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کاربرد نوع شرط:
- جایگاه : پژوهشی
- مجله: بورس اوراق بهادار
- نوع مقاله: Journal Article
- کلمات کلیدی:
- چکیده: The main objective of this study is to find out whether an Artificial Neural Network (ANN) will be useful to predict stock market price, which is highly non-linear and uncertain. Specifically, this study will focus on forecasting TSE Price Index (TEPIX) as the most significant index of Iran Stock Market. Many data have been used as inputs to the network. These data are observations of 2000 days for a period of 9 years from 02/29/2000 to 12/03/2008. Data are divided into two categories; fundamental and technical data. The fundamental data used here are principal economic values like Dollar/Rials Exchange Rate, Gold price and Oil price. The technical data used are technical indices such as Moving Average (MA), Moving Average Convergence/Divergence (MACD), Relative Strength Index (RSI), Rate of Change (ROC), Momentum (MOM) and daily trading volume of stocks. The selected data are divided into training set and test set, in order to be entered into the network and the remaining 10% was used as the testing set. Training set consists 90% of data. This classification uses 3 different approaches to assemble the training and test data, including random, deterministic and consecutive selection. Here, a feed-forward neural network (FFNN) with the most suitable algorithm for finance (i.e. Back Propagation algorithm) was used for the prediction. Predictions were made for the next day of TEPIX with a 3-4-1 topology and 1500 epochs. The performance of the ANN was evaluated by MSE. Finally, the results showed that ANN could properly recognize the relationships between fundamental and technical data and TEPIX, so that the prediction of the next day was quite possible.
- چکیده انگلیسی: The main objective of this study is to find out whether an Artificial Neural Network (ANN) will be useful to predict stock market price, which is highly non-linear and uncertain. Specifically, this study will focus on forecasting TSE Price Index (TEPIX) as the most significant index of Iran Stock Market. Many data have been used as inputs to the network. These data are observations of 2000 days for a period of 9 years from 02/29/2000 to 12/03/2008. Data are divided into two categories; fundamental and technical data. The fundamental data used here are principal economic values like Dollar/Rials Exchange Rate, Gold price and Oil price. The technical data used are technical indices such as Moving Average (MA), Moving Average Convergence/Divergence (MACD), Relative Strength Index (RSI), Rate of Change (ROC), Momentum (MOM) and daily trading volume of stocks. The selected data are divided into training set and test set, in order to be entered into the network and the remaining 10% was used as the testing set. Training set consists 90% of data. This classification uses 3 different approaches to assemble the training and test data, including random, deterministic and consecutive selection. Here, a feed-forward neural network (FFNN) with the most suitable algorithm for finance (i.e. Back Propagation algorithm) was used for the prediction. Predictions were made for the next day of TEPIX with a 3-4-1 topology and 1500 epochs. The performance of the ANN was evaluated by MSE. Finally, the results showed that ANN could properly recognize the relationships between fundamental and technical data and TEPIX, so that the prediction of the next day was quite possible.
- انتشار مقاله: 11-10-1348
- نویسندگان: Mohsen Dastgir,Mohsen Dastgir,
- مشاهده
- جایگاه : پژوهشی
- مجله: Journal of Industrial Strategic Management
- نوع مقاله: Journal Article
- کلمات کلیدی: investment,institutional investors,accruals,Ownership Concentration
- چکیده:
- چکیده انگلیسی: In this research using theoretical predictions from a real option-based investment framework, the present study aims to examine the effects of stock returns volatilities on changes of working capital accruals of firms. In addition, the moderating effect of variables such as, life cycle and ownership structure on the relationship between stock return volatilities and working capital accruals is studied. The statistical sample of this research consists of 111 firms accepted in Tehran Stock Exchange from 2004 to 2017.The research hypotheses are also examined by Generalized Least Squares (GLS) regression analysis. The results show that there is a significant negative relationship between volatilities of stock return and changes of working capital accruals of firms in general. On the other hand, results indicated that the effect of stock returns volatilities on firms is not the same in different stages of life cycle. this negative effect is at its highest level for mature companies and lowest level for decline companies and in the end results indicated that both ownership concentration and institutional investors in ownership structure of firms decreases the negative effect of stock returns volatilities on firms working capital accruals.
- انتشار مقاله: 18-09-1398
- نویسندگان: Mohsen Dastgir,Nader Khedri,Afsaneh Soroushyar
- مشاهده
- جایگاه : پژوهشی
- مجله: Journal of Health Management and Informatics
- نوع مقاله: Journal Article
- کلمات کلیدی:
- چکیده:
- چکیده انگلیسی: Introduction: Today, businesses must focus on profits on the one hand and social and environmental issues on the other hand to make balance between them. Conservation and sustainability are increasingly dependent on observance of corporate social responsibilities. For this reason, business units report on their sustainability and environmental accounting. The aim of this study was to examine and model the factors influencing the use of environmental management accounting tools from the points of view of financial managers and assistants who are in the oil refining and petrochemical companies.Method: The method used in this study was based on a descriptive survey and its design was quasi-experimental. For the field of study, a questionnaire including 5 general and 31 specific questions was used. The population consisted of financial administrators and assistants in oil refining and petrochemical companies, a subsidiary of the national oil company. There was no sampling method used and we tested the whole society including 182 people. To evaluate the reliability of the questionnaire, Cronbach’s Alpha and spilit-half were used. The measurement tools used in the study were reliable and none of the questions was removed.One sample t-test, Pearson correlation, confirmatory factor analysis, path analysis, structural equation modeling, two sample T-test and analysis of variance were performed by using LISREL and SPSS software.Results: The result of this test by using confirmatory factor analysis and structural equation test showed that the significance level of all the factors were larger than 1/96 and all the routes specified in the model were significant. Culture of the society in dealing with environmental issues, with a significance level of 5/54, had the greatest impact among the factors influencing the use of environmental management accounting tools.Conclusion: According to the results of the study, it is recommended that, by using personality tools, the right people should be appointed in organizational position in that agency to implement environmental management accounting and it is necessary to establish the use of tools in reducing environmental pollution.Keywords: EMA, Culture, Standard
- انتشار مقاله: 10-04-1396
- نویسندگان: Zohre Karimi,Mohsen Dastgir,Mehdi Arab Salehi
- مشاهده
- جایگاه : پژوهشی
- مجله: International Journal of Finance and Managerial Accounting
- نوع مقاله: Journal Article
- کلمات کلیدی: Auditors,limitations on implementation of risk-based auditing,employers,rules and regulations
- چکیده:
- چکیده انگلیسی: In this study, we investigate the problems and obstacles of implementing the risk-based auditing in Iran. We set four hypotheses and used questionnaire containing 45 questions to collect the required data. The questionnaires were distributed between Iranian certified public accountants who were partners or directors of audit firms and audit organizations member of Iranian certified public accountant institute. To determine the validity of the research questionnaire limited number of questionnaires distributed between small sample of respondents and their views taken into account. The Cronbach’s alpha test is used to measure reliability of the questionnaire. The results of this study indicated that, lack of the theoretical foundations and regulations of risk-based auditing in Iran, structure and function of auditors and audit firms and factors related to the clients are the obstacles and limitations on implementation of risk-based auditing in Iran Then the most important factors prioritized using fuzzy hierarchy analysis. For this reason, a questionnaire was developed with 16 factors from approved hypotheses. Results revealed that related factors with the auditors and unfamiliarity of auditors with IT and lack of educational resources were the most important obstacles and limitations on implementation of the risk-based auditing in Iran.
- انتشار مقاله: 18-10-1398
- نویسندگان: Seyed Mansour Yazdaniyan,Mohsen Dastgir
- مشاهده
- جایگاه : پژوهشی
- مجله: International Journal of Finance and Managerial Accounting
- نوع مقاله: Journal Article
- کلمات کلیدی: Behavioral Finance,market anomaly,Monthly Effect,Space-time-frequency analysis,market tension
- چکیده:
- چکیده انگلیسی: Anomaly is an incident or event that cannot be explained by the dominant theories. Anomalies are situated in confronting with the efficient market theory, so that it provides conditions for stock trading strategies with additional returns in case of existing predetermined returns. Therefore, in this study, the anomaly due to monthly effects on the stock volume trading and the Tehran Stock Exchange index volatility during the period from 2006 to 2016 is investigated. Two hypotheses are set and are tested using Space-Time-Frequency Analysis (continuous wavelet transform and short time Fourier transform).
The results of testing research hypotheses indicate that The Tehran Stock Exchange is inefficient. The volume of stock trading and the volatility of stock index in the first half of month are different from the second half of the month. Results also show that market tension in the first half of month is more than the second half of the month.- انتشار مقاله: 26-01-1396
- نویسندگان: Saman Mohammadi,Mohsen Dastgir,Mehrdad Ghanbari
- مشاهده
- جایگاه : پژوهشی
- مجله: International Journal of Finance and Managerial Accounting
- نوع مقاله: Journal Article
- کلمات کلیدی: personality traits,Risk Aversion,return on a portfolio,performance analysts,financial behaviour
- چکیده:
- چکیده انگلیسی: The relationship between finance and other social sciences as known behavioural finance, evaluate investors to the decision-making process and their reaction to different conditions of financial markets deals. In this study assumed that analysts are specialist in fundamental and technical analysis and then influence their personality characteristics is evaluated on their performance. Statistical population and the sample of this study consist of capital market analysts. Required data is collected by a combined questionnaire. The research hypotheses are tested using Pearson’s correlation tests. The results show that there is a significant correlation between extraversion features, Agreeableness, Consciousness and personal control to the degree of risk aversion, but no significant relationship was observed between personality characteristics and returns portfolios analysts. In addition, no significant relationship was observed between the type of fundamental analysis and technical analysts and degree of risk aversion. In addition, findings show that the degree of risk aversion has inverse relationship whit capital market analyst’s tendency investment. Also, analyst’s whit characteristics of extroversion, agreeableness and Consciousness are more likely to invest in short-term and long-term investments.
- انتشار مقاله: 16-06-1394
- نویسندگان: Khadijeh Ebrahimi,Mohsen Dastgir,Zohreh Latifi
- مشاهده
- جایگاه : پژوهشی
- مجله: Advances in Mathematical Finance and Application
- نوع مقاله: Journal Article
- کلمات کلیدی: Real Option,Fuzzy Delphi Hierarchical,Photovoltaic Plant,Fuzzy Black-Scholes model
- چکیده:
- چکیده انگلیسی: Investment in renewable energies especially solar energies is encountered with numerous uncertainties considering the increased dynamism in economic and financial conditions and makes investment in this field irreversible to a large extent, paying attention to modern methods of economic appraisal of such investments is highly important. A framework is provided in the current study in order to employ the real option theory in evaluation of photovoltaic plants comparing with traditional methods. To this end, first, uncertainty factors of these plants in Isfahan province (one of highly susceptible regions in Iran) are identified from the view point of experts and impact factor of each one on interests and expenses of the above plant will be evaluated in order to insert these parameters in the form of fuzzy numbers in the model for better coverage of uncertainty. Then, the project under study is evaluated through both traditional methods and fuzzy real option approach with the help of Black-Scholes model and the results are compared. The results disclosed that investment value in these plants is increased if real expansion and abandonment options are considered. As a result, the real option theory has a higher adequacy than the traditional methods for evaluation of projects.
- انتشار مقاله: 15-06-1397
- نویسندگان: Mohammad Mashhadizadeh,Mohsen Dastgir,Soheil Salahshour
- مشاهده