s tock returns of companies listed on the stock exchange is one of the most important criteria in assessing the macroeconomic. this study investigates the effect of exchange rate volatility on the stock exchange returns of d8 countries. it takes monthly data during the period (2008:1-2015:6) constituting 90 observations. at first we used panel-garch model to estimate exchange rate volatility in...

this paper examines the accuracy of valuation models in providing reasonable estimation of the market values of listed companies in tehran stock exchange (tse). six valuation models including gordon growth model, two stage dividend discount model, adjusted present value, price to earning ratio and residual income were examined in this study. in addition, three proxies represent the market value...

U sing daily data, this study examined asymmetric pass-through of Iran’s oil price to banking stock index in Tehran Stock Exchange at different time horizons. Based on the results, the coefficient of long-run pass-through of oil price to banking stock index was estimated to be 0.63. Furthermore, based on the short-term ARDL-CECM models, the relationship between the positive component...

modelling and forecasting stock market is a challenging task for economists and engineers since it has a dynamic structure and nonlinear characteristic. this nonlinearity affects the efficiency of the price characteristics. using an artificial neural network (ann) is a proper way to model this nonlinearity and it has been used successfully in one-step-ahead and multi-step-ahead prediction of di...

Abstract T his study aimed to examine the Islamic stock market integration between Indonesia and Malaysia, and the effect of foreign interest rates on both stock markets. This study used the monthly time series of Jakarta Islamic Index, Hijrah Syariah Index, and foreign interest rates within a period from August 2000 to January 2016. Result of cointegration test demonstrat...

This paper presents a summary of the results from the simulation of a given two-stages production system which uses JIT. The system consists of an assembly line with two automated assembly cells and two assembly stock points and one manufacturing cell with three manufacturing stock points for storing reserved parts and one receiving stock. Carts with fixed capacity are used for handling the par...

Stock model is used to describe the evolution of stock price in the form of differential equations. In early years, the stock price was assumed to follow a stochastic differential equation driven by a Brownian motion, and some famous models such as Black-Scholes stock model and Black-Karasinski stock model were widely used. This paper assumes that the stock price follows an uncertain differenti...

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...

Stock loan is different from the traditional loan, it needs to be collateralized by stock. Fairly valuing stock loan is very important for financial market participants. The main contribution of this paper is to give a valuing method of stock loan in uncertain environment. Under the assumption that the underlying stock price follows an uncertain mean-reverting stock model, the price formulas of...