in this paper using catastrophe theory, we investigate non-smooth changes in tehran stock exchange. stock market crashes bring not only panic among investors, but also in deeper market lead to recession and decrease in consumer's confidence. as catastrophe theory is strong tool in explaining nonlinear phenomena, by applying stochastic cusp catastrophe model we examine sudden change in tehr...

How the investors react to the received information plays a crucial role in determining the return of stock exchange market. Supply and demand based upon incorrect decisions lead to the price deviation of inherent values. This paper aims to study the impact of salience phenomenon on disproportionate pricing and investor overreaction in the corporates in Tehran stock exchange. Research methodolo...

the present research aims to evaluate impacts of crude oil price return index, bloomberg petroleum index and bloomberg energy index on stock market returns of 121 companies listed in tehran stock exchange in a 10 years' period from early 2006 to april 2016. first, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. subsequently, to che...

This study aims to investigate the effect of corporate social responsibility disclosure (CSRD) on financial distressed risk (FDR) among firms listed Tehran Stock Exchange (TSE). paper also examines whether there is a negative linkage between institutional ownership as governance mechanism and bankruptcy. The final research purpose analyze if moderating owners relationship CSRD FDR too. sample c...

Uncertainty is a prominent feature of real world problems and more especially financialmarkets; with this in mind, dealing with uncertainty becomes a necessary part of performanceevaluation by means of data envelopment analysis. This paper presents three robust dataenvelopment analysis (DEA) models and their application for performance evaluation inTehran Stock Exchange (TSE). Based on the resu...

Abstract This study explores the graduation of initial public offering (IPO) firms and regulatory reforms in junior stock markets. Using listed on two markets Tokyo Stock Exchange (TSE), Market high-growth emerging stocks (MOTHERS) JASDAQ Securities (JASDAQ), we examine factors that affect time to TSE main We find young IPO those with high research development (R&D) intensity are less likel...

The purpose of this study is to compare the impacts of momentum on stock returns of companies listed in Tehran Stock Exchange in different market conditions. For this purpose, the sample size is 120 months from 2008 to 2017. The research hypotheses are estimated using multivariate linear regression using time series method. Based on the results of the hypotheses test, the momentum in each of th...

there have been several efforts in the literature to extract as much information as possible from the financial networks. most of the research has been concerned about the hierarchical structures, clustering, topology and also the behavior of the market network; but not a notable work on the network filtration exists. this paper proposes a stock market filtering model using the correlation - ba...

modeling and analysis of future prices has been hot topic for economic analysts in recent years. traditionally, the complex movements in the prices are usually taken as random or stochastic process. however, they may be produced by a deterministic nonlinear process. accuracy and efficiency of economic models in the short period forecasting is strategic and crucial for business world. nonlinear ...