Sharif Digital Repository

The purpose of this research is to study the relationship between Tehran Stock Market Return and Macroeconmic Variables. Macroeconomic Variables considered in this research are Inflation Rate, Economic Growth Rate, Money Supply, Foreign Currency Exchange Rate, Interest Rate, and Crude Oil Price. The relationship between Tehran Stock Market Return and the return of local and global markets is studied as well. Financial Markets play a special role in developing counties like Iran and rapid development of them can play a significant role in transition from a traditional economy to concepts of globalization. In current time that liberalization and privatization policies are of high interest in... 

In the present research, the weak level efficiency of securitise market is reviewed and examined .Therefore the “Random Walk Hypothesis” has been examined on the time series of daily efficiency index of TEHRAN SECURITISE MARKET. The main difference between this research and the previous researches which have been performed previously in Iran, is the method of Hypothesis Test. The” Variance Ratio Test” has been used as a method of Hypothesis’ Test. In the second chapter, the theoretical and experimental literatures of this research has been described in detail. In parallel with the ” Variance Ratio Test”, the impact of the Day of week and the “HETROSCEDASITY TEST” also has been... 

Since the seminal work of Modigliani and Miller, the basic question of whether a unique combination of debt and equity capital maximizes the firm value, and if so, what factors could influence a firm’s optimal capital structure have been the subject of frequent debate in the capital structure literature. Empirical work in this area has lagged behind the theoretical research, perhaps because the relevant firm attributes are expressed in terms of fairly abstract concepts that are not directly observable and furthermore capital structure decision-making is even more complicated when it is examined in an international context, particularly in developing countries where markets are characterized... 

Nowadays, in many financial markets, policy makers impose daily price limit to prevent investors from making emotional decisions, which can lead to abnormal price volatility. A number of theoretical and empirical studies have been conducted on the effectiveness of setting price limit, some supporting the idea and other rejecting. In this research, we begin with a detailed analysis of magnet effect as one of the consequences of setting price limit. Then we study the stock price of five firms listed in Tehran Stock Exchange (TSE) by means of an autoregressive model with explanatory variables to determine whether or not the magnet effect exists. These five firms, put together, comprise 23% of... 

Volatility is the most important components in numerous finance applications. So, the methods of volatility forecast with reasonable accuracy require a deep attention.In this thesis with considering several distributions for error term, GARCH forecasting performance is evaluated on the intra- day data of "Foolad" stock returns by two loss functions of "MAE" and "HMAE". This evaluation is done in three forecast horizons, 1 day, 5 days and 20 days. Finally, the result of this study is as follows. GARCH (1, 1) forecast model with skewed t- student error distribution has the minimum value in the both loss functions for 1 day and 5 day forecast horizons. Also GARCH (1, 1) forecast model with t-... 

Futures exchanges require a margin requirement that ensures their competitiveness and protects against default risk. The purpose of a margin requirement is to protect a clearinghouse from members’ defaults resulting from big losses due to adverse movement of futures prices. Extreme movements are central to the margin setting problem, because only a large price variation may cause brokers to incur losses. So in this study according to recent default in gold futures in Iran Mercantile Exchange we apply extreme value theory for computing unconditional and conditional optimal margin levels based on Block-Maxima and Peak over threshold approaches.The results show that at very high confidence... 

Exchange rate is one of the key variables which affect different sectors of the economy. Volatile exchange rate causes uncertainty for investors, and inappropriate allocation of resources. Consequently, the high volatility of exchange rate should be considered for investment risk assessment. Base metals industry is one of the main industries in Iran which is largely affected by exchange rate volatility. In this thesis first we model the exchange rate volatility by an ARJI model. Then we use the estimated volatility in a GARCH model to derive the volatility and to estimate the VaR of base metals Index. We backtest the estimated VaR, and compare it with the VaR calculated by GARCH without... 

In this thesis, we simulate the competition between some investment strategies based on dividends with each other and with mean-variance strategy (Markowitz) in an evolutionary finance framework. We perform simulations by two different approaches. In the first one, we use real dividend data and, in the second one we use dividends that are generated according to a dividend factor model. The dividend factor model which relates the dividends to the macro-economic factors is estimated from data using principal component analysis. Our simulations show that in this competition, the evolutionary portfolio rule will eventually hold the total market wealth. According to this simple rule the portfolio... 

This thesis proposes two methods for backtesting VaR models. The first is the combination of saddlepoint technique with Berkowitz backtesting and the second is based on maximum loss which uses Fischer-Tippet theorem to backtest VaR models. Monte Carlo simulation studies show that the power of these new backtests, especially the latter which is easy to use, is not less than complex Backtests that are well-known for their accuracy  

Behavioral finance researchers have introduced behavioral biases, derived from psychology, to financial models in order to make them more realistic and to increase their explanatory power.One of the best known of these biases, considered in behavioral finance literature, is overconfidence, which means investors overestimate their own knowledge and ability to evaluate securities. Several theoretical models have studied the effects of this bias on financial markets and many empirical models have examined their assumptions, looking for whether investors are overconfident or not. Explained by these models, price overreaction to private information arrival and underreaction to public signal, is... 

In this thesis, we study the dependence structure between the Tehran Stock Exchange and over-the-counter market, as the two main Iranian capital market institutions. Several constant and time-varying conditional Copula functions are used to model this dependence structure from October 2009 to August 2014. It is shown that, compared to constant conditional copulas, time-varying conditional copulas, provide a better performance. Analyzing the conditional tail dependence of these indices shows an asymmetric dependence structure. Also, investigating the dynamic conditional correlation and conditional tail dependence, using time-varying conditional copulas, reveals large variations and an... 

As we know the return of some financial assets has a different distribution from the normal. Given that in the traditional methods of evaluating the mutual funds’ performance such as mean-variance (MV) and models based-on capital assets pricing model (CAPM), returns of financial assets distributions have been assumed normal, using mentioned methods is invalid. In this study, we have used some traditional methods such as the Sharpe benchmark, treanor benchmark and Jensen’s alpha and have pointed out some problems in using them as an instance case. Stochastic dominance criteria which do not require the assumption of normal distribution of return and also have less restrictive assumptions were... 

This thesis has two section. In the first section, this thesis studies the dynamic behavior of daily oil prices and finds strong evidence of GARCH as well as conditional jump behavior. This implies that conditional heter oscedasticity is present and the empirical distribution of oil price changes has heavy tails. Thus, the oil price consider ably sensitive to news and does not settle around along-run trend.In the second section This thesis investigates the out-of-sample value-at-risk (VaR) forecasts in gulf cooperation council stock markets by considering both oil volatilities and the developed GARCH model construction. The em-pirical results indicate that the Oil GARCH model with... 

The present study investigated day of the week effect on stock market returns and the stock market returns and volatility relationship in Tehran Stock Exchange. In this part two regression models is been used and theory that effect of days are meaningful on return and also the theory of meaningfulness and being equal of relation between return and volatility in different days of the week has been examined on index return of all market and on industry indexes in separately. Therefore we have utilized information from time series of total index week days categorized into 8 industries during 2008-2013. The results obtained on weekdays effect on the index of the first model and second model... 

In this research we study the capacity on insurance industry to respond to catastrophe risk. For this purpose we use insurance factory data from 1383 to 1394 and based on variables such as fire premium, loss, payment and financial data during the period. Estimations were made based on two cases: using raw data and detrend it. The result in both cases indicate that the insurance industry does not have the sufficient capacity to respond to potential loss caused by natural disaster  

Investors are looking for profit making oppurtunities and using them to maximize their wealth. For investing in stock exchange, investors should be able to valuate the stock price rationally, so that he/she can define which stocks are trading below their intrinsic value. Stock price is the discount of future dividends of stock, but for discounting accurate rate is needed. Main goal of this study is presenting a way to calculate the proper discount rate or expected rate of return for investors. Method which has been studied in this thesis is “Fama & French five factor asset pricing model” which has been publish 2015 (Fama & French, 2015). The model concentrates on five factors to describe the... 

Many studies point to a possible new stylized fact for financial time series: the multifractality. Several authors have already detected this characteristic in multiple time series in several countries. With that in mind and based on Multifractal Detrended Fluctuation Analysis (MFDFA) method, this thesis analyzes the multifractality in the Tehran Stock Exchange. This analysis is performed with daily data from Tepix index (Tehran stock exchange's main index) and other three highly marketable stocks in the Tehran Stock Exchange (Pharma index, Oil index and Metal index), wich making up 1782 observations for each index in the period from March 21, 2011 to Aug 22, 2018. We found that the studied... 

Risk management is one of the most important topics in banking. Risk management in banking is divided to several categories including credit risk. Credit risk is also divided to individual credit risk and portfolio credit risk. In Iran many of banks have worked on individual credit risk models, but few of them have worked on portfolio models because these models have developed only in recent years. In our project we present three categories of credit risk models and then analyze the data of a private bank in Iran with CreditPortfolioView model. In CreditPortfolioView model, macroeconomic parameters are used to analyze the correlated behavior of individuals as a benchmark in different... 

After introducing “Prosopect Theory” by Kahneman and Tversky in 1979, it is mostly used as an alternative to expected utility theory in order to study human decision making under risky situatutions. Loss aversion has been considered as an important aspect of this theory. In this study, we review loss aversion and the effects of education and gender on it. Finally, we study the effect of repeating a gamble on its participants’ loss aversions. The results show that education and gender have direct effects on loss aversion and repeating a gamble can decrease loss aversion of participants.

 

During the last years, a more volatile and dynamic financial environment has caused an increasing concern about the stability of banking systems. In this sense, it is widely agreed that credit risk is one of the variables that are more directly related to financial stability. One of the most important purposes of modeling credit risk, is estimating credit loss distribution and forecasting expected loss. In this research, we estimate and analysis credit loss by considering macroeconomic variables and latent factors. We express loans losses in terms of four stochastic components: default frequencies, the size of the loans portfolio, the exposures at default and the losses given default. ...