نتایج جستجو برای: sorted equity indices in tehran stock exchange (tse). although daily return of large stocks leads small stocks (lead
تعداد نتایج: 24524080 فیلتر نتایج به سال:
return and volatility spillovers are important for portfolio selection, asset valuation and market efficiency investigation. using a var-bekk framework model, this paper investigates return and volatility spillover effects between three size-sorted equity indices in tehran stock exchange (tse). although daily return of large stocks leads small stocks (lead-lag effect), there wasn’t any spillove...
The aim of this study is to investigate the dynamics of information risk at the Tehran Stock Exchange (TSE). We estimated the daily probability of information based trade (PIN) for 22 stocks from 11 different industries of TSE over 4 years. The total average of the daily PIN for all stocks was 27% from 2013 to 2016. The lowest and the highest average of PIN estimates for individual stocks are 2...
contrarian and momentum investing strategies are two techniques which are used in stock markets to enhance portfolio return. contrarian investing strategy states that stocks which had better performances in the past should be sold and stocks that had poor performances should be bought. in practice, this strategy is used for a package of stocks and for portfolio formation. the main objective of ...
In this article the relationship between market return and volatility is examined by applying out- of- sample methodology and ARCH (M) class models in the Tehran Stock Exchange (TSE) and international stock exchanges. The results are inconsistent with portfolio theory implications in NASDAQ, ISE and TSE. However I found only negative relationship between unexpected volatility and monthly return...
In financial markets, the symmetry of information and the homogeneous interpretation of information among traders is one of the main conditions for market efficiency, but these conditions are in fact violated. In this paper first; we accurately estimated the dynamic measures of trades stemming from information asymmetry and diverse opinions among investors indices by a hidden Markov model. Ther...
some researches made in the field of agency problem issue, deal with the role of control systems regarding owners and managers. in this research the relationship between the two control mechanisms, namely the voluntary disclosure (external control mechanism) and outside directors (internal control mechanism), which are reductive of agency problems, has been studied. for this reason, a sample ...
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...
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...
stock selection criteria play a key role in contrarian portfolio construction. the usual approach is applying cumulative return as stock selection criteria however applying this criterion leads to ranking stocks without considering investment risk. in this study, we analyze contrarian strategies that are based on reward–risk stock selection criteria in contrast to ordinary contrarian strategies...
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...
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