Showing 36 results for Market
Mohammad Nabi Shahiki Tash, Zahra Sheidaei, Elham Shivai,
Volume 5, Issue 16 (7-2014)
Abstract
This paper based on the new empirical industrial organization model (NEIO) examines the impact of market concentration and cost efficiency on bank's profit rate margin in Iran. The study uses the model developed by Azzam (1997) to evaluate the market power and cost efficiency for 15 active banks in the banking industry. The empirical findings indicate a decrease in the market power of banks during the period 2001-2011. It is also shown that the conjectural variations index associated with the loans is -0.96, while demand for the loans is completely inelastic where its value is near to 0.087. Additionally, The market power and cost efficiency in the banking industry have been estimated 0.37 and -0.30 respectively meaning a decrease about 0.3 percent for the bank's profit rate due to the efficiency of cost and an increase about 0.07 percent due to the concentration.
Ahmad Jafari Samimi, Roozbeh Balounejad Nouri,
Volume 5, Issue 17 (10-2014)
Abstract
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.
Aziz Ahmadzadeh, Kazem Yavari, Mohammad Isaee Tafreshi, Ali Salehabadi,
Volume 5, Issue 17 (10-2014)
Abstract
"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.
Hassan Rangriz, Hooman Pashootanizadeh,
Volume 6, Issue 19 (3-2015)
Abstract
Extension informal and unorganized money and credit markets in Iran, is much broader than the official money markets. This problem causes a large difference between formal and informal money market loans interest rate in Iran. The large size of the informal market liquidity that can’t be guided by the monetary policies of central bank's and fiscal policies could help to increase the inflation rate in the country.
In this paper, we use the AHP method for to explore this topic that fits with the existing monetary and financial institutions, which sector is more appropriate for investment and targeted liquidity existing in society, in order to reduce inflation and stimulate growth in the industry. The results revealed the stock exchange is the best financial and investments institutions in order to reduce the inflation that caused by the high liquidity of the present.
Ahmad Jafari Samimi, Roozbeh Balounejad Nouri,
Volume 6, Issue 21 (10-2015)
Abstract
Given the importance and role of capital markets in the economy, its characteristics have been regarded by researchers in this field. Hence, the main purpose of the present study is testing the existence of multiple price bubbles in Tehran stock market. For this purpose, the monthly data on the total price index and price-dividend ratio for periods 2000 – 2013 has been used. In this study generalized supremum Augmented Dickey – Fuller test, which has been recently introduced, is used due to critical review of conventional methods of testing the bubbles and also the possibility of a multiple bubble in time series. In addition to the testing of multiple Bubbles, with using this method there is the possibility of determining their period of creation and decay. The results showed that in the period under review, in the period 2003:3 - 2003:5 and 2004:12 - 2005:7 hypotheses price bubble in the stock market is confirmed.
Marzieh Khakestari, Navid Nazari Adli,
Volume 6, Issue 21 (10-2015)
Abstract
Monetary wide range of sanctions has been established against Iran in recent years by European :::::union::::: and United States. These sanctions have been targeted Iran energy and oil industry. Although, these types of sanctions are not new on Iran and Iran is familiar whit them since oil nationalization movement. This paper studies these sanctions effects on Iran in recent years and tries to assess the possible strategies with game theory. In order to achieve this proposed, three players are introduced: Iran, Saudi Arabia and United States, and then a model have been established. At the following, the model was solved and Nash equilibrium obtained for each one. Each of three players , United States , Saudi Arabia and Iran choose their strategy, respectively, pressure reduction, cooperation and cooperation. At the end of this study, the impact of oil sanction on Iran's sales, has been shown. Eventually, it was seen even with great increasing in world oil prices, Iran's in come has been downward.
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Volume 6, Issue 22 (12-2015)
Abstract
In recent decades the development of capital markets in developing countries, economic growth is desirable to have. Developed countries owe much of its development direction of financial markets, especially the stock market knows. The stock market is precisely the collection of savings and private capital to finance investment projects and on the other hand, an official and is confident that the owners of dormant savings can be relatively affordable and safe place to seek investment and their funds to invest in companies operate. The role of the stock market to boost the economy of countries like Iran and wandered from one side to the large amounts of capita and on the other hand, face a shortage of investment, is striking. Therefore, understanding the factors influencing the behavior of the stock market can be considered useful for the capital's economy. In this context, this study examines the impact of fiscal and monetary policy shocks on stock market Iran. Regression model to estimate the structural model and the data for seasonal 1991: 1-2010: 4 was used. The results of the model indicate that the short-term shock to the money supply (monetary policy instrument) and long-term government spending shocks (monetary policy instrument) Fluctuations of stock price indices explain. In other words, the impact of monetary policy on stock prices faster than the impact of fiscal policy. Because government spending through the stock market affects ,First government spending on aggregate demand and thus income consumers and the general level of prices affects subsequent stock price changes, but by changing the money supply, the faster people can spend their surplus cash available to purchase the stock of assets that form part of it. The lag effect of monetary policy is much shorter than the lag effect of monetary policy
Siab Mami Pur, Maryam Rabiei, Kiomars Heydari,
Volume 7, Issue 23 (3-2016)
Abstract
The electricity industry that has been administrated with integrated vertical structure worldwide is now undergoing dramatic changes. Electricity industry is converting to a competitive industry in which market powers determine the price of electricity, there for it is important to identify market power. The Electricity Market of Iran and Iran Grid Management Company were established in 2003 and 2004, respectively. One of the most important objectives of the restructuring of Iran’s Electricity Market is to establish a competitive environment. The purpose of this study was to assess the level of competition among regional power companies in the electricity market in 2013. The method employed separates the strategic companies from marginal companies by market share index in the hours of peak consumption in summer, and then simulates the performance of the strategic companies using Cournot’s model. Each Cournot (strategic) company aims to maximize its profits, assuming its competitors keep a constant production. This goes on to reach equilibrium, as long as companies do not take advantage of changes in their production. The results of the simulation shows that firms with higher market share at the summer peak hours have been acting strategically in 2013. Another part of the study investigated the circumstances of the power plants of these companies. Lerner’s index was estimated and showed that all the power plants of Tehran’s Regional Electricity Company had an index of higher than 50 percent which is an indicator of their high market power.
Sahar Bashiri, Mosayeb Pahlavani, Reza Boostani,
Volume 7, Issue 23 (3-2016)
Abstract
This paper investigates the relationship between monetary policy and stock market fluctuations for Iranian economy within a DSGE model. This study models the role of monetary policy in two monetary regimes including money growth and Taylor rule with traditional factors and optimal simple rule in the new Keynesian monetary framework with nominal wage and price rigidities in the Iranian economy. Bubbles in our model emerge through a positive feedback loop mechanism supported by self-fulfilling beliefs. Results show that: first, using an optimal simple rule and determining the optimal coefficients of the Taylor rule by policy makers decrease the loss function. Second, the sentiment shock which represents the size of current bubbles relative to newly born bubbles and transfers to the real economy through endogenous credit constraint, drives the movements of stock market fluctuations and variations in real economy, leading to explain the positive contemporaneous correlation between stock prices and the real economy Third, using an optimal simple rule and determining the optimal coefficients of the Taylor rule with stock price Fluctuations by policy makers decrease the loss function and it confirms that monetary policy should respond to stock market bubbles in the economy.
Moloud Rahmaniani, Reza Taleblo,
Volume 8, Issue 29 (10-2017)
Abstract
The level of asymmetric information in financial markets is important for its impact on the market formation, price levels and its interaction with investment risk. Also, determining the optimal rules by policy makers and determining the trading strategy by investors is done according to the level of information symmetry in the market. In financial literature, many metrics have been developed to measure the asymmetry of market information. In recent years, another measure known as probability of informed trading (PIN) has been introduced to measure the level of asymmetric information, based on the framework of market microstructure. Larger PINs from 0 to 1 range indicate higher information asymmetry levels. In this study, using the Easley, O'Hara (1992) approach, the probability informed trading as a measure of the level of market information asymmetry for the 12 selected companies from listed companies in Tehran Stock Exchange is estimated. We used maximum likelihood to estimate parameters with R package. The results show that average of PIN varies from 0.35 to 0.4 for different companies.
Mohsen Mehrara, Habib Soheyli,
Volume 9, Issue 32 (7-2018)
Abstract
The aim of this study is to investigate the dynamics of information risk at the Tehran Stock Exchange (TSE). We estimated the daily probability of information based trade (PIN) for 22 stocks from 11 different industries of TSE over 4 years. The total average of the daily PIN for all stocks was 27% from 2013 to 2016. The lowest and the highest average of PIN estimates for individual stocks are 20.2% and 39.4%, respectively. In this research, the lowest and the highest daily PIN for individual stocks are estimated as 1.2% and 93.3%, respectively, which indicate that information risk varies substantially along time and there is a substantial need to use dynamic models to study this risk. Generally, it seems that the average and the maximum of information risk at TSE are much higher than in developed markets. Results showed that petrochemical and metal industries benefit from the lowest information risk and the highest is recorded for insurance and cement industries.
Naghmeh Honarvar, Homayoun Ranjbr, Sara Ghobadi,
Volume 9, Issue 32 (7-2018)
Abstract
This study examines the long run relationship between the efficiency component (good market efficiency and labor market efficiency) in the global competitiveness index and the variables of economic success (economic growth and unemployment) by using new econometric methods in selected countries of Asia with the average upward Global Competitiveness Index. This study, in the framework of the Panel Vector Error Correction Model (PVECM), examines the long run relationship between variables over the period 2008-2016. Estimation of long run coefficients by using Dynamic Ordinary Least Squares (DOLS) and estimating error correction temr coefficients by using the Pool Mean Group Method (PMG) and Panel Vector Error Correction Model has been done. Estimations of the coefficients of the variables of the good market efficiency and labor market efficiency by using DOLS method show that the effects of good market efficiency and labor markets efficiency on the economic growth in the long run are positive and significant. The impacts of good market efficiency and labor market efficiency on unemployment in the long run are negative and significant. Also, the results of estimating logarithmic coefficients in the DOLS method show that the most effective variable on economic success variables (economic growth and unemployment) is related to good market efficiency. The estimation of the coefficients of error correction term by using the PMG and PVECM method show that when the economic growth rate is dependent variable, since the coefficient of error correction term for this variable is negative and significant, therefore, There is a long run relationship between the rate of economic growth, good market efficiency and labor market efficiency. When the unemployment rate is dependent variable, since the coefficient of error correction term is negative and significant for this variable, there is a long run relationship between the unemployment rate, good market efficiency and labor market efficiency.
Hadi Keshavarz,
Volume 10, Issue 35 (3-2019)
Abstract
The labor market, as one of the four markets, plays an important role in economic growth and development. So review developments in the labor market because of its close relationship with developments in other sectors is of great importance. This study tries to examine the dynamics of the labor market by adjusting for a New Keynesian dynamic stochastic general equilibrium model for the Iranian economy. After the model was solved, the obtained equations were linearized and their parameters were estimated using the economic data of Iran (2005-2017) by the Bayesian method. Comparing the model's moments with the economic momentum indicates the success of the model in real-world simulation (production, consumption, investment, unemployment, and participation rate). Impulse Response Functions Survey shows that participation rates are consistent with cyclic behavior. On the other hand, in response to shocks (monetary, oil revenues, government expenditures, and public sector employment), increased employment, but the unemployment rate has changed slightly due to the change in the participation rate and the change in the size of the active population, which represents the sustainability of the unemployment rate.
Qholamreza Rezaei, Hamid Shahrestani, Kambiz Hozhabre Kiani, Mohsen Mehrara,
Volume 10, Issue 36 (6-2019)
Abstract
After the recent financial crisis, especially the financial crisis 2008, This raises the important question of what is the role of monetary policy in occurrence and prevention of the financial instability? so, this paper investigate the dynamics impact of monetary policy on the stock market returns and instability using Structural Vector Autoregression (SVARs) model During the period 1992:q2 to 2017:q1. In this study, the effect of monetary policies via the various monetary tools used by the Central Bank on the stock market is studied. to illustrate the performance of monetary policies, the four variables of weighted interest rate, monetary base growth rate, bank reserve ratio, and growth of commercial banks' debt to the central bank have been used as monetary policy tools. The results of the impulse response function(IRF) show that monetary policy tools do not affect the stock market returns and instability. The results of the Forecast Error Variance Decomposition (FEVD) also show that the share of monetary tools in explaining the changes in stock market returns and instability is insignificant and less than ten percent each. Although, the monetary base share is higher than the others, so the central bank's policy tools do not has a particular impact on the behavior and instability of the stock market.
Yaghoub Rashnavadi, Hossein Norouzi, Tohid Firoozansarnaghi, Shahrokh Beigi,
Volume 11, Issue 39 (3-2020)
Abstract
In recent years, the development of Securities markets has contributed greatly to the flourishing and development of countries. Having a structured and dynamic capital market has been one of the basic requirements of countries on the path of development, and the role of this market in creating economic equilibrium is known to everyone. Therefore, explaining the volatility of the stock market is very important. Meanwhile, the interaction between the stock market and the exchange rate has been the subject of much research by many researchers. The exchange rate is a key variable that neglecting it can create problems and issues for the economy of any country in various dimensions. Therefore, the present study, by specifying a system of simultaneous equations, has examined the simultaneous interactions between the exchange rate and the stock market in Iran, using seasonal data from 2007 to 2017. The variables used in this system are the exchange rate, stock price index, gold price, oil price, liquidity, and consumer price index. The results of this study showed that the exchange rate has a positive and significant effect on the stock price index in Iran and as the exchange rate rises, the stock price index will also rise. Moreover, the stock price index has a statistically significant effect on the exchange rate in Iran. The results of estimating the model show that the effect of the stock price index on the exchange rate is negative and significant, i.e., as the stock price index increases, the exchange rate decreases.
Matin Saneifar, Parviz Saeedi,
Volume 11, Issue 40 (6-2020)
Abstract
The corona virus has turned a health crisis into an economic crisis and its spread has led to strong negative reactions from stock markets in various countries and price fluctuations in many macroeconomic variables. On the other hand, the spread of the virus provides a basis for examining the effects of its prevalence on stock markets, economic variables and the power of influence and the speed of information dissemination in times of crisis in these markets. The aim of the present study was to investigate the effect of corona virus on the stock markets of 75 countries and the variables of oil, gold, silver and copper by comparing complex networks before and after the outbreak of the virus. Also, for the calculation section, matlab statistical software has been used and for drawing the networks, the maximum filtered flat graph method has been used with the help of daily data in the period from June 2019 to March 2020. the results show that before the outbreak of coronavirus, stock markets tended to move in small continental groups, but the outbreak of the virus led to negative group movements with high correlation for these markets, positive or negative information spreads 32% faster than before on the stock market network, also stock markets are twice as influential as they were before the outbreak. The corona virus has directly led to a 40% drop in stock markets. on the other hand, the virus has caused fluctuations in the global variables of oil, gold, silver and copper, which each respectively affected 55%, 32%, 28% and 35% of stock markets, the impact of these variables before the outbreak of the virus was 31%, 20%, 16% and 18% of stock markets, respectively. it is important to note that in crises due to the collective movements of stock markets, price stability in central stock markets and macroeconomic variables are very important to control and reduce the negative effects of the crisis on stock markets.
Mojtaba Rostami, Seyed Nezamuddin Makiyan,
Volume 11, Issue 41 (10-2020)
Abstract
Volatility is a measure of uncertainty that plays a central role in financial theory, risk management, and pricing authority. Turbulence is the conditional variance of changes in asset prices that is not directly observable and is considered a hidden variable that is indirectly calculated using some approximations. To do this, two general approaches are presented in the literature of financial economics for modeling and calculating volatility. In the first approach, conditional variance is modeled as a function of the square of the past shocks of return on assets. Models of the GARCH type fall into this category. In the alternative approach, volatility is assumed to be a random variable, which evolves using nonlinear patterns of Gaussian state space. This type of model is known as Stochastic Volatility (SV). Because, SV models include two kinds of noise processes, one for observations and another for hidden, volatility, thus, they are more realistic and more flexible in calculating volatility than GARCH type. This study attempts to analyze the volatility in stock returns of 50 companies, which are active in Tehran Stock Market using symmetric and asymmetric methods of Stochastic Volatility, which is different in the presence of leverage effect. The empirical comparison of these two models by calculating the posterior probability of accuracy of each model using the MCMC Bayesian method represents a significant advantage of the ASV model. The results in both symmetric and asymmetric methods represent the very high stability of the volatility generated by the shocks on stock returns; therefore, the Tehran Stock market changes in returns due to this high sustainability will be predictable.
Vahid Arshadi, Reza Tavakoli Jaghargh, Majid Monfared, Javad Ghyasi,
Volume 12, Issue 44 (7-2021)
Abstract
Due to the undesirable phenomenon of graduate unemployment and its negative effects, Addressing the issue of how to major choice is of particular importance. The main question of the research is whether the existing signals of choosing a field have been effective in guiding people in accordance with the needs of the labor market? The method of this research is descriptive-analytical; It has been a combination of documentary studies, qualitative statistical analysis (descriptive statistics) and analytical statistics (cross-sectional econometrics). The findings of this study, which was conducted using the data of the years (2006-2018) and controlled by the province and the type of university, show in major choice of volunteers, no attention is paid to the unemployment rate of that field. The non-significance of the unemployment rate coefficient in the above model confirms the hypothesis that the unemployment rate of the field (main independent variable) does not explain the registration rate in that field (dependent variable), Therefore, the unemployment rate of the field in any of the six fields, in any type of universities and in any of the provinces, has no significant effect on the rate of major choice. According to the theoretical and experimental background of research in many other countries, there is a problem and weakness and they have followed solutions for it.
Mohammad Feghhi Kashani, Majid Omidi,
Volume 12, Issue 44 (7-2021)
Abstract
The aim of this study is to theoretically investigate the role of the bank deposit market structure in how effective micro and macro prudential policies in determining the regulatory capital of banks in combination with monetary policy. To achieve this, a partial equilibrium analytical framework has been developed that includes rational economic entities and the possibility of contagion risk in the banking system in order to achieve more explicit and tangible results. In general, it will be shown that the imperfect structure of the bank deposit market as a policy transmission channel (which is less considered in the literature) can significantly change the micro and macro implications of such policies. Specifically, the effects of these policies on allocation and stabilization efficiency will be followed in terms of the types of conceivable equilibria for deposit rates, expected net returns, expected markup, and the level of expected effort of banks operating in the banking system. Expected markup capital elasticity of banking system smaller than one at the micro and macro levels play a special role in prudential policies. Each bank interactively with other banks would shape its solutions and expectations towards upcoming states of the economy (in so doing customizing its balance sheet asset side) along with key determinants for its solvency in respecting its financial obligations to depositors and whereby touching depositors’ confidence in its performance so hard that seizing utmost share in deposit market by bidding appropriate deposit rate. The deposit rate together with the level of monitoring efforts would further hit banking sector contagion risk drawing in its associated externalities and under well-defined conditions could expose the banking system to higher fragility.
Hojjat Izadkhasti, Abbas Arab Mazar, Mahboubeh Refahi,
Volume 12, Issue 45 (11-2021)
Abstract
Rental housing has been affected by housing prices in different periods and the growth of housing prices has reduced the purchasing power of housing applicants and increased the percentage of rented households. Therefore, any recession and boom in the housing sector has a direct impact on the housing rental market, and planning to control the rental market will not be achieved without considering the housing market. In this regard, the purpose of this study is to investigate the factors affecting housing rent based on two groups included large, small and medium cities in Iran using the Generalized moment method (GMM) in the period (2008-2018). The results show that housing rental prices in the previous period, housing prices, land leverage and real per capita income of urban households had the most positive impact on housing rents in both large and small and medium cities. Also, the impact of housing prices and rental prices in the previous period has been greater in large cities. Also, Housing bank facilities, the number of urban marriages and the real interest rate were other variables affecting the rental price of housing in urban areas.
