فصلنامه تحقیقات مدلسازی اقتصادی
سال پنجم شماره 17 (پاییز 1393)

«Market efficiency» is the basic axiom of Financial Economics and fondamental base for ability of optimal allocation (of financial resources) in a capital market. Vast and extensive studies around Market efficiency in recent decades، has induced strong evolutions in economist’s perception from a Market efficiency، methods of assessing and their implications in real world. This essay attempts to procure a concise leterature review of these evolutions. Results show that applied methods in Iran are incomplete in regard with new addvancements in foreign studies. So، weak form efficiency of Tehran Stock Exchange is reevaluated using new method of H statistic of Hinich. Results of empirical study shows that weak form efficiency is rejected for all the sample as a whole. But، market efficiency would be in evolvotion in studied periods based on used H statistic in this article. Also، market efficiency experienced an stationary improvement from 2005.

The main objective of this study was to investigate weak efficient market hypothesis of Tehran stock exchange. For this purpose، total price index، financial index، industry index and the index''s top 50 companies data for the period 2013:7-2009:5 daily basis as well as data on prices and yields for the period 2013:2 - 2000:3 are applied on a monthly basis. In this study، the hypothesis of the poor performance of the Tehran stock exchange، using wavelets and fractional Brownian motion is investigated. The results show the aforementioned hypotheses are rejected.

The fluctuations in the oil price with uncertainty، as an exogenous variable، is the most important factor affecting the fluctuations in the GDP of the countries especially OPEC. This study examines the effect of oil price uncertainty on the Iran’s GDP growth using the seasonal data for the period 1988 (1) -2011 (4). The model used in this study is the asymmetric VARMA، MVGARCH-M and the estimated method is quasi maximum likelihood (QML). The results indicated that there is a negative and significant relationship between oil price and economic growth over the period. Furthermore، the results show that the conditional variance-covariance process underlying output growth and change in oil price exhibits non-diagonality and asymmetry.

The main goal of this research is to calculate VaR index with parametric Markov-Switching GARCH approach for accepted companies in Tehran Stock Exchange and also selecting the optimal portfolio of their stocks. To calculate the index، data and information of weekly stock price of 10 representative firms during the period 2008-2014 has been used which account for 332 working weeks. The results from estimation of VaR and determination of optimal stock portfolio in the non-linear programming framework showed that optimal portfolio of food-industry companies stock، in the context of VaR has higher returns and risk in the first regime (Boom period) compared to the second regime (recession period). On the other hand، it has had lower weight in both stock portfolios that had lower average returns compared to the rest of the stocks and compared to the stocks which had lower VaR relative to other stocks that has higher weights. The Kupiec and Lopez back testing using 10 future week data، showed that both of approaches is valid but the parametric approach has better rank. Therefore the optimal portfolios of stocks under parametric VaR will be accepted as final optimal portfolio.

In this study، the electrical energy consumption in Tehran before reduction subsidies and after targeting subsidies was examined with using a dataset collected from household subscribers Tehran Electricity Distribution Company from August 2000 to November 2012. After review and analysis values، a model was proposed for predicting power consumption. The proposed model was a combination of trigonometric coefficients and power factors. The best values were obtained by using a genetic algorithm. Procedure of electrical energy consumption in Tehran after Implementation of subsidies reduction plan was compared with the predicted model of electrical energy consumption in Tehran before Implementation that plan. The results indicated that implementation of subsidies reduction plan reduced electrical consumption growth rates and also a little reduced consumption rate. The other results of this study contain consumption patterns in order to manage the future consumption level of electrical consumers in Tehran. Also the results showed that، because demand for electricity is inelastic to price and income in the short time، as a result price policies cannot be effective in controlling the electricity demand، then should use non-price and intensive policies to reduce the consumption of electricity.

Women as half of the workforce in society can be an effective lever to promote economic and social development goals. In recent years، participation of women in development activities has increased. But the participation of women has been associated with discrimination against them. In recent years with increasing participation of women in the labor market، the income gap between men and women in the labor market is one of the most important discrimination they are facing with it. Understanding the factors affecting women''s employment and the impact of these factors on the wage level and understanding the factors affecting the gender gap، can be very useful in reducing discrimination and achieving sustainable desirable development. With attention، in this study، we tried to analyze influence employment، productivity، education and educating of men and women on decrease gender gap in wages paid to an econometric model. Theoretical basis of this model is based on Blinder- Oaxaca gender gap (1974) and in the period 1370 to 1390. The experimental results with model coefficients using panel data and with using Stata and Eveiws software is obtained and then analyzed. Based on the results، however، productivity and employment increase wages of men and women but it Increase the gender income gap. Education increases wages of men and women but it reduces the gender income gap. Educating reduces wages of women and gender income gap too.

Symmetry or asymmetry of the business cycle is an important issue in order to select the behavior patterns and prediction of macroeconomic fluctuations. Factors such as oil prices، the financial crisis، uncertainty، the delay on learning، etc.، Can cause lack of symmetry in the cycle. Decomposition of the business cycle by wavelet transform، which is strong instrument for processing data، and reviews of the presence or absence of symmetry at each decomposed level، will allow to obtain more information about different frequencies of business cycle. This helps policy makers to adopt appropriate counter-cyclical policies. Wavelet analysis enabled us to investigate symmetry of high and low frequency components of seasonal GDP during 1989-2011. Using Wavelet Symlet was observed، which at least in the low-frequency component، there is asymmetry. Another advantage of this study is selecting model for prediction of each decomposed level separately. This would reduce forecast error.