثیر قابل توجه شاخص سهام از تغییرات قیمت نفت در کشورهای مورد بررسی می باشد.

    کلیدواژگان: قیمت نفت، بازار سهام، رگرسیون چندکی، کشورهای صادر کننده و واردکننده نفت.
  • زهرا قربانی، علیرضا دقیقی اصلی، مرجان دامن کشیده، رویا سیفی پور صفحات 127-149

    مقاله حاضر به بررسی عملکرد و مقایسه مدل های گارچ چند متغیره و الگوریتم مارکویتز در بهینه سازی سبد سرمایه گذاری برای سهام های برتردر چهار صنعت منتخب، شامل صنایع منتخب ماشین آلات برقی، استخراج کانه های فلزی، خودرو و ساخت قطعات و فرآورده های نفتی،که دارای بازدهی و ریسک متغیر هستند، برای سال های 1395-1399 می پردازد. براساس نتایج بهینه سازی پویا و میانگین گیری از متوسط اوزان بهینه این چهار صنعت در هر سه مدل، وزن بالاتر به سهام صنایعی اختصاص یافته است که نوسانات کمتری در بازدهی شان وجود دارد. در واقع، اوزان کمتر در بین چهار صنعت به صنایع با نوسانات شدیدتر در بازدهی یعنی صنایع خودرو و ساخت قطعات و فرآورده های نفتی اختصاص دارد. برعکس بیشترین سهم متوسط بهینه از سبد تشکیل یافته در بین چهار صنعت به صنعت کانی های فلزی با کمترین نوسانات در بازدهی تعلق دارد. لذا با توجه به نتایج حاصل شده، هر سه مدل نتیجه یکسانی را برای هر چهار سبد نشان می دهند. لذا در راستای تنوع بخشی به سبد سرمایه گذاری و کنترل ریسک سرمایه گذاری، به سرمایه گذاران توصیه می گردد همبستگی بین روند بازدهی سهام و نوسانات بازدهی سهام دارایی های مختلف قابل نگهداری را مدنظر قرار دهند.

    کلیدواژگان: بهینه سازی سبد سهام، الگوریتم مارکویتز، گارچ چند متغیره، بازار سرمایه، ریسک
  • امیر محمودیان، مریم خلیلی عراقی، حمیدرضا وکیلی فرد صفحات 151-170

    پیش بینی قیمت در بازارهای مالی همواره مورد توجه فعالان وتحلیل گران مالی بوده است. اخیرا روش های مختلفی برای پیش بینی حرکات بازارهای مالی با استفاده از سری های زمانی تاریخی قیمت ها اتخاذ شده اند. با این حال، پیش بینی دقیق قیمت های مالی هنوز یک چالش طولانی مدت است که همیشه رویکردهای جدید را می طلبد0 در این مقاله قصد داریم با استفاده از تئوری آماری ایست بهینه و ارتباط آن با فرآیندهای شاخه ای به پیش بینی زمان خرید و فروش بر اساس قیمت های بهینه خرید و فروش در دو بازار مالی مطرح بپردازیم.برای این منظور بازارهای اونس طلا و شاخص اس اند پی 500 درچارچوب های زمانی کوتاه و بلند مدت بر مبنای یک افق ثابت 20 پیش بینی شده و برای هر یک از چارچوب های زمانی تایم فریم های مختلفی انتخاب شده است. داده های بسته شدن قیمت از سال 1995 تا 2022 در هر تایم فریمی بنا بر مدت زمان خود مورد استفاده قرار گرفته است. نتایج تحقیق نشان می دهد با استفاده از تئوری ایست بهینه در چارچوب زمانی کوتاه مدت، شاخص اس اند پی با 67% وانس طلا با 53% موفقیت در پیش بینی قیمت ها را به دست آورده است..در چارچوب زمانی بلند مدت انس طلا به میزان 85% و شاخص اس اند پی 500 به میزان 68% موفقیت در پیش بینی قیمت ها را داشته است.

    کلیدواژگان: احتمالات کاربردی، تئوری ایست بهینه، فرآیندهای شاخه ای، مدل های شبیه سازی شده، پیش بینی بازارهای مالی
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  • Seyed Reza Pournaghi, Ahmad Jafari Samimi, Farid Asgari, Farzaneh Khalili Pages 1-21
    Purpose

    Investment is considered one of the most important components of economic growth, so that the fluctuations of this variable will cause economic prosperity or stagnation. Based on this, for a long-time theorist have been trying to prepare a model to explain investment behavior and identify the most important factors affecting it. Among the policies implemented in an economy, structural change policies are of great importance. Therefore, in this study, the role of structural change policies (privatization, financial liberalization, trade liberalization) as the most important economic policies on the investment volume in Iran has been investigated.

    Methodology

    In order to achieve the objectives of the study, the autoregression model with extended intervals (ARDL) was used. The required information was received from the websites of Central Bank, Iran Statistics Center and Privatization Organization for the period from 1991 to 2020. The variables of the value of transferred assets and the intensity of trade indicate the policy of privatization and trade liberalization, respectively. The variables of floating exchange rate, foreign assets of the central bank and the value of stock transactions to GDP indicate the policy of financial liberalization.

    Findings

    The results of this research showed that only the privatization policy had a positive (non-significant) effect on the country's investment, and the policies of financial liberalization and trade liberalization have different behaviors in the short and long term on domestic investment. The trade liberalization variable has a positive effect in the short term and a negative effect on investment in the long term. Examining the variables that make up the financial liberalization policy shows that financial liberalization has no significant effect on investment in the short term, and the effect of this policy is significant in the long term. Each of the coefficients of the variables of the central bank's foreign assets, free exchange rate, value of stock transactions to GDP is equal to -0.05, -0.24 and 0.26 respectively. Among the mentioned variables, the free exchange rate and the value of stock transactions have a significant effect on domestic investment. The effect of these two variables on investment is positive (0.02) in the long term, also the total price index variables and the ratio of construction expenditures to current will cause a decrease and the gross domestic product will cause an increase in investment. The value of the estimated error correction coefficient (-0.85) shows that 85% of domestic investment imbalances are eliminated in each period. In other words, the imbalance in domestic investment will be resolved in less than two periods (2 years).

    Conclusion

    The extensive changes caused by the implementation of structural change policies in different countries led to the study of the effects of financial liberalization and trade liberalization policies on the country's investment during the period from 1991 to 2020. The results of the estimation of the autoregression model with wide intervals show that only the privatization policy has a positive (non-significant) effect on the country's investment, and the policies of financial liberalization and trade liberalization have different behaviors in the short and long term on investment. They have internal Therefore, it is recommended that in the implementation of the aforementioned policies, their possible results are predicted in advance and appropriate measures are taken to compensate for the short-term negative effects. Increasing the degree of openness of the economy, which requires the acceleration of trade exchanges, will increase investment in the country in the short term. Therefore, it is necessary for the government to provide the grounds for attracting domestic investment by reforming the appropriate structure in this sector. Also, in order to eliminate the negative effects of the implementation of this policy in the long term, it is necessary to specify a limit on the level of trade liberalization in the country in order to reduce the negative effects of this policy in the long term. Considering the effect of the total price index on investment, it is recommended that the government always pays attention to the creation of economic stability and the control of the inflation rate, because inflation (price index) in addition to reducing the real interest rate, has caused an increase in uncertainty about the future. and reduces investment. Considering the positive effect of the country's gross domestic product on investment, one of the most important recommendations for the growth of investment in the country is to adopt growth-oriented policies. Also, due to the variable negative effect of the ratio of construction expenditures to current expenditures in this study, it is necessary to change the balance of government expenditures (construction and current expenditures) in favor of the country's construction expenditures, in addition to implementing financial expansion policies for the growth of the economy. investment in the country will increase. So that the results of this study showed that the low share of construction expenses compared to current expenses caused the effect of government expenses (the ratio of these two expenses to each other) on domestic investment to be evaluated negatively.

    Keywords: Auto Regressive Distribute Lag Model, Financial Liberalization, Trade Liberalization, Privatization, Capital
  • Younes Teymouri, Faramarz Tahmasebi, Nader Mehregan Pages 23-48

    Extended Abstract
    This study analyzes and evaluates the effects of deposit interest tax on the quantity of bank deposits. Examining the experience of the past few decades of the country's economy shows that deposit interest tax never been applied and no historical and informational records have been created for it. Therefore, the evaluation of a policy that has not been carried out so far is inherently complicated and has limitations. In this research, in order to reduce the consequences of such restrictions, bank deposit interest rate changes have been considered as an alternative to deposit interest tax. The effect of bank interest rate changes on the quantity of deposits is estimated in the form of an econometric model and with the ARDL method, in which the effect of two variables, the informal market exchange rate and the gross domestic product, is also analyzed. The estimation results show that the real GDP has not been able to statistically affect the amount of deposits. But on the other hand, the exchange rate of the informal market is one of the things that significantly affects the amount of deposits. Based on the designed model, in addition to the estimated coefficient, the effect of the deposit interest tax on the amount of deposits, depends on the nominal rate of deposit interest in the banking system and the inflation rate in the economy..

    Purpose

    Tax exemption of bank deposit interest is one of the topics discussed in the Iran's tax system in recent decades. The existence of this exemption in the Iran's economic history is probably aimed for stabilizing economic fluctuations and supporting investors by attracting resources to the banking system. But the results of the analysis of the effect of this exemption show that its costs are more than the benefits. The implications of the tax on deposit interest, which is part of the benchmark tax system (BTS), and the prevailing difficult economic conditions in recent years due to external factors such as international sanctions, are two things that make it necessary to implementation of this tax for Iran's economy. Moreover, a comparative study in this field also shows that deposit interest is taxed in most countries, although at different rates. However, each of them have different approaches in applying this type of tax according to the state of technical and executive infrastructures and the quality of policy making. One of the difficulties of examining the issue is that in the economic history of the country, tax on bank deposit interest has never been applied and no historical and information records have been created for it. Therefore, the policy that has not been implemented until now, its evaluation is inherently complicated and has limitations. In this report, to reduce the consequences of such limitations, bank deposit interest rate changes are considered as an alternative to deposit interest tax. For this reason, such a choice has been made that the application of tax on bank deposit interest implicitly means the change of the said interest rate. However, changes in bank deposit interest rates are different in nature from changes in tax rates on deposit interest. Due to the choice made in the method of achieve to goals of this study, it is necessary to study and analyze the bank interest rate and the effects of its change on the amount of deposits theoretically and empirically. Then, in the next step of the report, the method of evaluating the effects of bank interest rate changes and the econometric model used for this purpose will be examined. Finally, the findings of this evaluation and policy recommendations based on those findings are presented in the final part of the report. Of course, it is an attempt to give recommendations to the limitations that exist in applying findings of the research, attention has been paid and considering these limitations, recommendations and policy measures have been proposed.

    Methodology

    The analysis of this study is derived from the analytical framework of brokers' behavior in financial markets, which is presented under basic assumptions such as pursuing maximum profit and utility by brokers. In Iran's economy, due to the prevailing price fluctuations and instability in the last few decades, it is more likely to accept the strong assumptions that form the hard core of the aforementioned analytical framework. But what is important here is whether the transfer of resources and assets from the banking system to other markets was significant enough to affect the performance of other markets. Therefore, the test of the effects of changing the deposit interest rate in this study is the answer to the mentioned question.
    The variables whose effect is tested on the volume of non-visual deposits (thousand billion Rials) are; Bank deposit interest rate (percentage), informal market exchange rate (Rials), GDP (billion Rials), whose data are used for the period 1361-1400. The method used for the above effectiveness test is the Autoregressive with distributed lags model (ARDL), which is performed using Eviews software.

    Finding

    The purpose of studying the relationship between the bank interest rate and the volume of non-visual deposits was evaluating the effect of the deposit interest tax on the volume of deposits.
    The comparison of the results of all three states that were displayed in the recent tables, induces this view to the reader that the third state; Considering the lowest tax rate that is levied, the small deposit withdrawal that happens from the banking system, and the relatively favorable revenue collection capacity that can be received, it is a suitable option for levying the bank deposit interest tax. Of course, the tax rate of 3% on bank deposit interest can be the beginning of the gradual process of levying tax on deposit interest. The gradual process of implementing this policy will be a useful issue due to the sensitivity of the tax on deposit interest.

    Conclusion

    Therefore, by fixing the mentioned rates, the effect of deposit interest tax has been analyzed in three cases of 5%, 10% and 3% tax rates. Based on the findings of the model, taking into account the bank interest rate of 20% and the inflation rate of 40% for the economy, applying a tax rate of 3% (10%) will reduce 23 billion Tomans (77 billion Tomans) of deposits from the banking system in one year

    Keywords: Deposit Interest Tax, Bank Deposits, Benchmark Tax System, ARDL Model
  • Ehsan Rajabi Pages 49-74

    Extended Abstract
    Based on macroeconomics and development economics theories, developing countries, like Iran, are facing a high degree of instability of macroeconomic variables. Fluctuations and exchange rate shocks, create an uncertain environment for investors and make decisions unconfident situation for future investments. The empirical study of the relationship between fluctuation and instability exchange rate and share returns in the Tehran Stock Exchange market is discussed. The empirical results make it possible for the decision-making managers of the agriculture and food industries to analyze the interaction and behavior of stock returns and exchange rates simultaneously. Second, a better understanding of the short-term movements of these two markets allows financial managers to make informed financial decisions and investments. In such a situation, the policy maker should be aware of applying policies that cause more volatility in the currency market and create uncertainty in it, in order to provide the basis for the sustainable growth of the capital market.

    Purpose

    The fluctuations of the exchange rate as an effective contribution to the proper direction, and a more favorable opportunity to be made for trade, and your investment; for the exchange rate from canal of export and import affect the cost of export, stock prices, and returns. This research investigates the effects of volatility and uncertainty of exchange rates on the stocks return of share in cluster of export-oriented, and the import-oriented and agri-food industries. As a result, the research question is: the share returns of companies listed on the Tehran Stock Exchange (separated to export-oriented, import-oriented, and agricultural and food industries), in case of exchange rate instability and uncertainty (currency fluctuations), in the period of 2010 to 2019 how will it be affected by it?

    Methodology

    This investigation led to a series of 165 holding companies for period of 2010-2019. The volatility measure by Generalized autoregressive conditional heteroscedasticity (GARCH) method and based model estimate by Structural vector autoregressive model (SVAR). In the first stage, the conditional and generalized heterogeneity variance model is used to extract exchange rate fluctuations. In the next step, the structural vector explanatory model (SVAR) has been used to investigate the effect of currency instability and uncertainty (currency fluctuations) on the returns and stock prices of companies. To estimate the SVAR model, the self-explanatory vector model or the normal VAR model must be estimated first. After determining the optimal interval and performing model validation tests, by applying structural constraints, reaction functions based on structural constraints are specified. Finally, by using shock reaction functions, the effects of currency instability and uncertainty (currency fluctuations) on the stock returns of companies are evaluated.

    Finding

    The result shows that there is significant relationship between the exchange rate fluctuations stock return of import - oriented company but in other cases, the export- oriented and Agri-food companies there is no relationship between shares return, and fluctuations of exchange rate even by year lag.

    Conclusion

    The impact on the exchange rate and its fluctuations on import-oriented industries is due to the dependence of the industries on imported raw materials (including inputs and machinery and equipment), which imposes costs on producers at rates higher than the supporting exchange rates, and against the stability policy of central bank of Iran leads to the impossibility of foreign exchange rates with the market exchange rates and their foreign exchange income acquisition. This policy constitutes a disconnection of the effect of the exchange rate and its fluctuations on stock returns. The change in the exchange rate from the import channel will affect the cost of intermediate goods, as a result, the prices of the companies' shares will change. For example, with the decrease in the value of the domestic currency, the import price of intermediate and capital goods increases and their import decreases. As a result, stock returns decrease due to the decrease in investment.
    According to the results of the research, it is suggested to shareholders and lenders to pay attention to exchange rate fluctuations as a factor affecting stock prices in order to make correct and principled decisions of investing in companies' shares and granting credit. If the exchange rate fluctuations are directed in the right direction as a factor affecting stock prices, a more favorable environment for trade and investment will be provided; Because the exchange rate change from the import channel will affect the cost of intermediate goods, as a result, the stock price of the companies will change. For example, with the decrease in the value of the domestic currency, the import price of intermediate and capital goods increases and their import decreases. As a result, stock returns decrease due to the decrease in investment.

    Keywords: Exchange Rate, Volatility, Share Return, Stock Market, Uncertainty
  • Fatemeh Masoumi Soureh, Mohammadreza Nahidi Amirkhiz, Alireza Bafandeh Zendeh, Yousof Hajiasghari Pages 75-98

    Extended Abstract
    With the view of the existence of different types of markets in every economy and according to the macroeconomic structure of every country, we can mention money and capital markets as the most basic financial markets. In the money market, resources are lent for a short period, and the most important task of this market is to create facilities for economic units and improve their liquidity. By definition, the money market is a market for trading money and other financial assets that are close substitutes for money that have a maturity of less than one year. In other words, the money market is known as the market of short-term financial instruments with the characteristics of low non-payment risk, liquidity, and high nominal value. The capital market is a market where longer-term bonds (with a maturity of one year or more) and company stocks are traded. Securities that are traded in the capital market (such as stocks and long-term bonds) are more interested in financial intermediaries. Considering that these institutions have a long-term investment horizon and prefer to invest in such long-term bonds. Several variables such as economic growth, investment growth in the production sector, investment growth in the housing sector, consumer price index, people's purchasing power, income and savings changes, employment, liquidity, inflation, exchange rate fluctuations, imports, exports, profit fluctuations, and bank interest. and... can be counted among the internal factors influencing the markets and consequently economic growth and development. One of the most basic goals of economic development is to increase the wealth and welfare of the people of the society. In the meantime, among the issues that can have a fundamental and significant role in the markets, is the behavior of economic variables, whose changes and fluctuations can affect the indices of those markets.

    Purpose

    In this research, an attempt has been made to investigate consumption behavior, production and investment, producer index and investor behavior in the years 1357 to 1397, using the Hodrick-Press filter

    method
    Methodology

    For this purpose, in this research, an attempt has been made to investigate the behavior of the consumption, production, and investment sectors in the money and capital markets of Iran. To achieve this goal, the annual data of variables of consumer price index, producer price index, private sector investment in new buildings in urban areas, inflation uncertainty, value of stock transactions and money supply have been used and after examining the behavior of each variable in the form of behavior Consumer consumption, producer production behavior and investor behavior for the years 1357 to 1397 have been investigated using Hodrick-Prescott filtering method, autoregression with distributed lag (ARDL) and vector autoregression (VAR) model.
    The price index of consumer goods and services is one of the types of price indices that shows the price changes of goods and services that are consumed by households in a period. This variable is expected to affect money and capital markets; Therefore, in this research, the consumer price index was used to evaluate the consumer's consumption behavior, and the producer price index was used to evaluate the producer's production behavior. The producer price index includes all productions (goods and services) in the country in question. The weight of each item is the sales volume (producer's sales) of that item to the total sales volume of items and the change in the price of items is the price of each item in each month compared to the price of the same item in the previous month. In the housing sector, it is expected that an expansionary monetary policy will increase the demand for housing by increasing the amount of money in the asset portfolio. Of course, this depends on various issues. For example, suppose the amount of money increases as a result of an expansionary monetary policy, people will try to buy other assets, such as housing, currency, and stocks, to use the amount of money more. If in that economy, the yield of the housing sector is higher than other assets, or if people in that society are more willing to make long-term investments. In that case, the demand for housing will increase and investors will replace housing with other assets, including stocks and currency. To investigate the behavior of these variables, the Hedrick-Prescott filter provides the unobservable time trend for the time series variable. This filter is used to separate permanent and temporary fluctuations in a time series. The working principle of this filter is based on the separation of fluctuations into permanent fluctuations (supply) and short-term fluctuations (demand).

    Finding

    After examining the behavior of the aforementioned variables using Hedrick-Prescott filtering, the results of the ARDL method with a distribution break for the money market showed that in the short term, the variables of consumer consumption behavior, producer production behavior, and investor behavior, and in the long term, all variables with money supply have a relationship But the results of the same method for the capital market show that there is no significant relationship between any of the variables with the value of stock market transactions, both in the short term and in the long term. The results of the VAR model for the money market showed that there is a significant positive relationship between the money supply and the consumer's consumption behavior and the investor's behavior of a previous period, and there is a negative significant relationship between the money supply and the producer's production behavior of a previous period, and the output resulting from this The method for the capital market indicates the existence of a significant negative relationship between the consumption behavior of the consumer, the production behavior of the producer and the behavior of the investor with the value of the stock transactions of a previous period.

    Conclusion

    The results of the ARDL method showed that in the long term in the money market, all the considered variables were related to the money supply, which indicates the confirmation of all the considered hypotheses for the money market, but none of the mentioned variables were related to the value of market transactions. Stocks were not related and it shows the rejection of all the hypotheses considered for the capital market.

    Keywords: Hodrick-Prescott Filtering, Consumer Consumption Behavior, Producer Production Behavior, Investor Behavior, Money, Capital Markets
  • Abouzar Gandomkar, Seyyed Nematollah Mousavi, Abbas Aminifard Pages 99-126

    Extended Abstract
    Considering the great importance of exchange rate fluctuations in various sectors of the macro economy, the issue of exchange rate fluctuations and its control has always been discussed in the framework of currency regimes in most countries. Considering that in recent decades, the managed floating system is one of the systems of interest in the world's economies, therefore, the level of involvement in this market and its measurement has played a very important role and has attracted the attention of model makers and economists. In oil-exporting countries, because the economy of these countries is dependent on oil, currency fluctuations and the level of intervention of the monetary authority in these countries are always very important. Most of these studies have identified and explained the paths and quantitative estimation of the effect of oil price on the macroeconomics of countries separately, and very few studies have examined the indirect channels of the effect of oil price shocks on the economy of countries. The point that this study emphasizes is that there is a relationship between oil prices and stock markets in oil importing and exporting countries, which has been neglected in many studies.

    Purpose

    In this study, the relationship between oil prices and stock markets in major oil-exporting countries (Russia, Norway, Canada, Iran) and oil-importing countries (USA, India, Japan) has been investigated. For this purpose, quantile regression and weekly data from January 2010 to June 2022 have been used.

    Methodology

    Different phenomena in the science of statistics appear in the form of random variables and it will be possible to investigate these phenomena by determining their distribution. In this regard, there are various statistical measures, each of which provides researchers with different information from the random variable distribution. Quantile or quantile regression is a statistical method for estimating and inferring conditional quantile functions. As linear and classical regression methods are based on minimizing the sum of squared errors and can estimate a model for conditional mean functions, quantile regression methods provide a mechanism for estimating models for the conditional mean function and a wide range of other conditional quantile functions. Quantile regression is able to provide a more complete statistical analysis of random relationships between variables. While standard regression methods show how the value of a dependent variable reacts to the change of an explanatory variable; Quantile regression shows the predicted changes for the entire distribution of the dependent variable and is used for the separate effects of the explanatory variable at different points of the distribution of the dependent variable. Of course, it should be acknowledged that one of the shortcomings of standard OLS regression is that the obtained estimate is a number that is used to summarize the relationship between the dependent variable and each of the independent variables.

    Findings

    Knowing the common movement between oil and stock markets is of great importance for investors and policy makers. In this context, there is a lot of empirical literature that shows the complexity of oil price dynamics and stock indices and then the relationship between them. In this study, using the quantile regression method, the relationship between oil price and stock index in oil exporting and importing countries in the period of 2010-2022 has been investigated. The results of the study showed that the price of oil has a positive and significant effect on the stock index in Russia, Norway, Canada, America and India in all deciles and the first 4 deciles in the Japanese stock index. Also, the price of oil has had a positive and significant effect on the stock index in Iran in 6 deciles (first 5 deciles, seventh deciles), and in the last two deciles. Also, by examining the R2adj statistic, it can be said that in all the investigated stock exchanges, except for Russia and Iran, 50 to 70% of the stock index changes are explained by the oil price, which shows the importance of the oil price on the stock index in these countries. In other words, the stock value can be considered equal to the sum of the discount of the future liquidity flows, and since these flows are directly affected by macroeconomic events, therefore, these flows can easily be affected by negative impulses. In addition, oil price volatility also has significant effects on stock market returns. The three categories of capital, manpower and oil can be considered as the most important factors that are used in the production of most goods, therefore, changes or fluctuations in each of these three factors will affect the cash flow.

    Conclusion

    Depending on whether they are oil importers or exporters, countries have different effects on oil price changes. According to the opinion of many economists, the price increase will bring a decrease in economic growth as well as an increase in inflation for the economy of oil importing countries. But if the oil importing countries have a strong and suitable economic structure, these fluctuations will have a less destructive effect on their economic conditions. In oil exporting countries, it is expected, of course, that the increase in the price of oil will increase their income, which will lead to an increase in their liquidity in the future, which will have a direct and positive impact on the capital market and the stock index. Now, if these incomes are used to buy domestic products, this increase in income leads to an increase in production and economic growth, and consequently to an increase in investment, which leads to an increase in stock prices. Therefore, according to oil price fluctuations in recent years, investors and policymakers should consider market conditions in their decisions based on modeling the relationship between oil and stock markets. Also, considering the changes that will happen over time in relation to the price of oil and the stock market, investors and policy makers should pay attention to this dynamic behavior of stock markets.

    Keywords: Oil Price, Stock Market, Quantile Regression, Oil Exporting, Importing Countries
  • Zahra Ghorbani, Alireza Daghighi Asli, Marjan Damankeshideh, Roya Seifipour Pages 127-149

    Extended Abstract
    This study investigates the impact of the capital market using multivariate GARCH models and the Markowitz algorithm to optimize the stock portfolio. The statistical population of this research includes stock exchange companies that were admitted to the stock exchange before 1395 and were active until the end of 1399 and had the following characteristics: The financial year of the companies should have ended on March 20th and the companies' shares should have been traded on the stock exchange during each year of the research period and the end-of-period price was available. In addition, the financial information of the companies must also be available. Considering the above characteristics, 4 top industries, including the automotive and parts manufacturing industry, the selected electrical machinery industry, the metal mining and oil products industry, were selected as the screening population in our portfolio based on a combination of stock liquidity, stock trading volume in the trading hall, stock trading frequency in the trading hall, and the company's impact on the market. The sample size is 800 and is daily during the period from 1395 to 1399.

    Purpose

    The results of this study show that the optimal weights are more allocated to stocks with less volatility in the stock return trend of that industry. In fact, lower weights are allocated to industries with more volatile returns among the four industries, namely the automotive and parts manufacturing and oil products industries. Conversely, the largest optimal average share of the portfolio among the four industries is for the non-metallic minerals industry with the least return volatility.

    Methodology

    The results of this study also show that industry stock return shocks have reciprocal effects on each other. For example, a positive shock to the stock return of the non-metallic minerals industry leads to a negative shock to the stock return of the automotive and parts manufacturing industry. In addition, the results of this study show that the CCC and DCC models have different results in estimating the optimal weights of the industries and risk-free assets that make up the investment portfolio. So that, the DCC model, compared to the CCC model, allocates less weight to the stocks of the automotive and parts manufacturing and oil products industries and, conversely, allocates more weight to the stocks of the non-metallic minerals industry. Finally, the results of this study show that the portfolio formed using the Markowitz optimization algorithms can track the risk-averse individual's utility to maximize profit. And Based on the results of this study, it is suggested that investors pay attention to the volatility of the stock return of that industry when selecting stocks for investment and allocate a greater share to stocks of industries with less return volatility.

    Finding

    It is also suggested that DCC models be used alongside CCC models to estimate the optimal weights of the investment portfolio. In addition, it is suggested that Markowitz optimization algorithms be used to form an investment portfolio that matches the risk-averse individual's utility. Now, let’s address the limitations of this study, that one of the limitations of this study is the use of daily stock return data. It is suggested that in future research, data with higher frequency such as hourly or minute data be used. Another limitation of this study is the non-consideration of other factors affecting stock returns, such as macroeconomic factors. It is suggested that in future research, these factors should also be considered.

    Conclusion

    The results of this study have important implications for investors and portfolio managers. The use of multivariate GARCH models and the Markowitz algorithm can help to optimize stock portfolios and improve risk-adjusted returns. Investors should consider the volatility of stock returns and the correlation between industries when making investment decisions. DCC models can be used to estimate optimal portfolio weights, and Markowitz optimization algorithms can be used to form portfolios that match the risk-averse individual's utility. Future research should focus on using higher frequency data and considering other factors affecting stock returns.

    Keywords: Stock Portfolio Optimization, Markowitz Algorithm, Multivariate GARCH, Capital Market, Risk
  • Amir Mahmoudian, Maryam Khalili Araghi, Hamidreza Vakilifard Pages 151-170

    Extended Abstract
    Throughout history, predicting price in financial markets has always been of high interest to financial activists and analysts. Recently, various methods have been proposed and adopted to predict the dynamism of financial markets using time series of records of prices. However, high-precision predication of financial prices is still a deemed long-term challenge that constantly call for state-of-the-art approaches.

    Purpose

    Thus, the purpose of the current study was to examine the efficacy of optimal stopping, also known as early stopping and use its connection with branching processes to predict the optimal buying and selling prices in several financial markets. gold ounce market and S&P 500 index have been predicted in short term and long-term frameworks on the basis of fixed horizon. And for each. frame work, different time frames have been selected. Closing price data from 1995 to 2022 have been used for every time frame.

    Methodology

    Advanced methods for optimal stopping include approximating the value function and then using that approximation in a policy. Although such policies can work very well, they are generally not guaranteed to be interpretable (Siokan and Mišić 2020). On the other hand, some researchers have proposed that the optimal stop models are too complicated to solve well and the strategies of buying at a low price and selling at a high price are not very practical in this theory (Liu and Mo 2022). According to the issues raised, the researcher intends to use the optimal stop theory and its connection with branch processes to implement and examine this theory in a number of prominent international financial markets. In this research, we are going to use the optimal stop statistical theory to predict the time of buying and selling in these markets in an optimal way.

    Finding

    The optimal stopping algorithm seeks to determine the maximum value from a set of random variables that are exhibited in the order they are generated. Each variable should either be selected when exhibited or be skipped in favor of the next variable, and if all the variables till the nth variable are skipped, this variable is selected automatically. It should be borne in mind that the theory of optimal stopping first examines the previous data and finds out whether there is a divergence, according to which it determines which market cannot be predicted based on this theory. In general, these random variables are considered as independent and co-distributed. Yet, due to the complexity of this theory, even in this case, solving problems directly proves to be very difficult, and hence the correlation between this theory and branch processes are employed to simplify solution. The steps of this process are as follows:

    Step 1 The analyst finds the planning horizon (20 - horizon in the present paper)
    Step 2 Determine the statistical distribution of values using statistical tests, including the goodness of fit, chi-square, Chebyshev's inequality, and Q-Qplot (Moud et al. 1973)
    Step 3 Transforming it to a normal distribution using Box-Cox Transformations (Cox-Box 1964), and converting to the standard normal distribution (minus mean value divided by standard deviation) (Moud et al. 1973)
    Step 4 Using inverse distribution function (using probability integral transform theorem) (Moud et al. 1973) and transforming it to considered distribution in branching process and determining convergency or divergence of data (Ross 1983; Shishebor et al. 2004)
    Step 5 Predicting the best point for optimal buy or sell at a determined horizon (Assaf et al. 2000)
    Step 6 Reversing all transforms and predicting real values (Assaf et al. 2000)

    Conclusion

    The results indicate that by optimal stopping for short term framework, S&P 500 index indicates %67 success and gold ounce shows %53 success in the prediction of prices. In long term framework, S&P 500 index's success equals to %68 and gold ounce equals to %85 in prediction of prices. The obtained results show that the optimal stop theory has performed better in predicting the gold price in the long-term time frame and the S&P 500 in the short-term time frame.
    The S&P 500 market and the gold market have obtained the most predictability based on the optimal stop theory. This can be confirmed by market traders because the S&P 500 and gold market are interesting markets from a technical and trading point of view. The number of transactions and high liquidity and the difference in spread and commission in these two markets compared to other markets can be indicative of this. Also, the high volatility in the two mentioned markets due to the uncertainty regarding the continuation of prices and key economic indicators presents countless opportunities to traders. According to the obtained results, the optimal stopping can be used as a trading and analytical indicator. Also, the characteristic of optimal stopping is that based on historical data, it shows the prediction as the optimal point (buying and selling price) in the future. Due to the fact that examining the financial markets both from the study and analytical point of view and from the trading point of view by using a variety of forecasting patterns and indicators requires understanding the possibilities of market behavior, choosing a time frame and having a strategy.

    Keywords: Optimal Stopping, Simulation Modeling, Financial Markets Forecasting