in many countries, particularly developing countries, economic reforms, especially privatization, are considered as a strategic approach. the growth of the government decreases the competition in the market, and so, some fields should be privatized in order to create the competition.  by moving towards privatization and the changes in competition methods and the presentation of the world trade,...

The aim of this paper is to empirically investigate the effect of Intellectual Capital (IC) and its components on financial performance of Iranian banks accepted in Tehran Stock Exchange (TSE). The financial performances were measured by return on equity (ROE), return on assets (ROA), assets turnover (ATO), and book to market ratio (MB). This research covers 14 banks listed in TSE over the peri...

Using a new hand-collected data set, this study examines the stock price manipulation in the Taiwan Stock Exchange (TSE). We examine the characteristics of the manipulated stocks, and their impacts on market quality. The results show that manipulated stocks tend to be small. The stock prices rise throughout the manipulation period, followed by a price reversal. The average cumulative abnormal r...

This study analyzes the importance of Tokyo Stock Exchange Co-Location dataset (TSE dataset) to forecast realized volatility (RV) stock price index futures. The heterogeneous autoregressive (HAR) model is a popular linear regression used RV. expands HAR using TSE dataset, full-board and market volume based on random forest method, which machine learning algorithm nonlinear model. new dataset. o...

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...

in this paper, a model has been provided for selecting right portfolio in stock exchange. the ranking of financial industries and companies has been applied for the selection of the right stock in this model. these rankings have been done through promethee decision- making method. technical analysis aims to determine the right time to buy and sell the superior stocks. a survey study is also don...

The main purpose of this paper is to propose an approach for performance measurement, classification and ranking the investment companies (ICs) by considering internal structure and uncertainty. In order to reach this goal, the interval network data envelopment analysis (INDEA) models are extended. This model is capable to model two-stage efficiency with intermediate measures i...

in this paper, we investigate the performance of parametric arch class models to forecast out-of-sample var for two portfolios of tehran stock exchange (tse) companies (market portfolio and a portfolio of 50 liquid companies), using a number of distributional assumptions and sample sizes at low and high confidence levels. we find, first, that leptokurtic distributions are able to produce better...