This paper presents a statistical analysis of Tehran Price Index (TePIx) for the period of 1992 to 2004. The results present asymmetric property of the return distribution which tends to the right hand of the mean. Also the return distribution can be fitted by a stable Lévy distribution and the tails are very fatter than the gaussian distribution. We estimate the tail index of the TePIx returns...

We report an empirical study of Tehran Price Index (TEPIX). To analyze our data we use various methods like as, rescaled range analysis (R/S), modified rescaled range analysis (Lo’s method), Detrended Fluctuation Analysis (DFA) and generalized Hurst exponents analysis. Based on numerical results, the scaling range of TEPIX returns is specified, long memory effect or long range correlation prope...

liquidity is the most important aspect of stock markets development. this research investigates the effect of share issue privatization (sip) on tehran stock exchange (tse) liquidity. regarding the three assessable measures in sip, three hypotheses based on the number of privatized firms, the volume and the value of the sold stocks were defined and tested. in this research, the tse liquidity is...

this paper is about cointegration relation among price index in tehran stock exchange (tepix) and some of the macroeconomic variables, including consumer price index (cpi), exchange rate, housing starts and industrial utilization starts. we are looking for a relation and also the direction of the causal effects among above mentioned variables, using quarterly data from 1369 to 1377. avoiding sp...

abstract: with regard to the basel committee’s emphasis on the necessity of using 10-day value-at-risk (var) internal models in order to determine minimum market risk capital requirements, and downsides of the square-root-of-time rule, our purpose is to produce more accurate forecasts of the multi-period var using sixteen models for three stock indices, the tepix, nasdaq, and ftse. the results,...

modeling dependence structure in financial economics is of paramount importance when estimating portfolio’s value at risk, since risk of an asset in addition to its own behavior is also dependent on the behavior of other assets in the portfolio. application of joint distribution copula is one of the methods for incorporation dependence at lower and upper tail of returns’ distribution in financi...