This paper examines the relationship between the stock crash risk of REITs and different types of institutional investors. First, when we classify REIT institutional investors by their legal type, we find that the ownership of pension funds (bank trusts) is negatively (positively) related to REIT crash risk. In addition, the trading of investment companies, including mutual funds, has become po...

We see that the price of an european call option in a stochastic volatility framework can be decomposed in the sum of four terms, which identify the main features of the market that affect to option prices: the expected future volatility, the correlation between the volatility and the noise driving the stock prices, the market price of volatility risk and the difference of the expected future v...

Authors present the stock price prediction algorithm by using Bayesian network. The present algorithm uses the network twice. First, the network is determined from the daily stock price and then, it is applied for predicting the daily stock price which was already observed. The prediction error is evaluated from the daily stock price and its prediction. Second, the network is determined again f...

The current study evaluates how gender diversity impacts the stock price, whether on audit committee, commissioners, or directors, using firm size as moderating variable. A total of 240 secondary data samples were derived from 24 publicly listed banking institutions 2012–2021. multiple regression and moderated analysis used to process sample research was considered most suitable for this study....

the aim of this study is to explore the feasibility of setting up a commodities futures market in iran. specifications for the margin requirements, daily price movement limits, the length of expiration intervals, tick sizes and contract size of various potential future contracts are hereby examined. saffron, pistachio and rice emerge as the three suitable iranian agricultural commodities. a new...

After credit risk, liquidity risk is probably the next most important risk faced by the finance industry; and yet the study of liquidity is far less advanced. This may be in part due to the fact that there is no agreed definition of what liquidity is, even in qualitative terms; everyone would agree that the effect of illiquidity is to make it difficult or costly to trade large volumes of the un...

This paper employs a general non-linear analysis tool to analyse the nature of time series associated with the price (returns) of a particular company in Tehran Stock Exchange. It is shown that the behavior of the process associated with the price (returns) time-series of this company is weakly chaotic, and due to the non-random behavior of the process, short term prediction of stock price is p...

Fundamental and technical analyses are two common methods for predicting the future behavior of the stock. Fundamental analysis focuses on the economic forces of supply and demand which cause stock prices change. On the other hand, technical analysis examines historical data relating to changes in the price and trading volume by using graphs and indicators as a primary tool to predict future pr...