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کاربرد نوع شرط:
- جایگاه : پژوهشی
- مجله: Iranian Journal of Finance
- نوع مقاله: Journal Article
- کلمات کلیدی: Tehran Stock Exchange,credit settlement,calendar anomalies
- چکیده:
- چکیده انگلیسی: Market efficiency paradigm and time patterns concerned, as "calendar anomalies" is a contradictory issue for researches. TSE's market participants have a negative understanding of the 6th and 12th month of the fiscal year and this issue is rooted in the obliged credit settlement of the brokerage industry at the year-end. The purpose of this study is to investigate the TSE's total return before and after brokerage firms' year-end. Using GARCH-PQ, and data of market index in periods between 1390 and 1396, we concluded that periods of1st to 22ndof 6thand 12th months,and 22nd to the end of 6th and 12th months, have respectivelynegative and positive effectson TSE's stock index.
- انتشار مقاله: 11-10-1348
- نویسندگان: Mahmood Pakbaz,Shahin Ahmadi,Majid Feshari
- مشاهده
- جایگاه : پژوهشی
- مجله: Iranian Economic Review
- نوع مقاله: Journal Article
- کلمات کلیدی: inflation,Exchange rate pass-through,Dollarization,Generalized Method of Moments
- چکیده:
- چکیده انگلیسی: T he investigation of exchange rate pass-through is an important issue in international finance. The relationship between exchange rate pass-through and exchange rate arrangements such as the dollarization regime has been examined in recent decades. For this purpose, the main objective of this study is to investigate the effect of exchange rate pass-through on the domestic inflation in selected Middle Eastern and North Africancountries with emphasis on the dollarization regime over the period from 1994 to 2012. The empirical model has been estimated by GMM approach for these countries. The main findings of this paper reveal that exchange rate appreciation (currency depreciation) has a positive and significant influence on the domestic inflation, and this effect is greater than in highly dollarized economies.
- انتشار مقاله: 22-01-1394
- نویسندگان: Seyed Kamal Sadeghi,Majid Feshari,Maryam Barzegar Marvasti,Zhila Ghanbari
- مشاهده
- جایگاه : پژوهشی
- مجله: International Economics Studies
- نوع مقاله: Journal Article
- کلمات کلیدی: Inflationary Environment,Inflation Targeting and Exchange Rate Anchor Regimes,Dynamic Panel Data Approach
- چکیده:
- چکیده انگلیسی: The main objective of this paper is to investigate the effects of monetary regime (countries with inflation targeting monetary policy versus countries with exchange rate anchor) on the extent of exchange rate pass-through over the period of 1999-2010. To achieve this objective, the econometric model has been estimated by Dynamic Panel Data approach and Arrelano- Bond (AB) method. The empirical findings indicate that the interaction effect of monetary regime with exchange rate has a negative and positive impact on the exchange rate pass-through in first and second groups of countries respectively. However, the cross effect of inflationary environment with nominal effective exchange rate has negative and significant effect on domestic price level in the both groups of countries. Hence, overall, the Taylor hypothesis has been confirmed.JEL Classification: C23:F14:F31
- انتشار مقاله: 25-03-1395
- نویسندگان: Ali Reza I Kazeroon,Majid Feshari
- مشاهده
- جایگاه : پژوهشی
- مجله: International Economics Studies
- نوع مقاله: Journal Article
- کلمات کلیدی: Iran,non,Johansen’s Co-integration Technique,Keywords: GARCH Model,Non-oil Export,Johansen’s Co,integration Technique,Oil Export,Real Exchange Rate
- چکیده:
- چکیده انگلیسی: Up to now, the impact of real exchange rate on the non-oil exports of Iran has been mainly on focus. However, the more important aspect of the fluctuations in exchange rate is its degree of volatility which can have profound effect on the non-oil exports. Hence, the main objective of this paper is to investigate the linkage between non-oil exports and the real exchange rate volatility for Iran over the period of 1971-2007. For this purpose, a proxy for the real exchange rate volatility has been estimated by using GARCH model. Then, a conventional exports function has been estimated by Johansenâs multivariate co-integration approach. The empirical findings reveal that among the explanatory variables, the real exchange rate and its volatility have positive and negative impact on the non-oil exports of Iran respectively. JEL Classification: C22, F14, F33
- انتشار مقاله: 25-03-1395
- نویسندگان: Alireza Kazerooni,Majid Feshari
- مشاهده
- جایگاه : پژوهشی
- مجله: Iranian Journal of Economic Studies
- نوع مقاله: Journal Article
- کلمات کلیدی: Iran,ICT indices,Tourism Demand,FMOLS Co-integrating Approach
- چکیده: فناوری اطلاعات و ارتباطات یکی از مهمترین عوامل تعیینکننده بخشهای اقتصادی مرتبط با تجارت الکترونیک و بهویژه صنعت گردشگری در کشورهای درحالتوسعه همانند ایران است. برای این منظور، هدف اصلی این مطالعه، بررسی ارتباط کوتاهمدت و درازمدت بین شاخصهای فناوری اطلاعات و ارتباطات (فاوا) مانند کاربران اینترنت، نسبت مخارج صرف شده دولت بر فناوری اطلاعات و ارتباطات به تولید ناخالص داخلی حقیقی و تعداد مشترکین تلفن همراه در اقتصاد ایران طی سالهای 1373-1394 است. برای نیل به این هدف، الگوی تجربی تحقیق به روش هم جمعی حداقل مربعات اصلاحشده برآورد شده است. نتایج تخمین الگو دلالت بر وجود یک رابطه تعادلی درازمدت بین شاخصهای فناوری اطلاعات و ارتباطات و تعداد گردشگران واردشده به کشور بهعنوان متغیر جایگزین برای تقاضای گردشگری داشته و متغیرهای توضیحی هزینههای زندگی در کشور مقصد، نرخ واقعی ارز و عادت رفتاری به ترتیب تأثیر منفی و اثر مثبت و معنیدار بر تقاضای گردشگری ایران در دوره زمانی موردمطالعه دارند؛ بنابراین سرمایهگذاری دولت در شاخصهای فناوری اطلاعات و ارتباطات مانند بهبود نسبت هزینههای صرف شده در بخش ICT و نیز ارتقای کیفیت آن ازجمله مهمترین پیشنهادهای سیاستی برگرفته از نتایج این پژوهش برای سیاستگذاران اقتصادی است.
- چکیده انگلیسی: The ICT is one of the main determinant factors of e-commerce industry such as tourism industry in developing countries like Iran. For this purpose, the main objective of this paper is to investigate the long-run relationship between ICT indices such as internet users, government expenditures on ICT to the GDP and mobile cellular in Iranian economy during the 1976-2014. The empirical model has been estimated by applying FMOLS co-integrating method as a sophisticated econometric methodology. The results of empirical results indicate that there is a long-run relationship between ICT indices and tourism demand indicators like number of tourist arrival in Iran. Moreover, the other explanatory variables such as living cost, real exchange rate and behavioral habit have negative and positive effects on the tourism demand respectively. The investment of government in ICT indices such as improving the share of ICT expenditures in GDP and enhancing the ICT quality are the important policy implications of this study
- انتشار مقاله: 05-07-1395
- نویسندگان: Majid Feshari,Majid Feshari,Majid Feshari
- مشاهده
- جایگاه : پژوهشی
- مجله: Advances in Mathematical Finance and Application
- نوع مقاله: Journal Article
- کلمات کلیدی: The asset valuation models,Confidence interval,Black Scholes model,Stochastic differential equations
- چکیده:
- چکیده انگلیسی: The forecast is very complex in financial markets. The reasons for this are the fluctuation of financial data, Such as Stock index data over time. The determining a model for forecasting fluctuations, can play a significant role in investors deci-sion making in financial markets. In the present paper, the Black Scholes model in the prediction of stock on year later value, on using data from mellat Bank and Ansar Bank shares in the year 2017-2018, in has been evaluated, and using a numerical method Euler Murayama and computer simulation with the Maple software, for simulated data, gained averages and Standard deviations, confidence interval and their normal histogram are plotted. Also, average of the answers obtained from computer simulations is compared with actual ones, and after ana-lyzing and reviewing the results, performance of the Black-Scholes model has been measured, in stock value prediction. And in the end, this research is com-pared with internal article, and suggestions for future research are raised.
- انتشار مقاله: 05-03-1398
- نویسندگان: Mehran Paziresh,Mohamad Ali Jafari,Majid Feshari
- مشاهده