Univrsity Of Tehran PressFinancial Research Journal1024-815319320170923Investigating the Impact of Iran-Germany Business Cycle Synchronization on the Friction and Depth of Financial Markets in Iran (Markov Switching Bayesian VAR Method)Investigating the Impact of Iran-Germany Business Cycle Synchronization on the Friction and Depth of Financial Markets in Iran (Markov Switching Bayesian VAR Method)3413646635010.22059/jfr.2018.246959.1006561FARaziyehAmirTeimooriPh.D. Candidate in Economy, Faculty of Management and Economic, Islamic Azad University, Kerman, IranSeyed AbdolMajidJalaeeProf. in Economic, Faculty of Management and Economic, Shahid Bahonar University, Kerman, IranMohsenZayandeh RoodiAssistant Prof. in Economic, Faculty of Management and Economic, Islamic Azad
University, Kerman Branch, IranJournal Article20171130The synchronization of business cycles is one of the latest issues that has been raised recently in the field of international trade as economic integration between countries has increased. Accordingly, considering the impact of the flow of business cycles on the economy of Iran and the process of integration of domestic market with the international financial markets, it is important to determine the impact of their business cycles synchronization and the effect of synchronization on the friction of financial markets and the financial depth. Due to the formation of business cycles and the process of friction and financial depth, the Switching Bayesian VAR (MSBVAR) method was used. The results showed that the synchronization of trade cycles between Iran and Germany during the 1985-2015 indicates the high coincidence and symmetry between the two business cycles. It was also found that the financial friction plays a significant role in justifying the degree of synchronization of business cycles during global financial crises. The regime 1 (the recession) has been more stable than the regime 2 (inflation) and it is highly probable to remain within the regime 1. <br /> The synchronization of business cycles is one of the latest issues that has been raised recently in the field of international trade as economic integration between countries has increased. Accordingly, considering the impact of the flow of business cycles on the economy of Iran and the process of integration of domestic market with the international financial markets, it is important to determine the impact of their business cycles synchronization and the effect of synchronization on the friction of financial markets and the financial depth. Due to the formation of business cycles and the process of friction and financial depth, the Switching Bayesian VAR (MSBVAR) method was used. The results showed that the synchronization of trade cycles between Iran and Germany during the 1985-2015 indicates the high coincidence and symmetry between the two business cycles. It was also found that the financial friction plays a significant role in justifying the degree of synchronization of business cycles during global financial crises. The regime 1 (the recession) has been more stable than the regime 2 (inflation) and it is highly probable to remain within the regime 1. <br /> https://jfr.ut.ac.ir/article_66350_0905191bd73315467fcdfcca3e7bb039.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-815319320170923A Pattern for Financial Constraint in Iranian FirmsA Pattern for Financial Constraint in Iranian Firms3653886635210.22059/jfr.2018.253033.1006621FAKarimPouralirezaPh.D. Candidate in Accounting, Tabriz Branch, Islamic Azad University, Tabriz, IranRasoulBaradaranAssociate Professor of Accounting , Tabriz Branch of Islamic Azad University Department of Management Economic and Accounting , Tabriz - IranYunesBadavar NahandiAssociate Professor of Accounting , Tabriz Branch of Islamic Azad University Department of Management Economic and Accounting , Tabriz - IranMehdeyZeynaliAssistant Professor of Accounting , Tabriz Branch of Islamic Azad University Department of Management Economic and Accounting , Tabriz - IranJournal Article20180225The Main aim of this study is to present a pattern to recognize the financial constraints and to rank the listed companies in Tehran stock exchange from the viewpoint of their financial constraints. To do so, studying the thematic literature and previous studies, 19 variables have been chosen to present the pattern. Then, the final pattern of financial constraints is presented based on operational cash flow using multi-variable regression tool with tabloid data. The statistical population of this study includes 171 firms during the time period of 2007-2017. At last, the final pattern of the study was presented with the abbreviated title of (BNPO) and incorporating 9 variables including: ROA, size of the firm, firm value, cash ratio, sales growth ratio, working capital ratio, operational profit ratio, sales ratio, and debt expense ratio were determined with a clarity rate of 46 percent.The Main aim of this study is to present a pattern to recognize the financial constraints and to rank the listed companies in Tehran stock exchange from the viewpoint of their financial constraints. To do so, studying the thematic literature and previous studies, 19 variables have been chosen to present the pattern. Then, the final pattern of financial constraints is presented based on operational cash flow using multi-variable regression tool with tabloid data. The statistical population of this study includes 171 firms during the time period of 2007-2017. At last, the final pattern of the study was presented with the abbreviated title of (BNPO) and incorporating 9 variables including: ROA, size of the firm, firm value, cash ratio, sales growth ratio, working capital ratio, operational profit ratio, sales ratio, and debt expense ratio were determined with a clarity rate of 46 percent.https://jfr.ut.ac.ir/article_66352_35264688902438b52c0c6b5ac5c1d399.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-815319320170923The Study of Monetary Policy, Exchange Rate and Gold Effects on the Stock Market in Iran Using MS-VAR-EGARCH ModelThe Study of Monetary Policy, Exchange Rate and Gold Effects on the Stock Market in Iran Using MS-VAR-EGARCH Model3894146635410.22059/jfr.2018.236370.1006472FAKhalilJahangiriAssistant Prof. of Financial Economics, Faculty of Economic and Management, Urmia University, Urmia, IranSeyed AliHoseini EbrahimabadPh.D. Student in Economics, Faculty of Economic and Management, Urmia University, Urmia, IranJournal Article20170723The main objective of this research is to investigate the effects of previous and current changes in monetary policy, foreign exchange market and gold-coin market on the overall performance of Tehran Stock Market. For this purpose, monthly reports of liquidity, exchange rate, gold-coin price and Tehran Stock Exchange Index were collected in the period from April 2001 to March 2017. The data were then analyzed using the MS-VAR and EGARCH approaches. The results of the estimation of the research model showed that in a model with two regimes, the former exchange rate return has a significantly positive effect on the return of stock market index and there is a significantly negative relationship between the performance of the stock market index and gold coin return in the regime one. Regarding the regime zero, the results were indicative of a positive and significant relationship between the past values of liquidity growth and the return of the stock market index. The results also showed that current shocks of exchange rate and liquidity have a significantly negative effect on the returns of Tehran stock exchange index. <br /> The main objective of this research is to investigate the effects of previous and current changes in monetary policy, foreign exchange market and gold-coin market on the overall performance of Tehran Stock Market. For this purpose, monthly reports of liquidity, exchange rate, gold-coin price and Tehran Stock Exchange Index were collected in the period from April 2001 to March 2017. The data were then analyzed using the MS-VAR and EGARCH approaches. The results of the estimation of the research model showed that in a model with two regimes, the former exchange rate return has a significantly positive effect on the return of stock market index and there is a significantly negative relationship between the performance of the stock market index and gold coin return in the regime one. Regarding the regime zero, the results were indicative of a positive and significant relationship between the past values of liquidity growth and the return of the stock market index. The results also showed that current shocks of exchange rate and liquidity have a significantly negative effect on the returns of Tehran stock exchange index. <br /> https://jfr.ut.ac.ir/article_66354_eab7cdd1f97d48054499de528e1af499.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-815319320170923The Investigation of Information Risk Pricing; Evidence from Adjusted Probability of Informed Trading MeasureThe Investigation of Information Risk Pricing; Evidence from Adjusted Probability of Informed Trading Measure4154386636010.22059/jfr.2018.251305.1006600FAMaryamDavallouAssistant Prof. in Financial, Faculty of Management and Accounting, Shahid Beheshti University, Tehran, IranNazaninAziziMSc. In Financial, Faculty of Management and Accounting, Shahid Beheshti University, Tehran, IranJournal Article20180127Information asymmetry is one of the most important uncertainties that investors are faced with. Empirical evidence states that information asymmetry is undiversifiable; hence, it’s expected to be priced and have an effect on the expected rate of return. The probability of informed trading (PIN) is the most popular indicator of information risk. This study aims to examine the pricing of information risk and its origin, for the first time, through dividing PIN into two sections of adjusted probability of informed trading (AdjPIN) and probability of symmetric order shocks (PSOS). For this purpose, the relationship between stock return and PIN components was examined through Fama-MacBeth regression (1973) in a sample of 43 companies listed on Tehran Stock Exchange from 2009 to 2015. The results stated that the adjusted probability of informed trading is priced; however, the probability of symmetric order shocks did not have a statistically significant effect. The same results were also obtained after volume changing through earning announcement periods. <br /> Information asymmetry is one of the most important uncertainties that investors are faced with. Empirical evidence states that information asymmetry is undiversifiable; hence, it’s expected to be priced and have an effect on the expected rate of return. The probability of informed trading (PIN) is the most popular indicator of information risk. This study aims to examine the pricing of information risk and its origin, for the first time, through dividing PIN into two sections of adjusted probability of informed trading (AdjPIN) and probability of symmetric order shocks (PSOS). For this purpose, the relationship between stock return and PIN components was examined through Fama-MacBeth regression (1973) in a sample of 43 companies listed on Tehran Stock Exchange from 2009 to 2015. The results stated that the adjusted probability of informed trading is priced; however, the probability of symmetric order shocks did not have a statistically significant effect. The same results were also obtained after volume changing through earning announcement periods. <br /> https://jfr.ut.ac.ir/article_66360_54730464fefe5f5452db3c292dcbdfed.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-815319320170923Dynamic Relations between Aggregate Mutual Fund Flows and Tehran Stock Exchange’s Index:A Hidden Co-integration ApproachDynamic Relations between Aggregate Mutual Fund Flows and Tehran Stock Exchange’s Index:A Hidden Co-integration Approach4394566636110.22059/jfr.2018.242980.1006527FAMohammadRostamiAssistant Prof. in Financial Management, Faculty of Social Sciences and Economics, Alzahra University, Tehran, IranFatemehTajeddinMSc.in Financial Management, Faculty of Social Sciences and Economics, Alzahra University, Tehran, IranJournal Article20171003With regard to the prominent role of mutual funds in financial markets, this study aims to examine the relationship between the mutual fund flows and the index of Tehran Stock Exchange (TEDPIX). For this purpose, the researchers used the daily data of 90 mutual funds during the period from March 2011 to March 2016 through <strong><em>"</em></strong>hidden co-integration approach and CECM. The study’s contribution is the implementation of hidden co-integration technique which enables researchers to identify the reaction of heterogeneous changes amongst two time series. Although, the results showed a hidden co-integration relationship between time series of mutual fund flows and TEDPIX, the findings of the study did not approve the standard co-integration relation amongst two time series. More specifically, there is a long-run relationship between positive components of flows and indexes, and another long-run relationship between the negative components and indices. <br /> <br /> With regard to the prominent role of mutual funds in financial markets, this study aims to examine the relationship between the mutual fund flows and the index of Tehran Stock Exchange (TEDPIX). For this purpose, the researchers used the daily data of 90 mutual funds during the period from March 2011 to March 2016 through <strong><em>"</em></strong>hidden co-integration approach and CECM. The study’s contribution is the implementation of hidden co-integration technique which enables researchers to identify the reaction of heterogeneous changes amongst two time series. Although, the results showed a hidden co-integration relationship between time series of mutual fund flows and TEDPIX, the findings of the study did not approve the standard co-integration relation amongst two time series. More specifically, there is a long-run relationship between positive components of flows and indexes, and another long-run relationship between the negative components and indices. <br /> <br /> https://jfr.ut.ac.ir/article_66361_30dd8c65ea1780c852d062f6a30abbb3.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-815319320170923Index Tracking and Enhanced Indexing Using Co-integration and Correlation ApproachesIndex Tracking and Enhanced Indexing Using Co-integration and Correlation Approaches4574746636310.22059/jfr.2018.245816.1006551FARezaEyvazlooAssistant Prof. in Financial Management, Faculty of Management, University of Tehran, Tehran, IranMojtabaShafizadehMSc. Student in Finance and Insurance, Faculty of Management, University of Tehran, Tehran, IranAliGhahramaniMSc. Student in Finance and Insurance, Faculty of Management, University of Tehran, Tehran, IranJournal Article20171113Index tracking is a passive investment which its aim is to form portfolio with limited number of stocks to catch same behavior in regard with the market index. The active portfolio management seeks to beat the market while passive portfolio management is looking for the similar risk-return pattern with market index. The passive portfolio management strictly has absorbed attention of investors because of its lower costs. In this research, cointegration and correlation approach are used for index tracking and enhanced indexing. Our benchmark index is Tehran Exchange Dividend & Price Index (TEDPIX). Out of sample results show that increase of in-sample time period will improve performance of models. Also, mentioning tracking error, cointegration approach has better performance than correlation approach. In the other hand, considering portfolio returns and information and sharp ratios, performance of model for index tracking is better than enhanced indexing.Index tracking is a passive investment which its aim is to form portfolio with limited number of stocks to catch same behavior in regard with the market index. The active portfolio management seeks to beat the market while passive portfolio management is looking for the similar risk-return pattern with market index. The passive portfolio management strictly has absorbed attention of investors because of its lower costs. In this research, cointegration and correlation approach are used for index tracking and enhanced indexing. Our benchmark index is Tehran Exchange Dividend & Price Index (TEDPIX). Out of sample results show that increase of in-sample time period will improve performance of models. Also, mentioning tracking error, cointegration approach has better performance than correlation approach. In the other hand, considering portfolio returns and information and sharp ratios, performance of model for index tracking is better than enhanced indexing.https://jfr.ut.ac.ir/article_66363_39de3880fe515f4fa4b1bd619be38350.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-815319320170923Assessment of the Systemic Risk Originated from the Currency Shocks in the Financial Markets of IranAssessment of the Systemic Risk Originated from the Currency Shocks in the Financial Markets of Iran4755046636410.22059/jfr.2018.246456.1006557FASaeedMohammadiaghdamMSc, in Islamic Studies and Financial Management, Imam Sadiq University, Tehran, Iran.Mohammad HosseinGhavamAssistant Prof of Financial, Imam Sadiq University, Tehran, IranMirfeizFallah ShamsAssociate Prof of Financial Management, Imam Sadiq University, Tehran, IranJournal Article20171125In the recent years, financial assets markets have faced with a variety of uncertainties like financial crisis, Oil momentums, currency policy changes and some similar ones. Occurrence of shocks which are considered as weak degrees of crisis has always accompanied with the effects in the micro and macro levels. Besides, occurrence of shocks may not be limited to targeted market, but could spill-over to other markets, especially financial markets. Therefore, the estimation of the severity and the causality of spillover from one market to another have special importance. The survey aims to assess the currency shock effect and its systemic risk severity in the financial market named capital, insurance and money markets. In this regard, by selection of difference of conditional value at risk estimator based on the quantile regression, estimation of systemic risk in the financial markets based on the quarterly periods from second quarterly of 2000 until fourth quarterly of 2016 have been provided. First step consequences confirmed that currency shocks were effective in reinforcing risk of the three markets and the results of the second step offering a systemic risk assessment showed that insurance market has faced the most exposure and contagion than the other markets. In addition, the contagion severity in the capital market and money market are among the other indicators. Finally, policy makers should prevent formation of financial crisis or diminish the effects of fluctuations or spillover by offering a comprehensive plan and adopting appropriate strategiesIn the recent years, financial assets markets have faced with a variety of uncertainties like financial crisis, Oil momentums, currency policy changes and some similar ones. Occurrence of shocks which are considered as weak degrees of crisis has always accompanied with the effects in the micro and macro levels. Besides, occurrence of shocks may not be limited to targeted market, but could spill-over to other markets, especially financial markets. Therefore, the estimation of the severity and the causality of spillover from one market to another have special importance. The survey aims to assess the currency shock effect and its systemic risk severity in the financial market named capital, insurance and money markets. In this regard, by selection of difference of conditional value at risk estimator based on the quantile regression, estimation of systemic risk in the financial markets based on the quarterly periods from second quarterly of 2000 until fourth quarterly of 2016 have been provided. First step consequences confirmed that currency shocks were effective in reinforcing risk of the three markets and the results of the second step offering a systemic risk assessment showed that insurance market has faced the most exposure and contagion than the other markets. In addition, the contagion severity in the capital market and money market are among the other indicators. Finally, policy makers should prevent formation of financial crisis or diminish the effects of fluctuations or spillover by offering a comprehensive plan and adopting appropriate strategieshttps://jfr.ut.ac.ir/article_66364_5138ab2e4d7f42d4fce1ac0f12c407f7.pdf