Pub Date : 2021-04-21DOI: 10.29252/JFMP.2021.96106
M. Mali, M. F. Shams, A. Saeedi, Mohammad Esmaeil Fadaei Nejad
The main purpose of the research is to design a model for reducing the consequences of effective behavioral biases in the recession of the banking system. The main problem is the existence of various behavioral biases in the decision-making process. Banks are one of the vital and very important sectors of any economy. The importance of banks for the national economy becomes clear when we know that banking is a legal and global industry that has a great impact on the formation of relations between nations and governments. This research, in terms of nature and method of research, is a survey type research. In this research, by using grounded theory, at first, based on the collection of information through interviews of 74 experts, field notes, participatory observation, documents, abstractions, data production, data analysis with a systematic approach, open coding, axial coding, selective coding and finally after model validation evaluation with the approval of 222 subject experts and confirmatory factor analysis techniques of the first and second order and structural equation modelling, model with 4 dimensions, 20 categories and 239 indicators will be presented.Due to the factor load, the Self-description component has the highest factor load and more priority.Also the components of emotional effect and social interactions and Heuristic simplification have priority, respectively.
{"title":"Desing and Explanation of the Reduction of Consequences of the Behavioral Finance Biases on the Banking System Recession","authors":"M. Mali, M. F. Shams, A. Saeedi, Mohammad Esmaeil Fadaei Nejad","doi":"10.29252/JFMP.2021.96106","DOIUrl":"https://doi.org/10.29252/JFMP.2021.96106","url":null,"abstract":"The main purpose of the research is to design a model for reducing the consequences of effective behavioral biases in the recession of the banking system. The main problem is the existence of various behavioral biases in the decision-making process. Banks are one of the vital and very important sectors of any economy. The importance of banks for the national economy becomes clear when we know that banking is a legal and global industry that has a great impact on the formation of relations between nations and governments. This research, in terms of nature and method of research, is a survey type research. In this research, by using grounded theory, at first, based on the collection of information through interviews of 74 experts, field notes, participatory observation, documents, abstractions, data production, data analysis with a systematic approach, open coding, axial coding, selective coding and finally after model validation evaluation with the approval of 222 subject experts and confirmatory factor analysis techniques of the first and second order and structural equation modelling, model with 4 dimensions, 20 categories and 239 indicators will be presented.Due to the factor load, the Self-description component has the highest factor load and more priority.Also the components of emotional effect and social interactions and Heuristic simplification have priority, respectively.","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128651474","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
1 One of the most important challenges in examining the behavior of investors in financial markets is measuring the volatility of financial assets. This is because stock price volatility is a latent variable. There are two basic approaches to modeling volatility in financial economics that differ in their probabilistic structure. In the first approach, volatility is modeled using shocks to stock returns, and in the second approach, volatility is transformed based on a stochastic process that can be independent of stock return dynamics over time. The models presented in the first approach of the GARCH class and in the second approach of the class constitute random volatility and Markov regime change. Despite the superiority of the probabilistic structure of these models, the calculation of model parameters and volatility prediction is very complex, which makes it necessary to use Bayesian methods and MCMC simulations. The results of this study indicate that in the period of this study, the existence of a leverage effect in the Tehran stock market is not confirmed and the MSGJR-GARCH method is more efficient in predicting fifty more active companies of Stock Exchange return volatility based on Bayesian information deviation criteria. Finally, based on the more efficient model, the out of sample VaR was calculated for the first seven days. Keyword: Volatility; Simulation; Bayesian methods; Value at Risk. Received: 2021.June.02, Accepted: 2021.February.26. * Assistant Prof, Department of Management, Kashan University, Isfahan, Iran ** Postdoctoral researcher in Economics, Tehran, Iran. *** Ph.D. Candidate in Financial Engineering, Yazd Universtity, Yazd, Iran (Corresponding Author). E-mail: Moslem.Nilchi@gmail.com P-ISSN: 2645-4637
{"title":"Compare Canonical stochastic volatility model of focal MSGJR-GARCH to measure the volatility of stock returns and calculating VaR","authors":"A. Farhadian, Mojtaba Rostami, Moslem Nilchi","doi":"10.52547/jfmp.10.32.131","DOIUrl":"https://doi.org/10.52547/jfmp.10.32.131","url":null,"abstract":"1 One of the most important challenges in examining the behavior of investors in financial markets is measuring the volatility of financial assets. This is because stock price volatility is a latent variable. There are two basic approaches to modeling volatility in financial economics that differ in their probabilistic structure. In the first approach, volatility is modeled using shocks to stock returns, and in the second approach, volatility is transformed based on a stochastic process that can be independent of stock return dynamics over time. The models presented in the first approach of the GARCH class and in the second approach of the class constitute random volatility and Markov regime change. Despite the superiority of the probabilistic structure of these models, the calculation of model parameters and volatility prediction is very complex, which makes it necessary to use Bayesian methods and MCMC simulations. The results of this study indicate that in the period of this study, the existence of a leverage effect in the Tehran stock market is not confirmed and the MSGJR-GARCH method is more efficient in predicting fifty more active companies of Stock Exchange return volatility based on Bayesian information deviation criteria. Finally, based on the more efficient model, the out of sample VaR was calculated for the first seven days. Keyword: Volatility; Simulation; Bayesian methods; Value at Risk. Received: 2021.June.02, Accepted: 2021.February.26. * Assistant Prof, Department of Management, Kashan University, Isfahan, Iran ** Postdoctoral researcher in Economics, Tehran, Iran. *** Ph.D. Candidate in Financial Engineering, Yazd Universtity, Yazd, Iran (Corresponding Author). E-mail: Moslem.Nilchi@gmail.com P-ISSN: 2645-4637","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128758934","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Capital markets are created with the goal of allocating and equipping resources, and one of the most important tasks of these markets is to provide liquidity. A minimum of liquidity is essential for the survival of the capital market. Given that liquidity is considered a type of risk for financial assets and in recent decades has been considered by many economists, so the study of monetary and fiscal policy shocks and their effect on liquidity is important. It is a significant step in orienting the capital market. In this study, using the Structural vector autoregressive (SVAR) model, the impact of monetary and financial instabilities on the liquidity of energy industry stocks has been investigated. The data used are 43 companies active in the energy industry on the stock exchange for 2008 to 2018. The results indicate that monetary and financial instability have a negative impact on the liquidity of energyintensive industries.
{"title":"The Effect of Monetary and Financial Instability on Energy-Intensive Industries Stocks","authors":"S. Beiranvand, M. Rezaei, Hadi Keshavarz","doi":"10.52547/jfmp.10.32.81","DOIUrl":"https://doi.org/10.52547/jfmp.10.32.81","url":null,"abstract":"Capital markets are created with the goal of allocating and equipping resources, and one of the most important tasks of these markets is to provide liquidity. A minimum of liquidity is essential for the survival of the capital market. Given that liquidity is considered a type of risk for financial assets and in recent decades has been considered by many economists, so the study of monetary and fiscal policy shocks and their effect on liquidity is important. It is a significant step in orienting the capital market. In this study, using the Structural vector autoregressive (SVAR) model, the impact of monetary and financial instabilities on the liquidity of energy industry stocks has been investigated. The data used are 43 companies active in the energy industry on the stock exchange for 2008 to 2018. The results indicate that monetary and financial instability have a negative impact on the liquidity of energyintensive industries.","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125374019","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Vahid Taghavi Fardoud, Rasoul Baradaran Hasanzadeh, A. Mohammadi
The purpose of the present study is to investigate the ability of different models of firm life cycle in explaining financial flexibility in Iran Stock Exchange. Therefore, to achieve the research objective, an adjusted and multidimensional financial flexibility index to reflect the current characteristics of the Iranian Stock Exchange in the form of composite index based on the experts' views using the hierarchical analysis method and the coefficient of variation was extracted, and then using this adjusted criterion of financial flexibility, the ability of different patterns of firm life cycle to explain financial flexibility was tested. The research hypotheses were tested on a sample of 180 companies listed on the Tehran Stock Exchange during the years 2009 to 2019 using panel data regression. The results showed that generally, among the three life cycle models, the Dickinson model combines the net cash flow from operating, investing and financing activities of a company and provides a more complete and comprehensive life cycle map of the company at any date of financial statements, and this reason has increased the ability of Dickinson’s model in explaining financial flexibility.
{"title":"The Ability of Firm Life Cycle Patterns in Explaining Financial Flexibility (Based on the Adjusted Financial Flexibility Index)","authors":"Vahid Taghavi Fardoud, Rasoul Baradaran Hasanzadeh, A. Mohammadi","doi":"10.52547/jfmp.10.32.159","DOIUrl":"https://doi.org/10.52547/jfmp.10.32.159","url":null,"abstract":"The purpose of the present study is to investigate the ability of different models of firm life cycle in explaining financial flexibility in Iran Stock Exchange. Therefore, to achieve the research objective, an adjusted and multidimensional financial flexibility index to reflect the current characteristics of the Iranian Stock Exchange in the form of composite index based on the experts' views using the hierarchical analysis method and the coefficient of variation was extracted, and then using this adjusted criterion of financial flexibility, the ability of different patterns of firm life cycle to explain financial flexibility was tested. The research hypotheses were tested on a sample of 180 companies listed on the Tehran Stock Exchange during the years 2009 to 2019 using panel data regression. The results showed that generally, among the three life cycle models, the Dickinson model combines the net cash flow from operating, investing and financing activities of a company and provides a more complete and comprehensive life cycle map of the company at any date of financial statements, and this reason has increased the ability of Dickinson’s model in explaining financial flexibility.","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128090802","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Jafar RahmatiZad Khajeh Pasha, Kaveh Derakhshani Darabi, Y. Nademi, H. Asayesh
با توجه به اهمیت حاکمیت شرکتی و نقش آن در افزایش پاسخگویی و شفافیت مالی، در این پژوهش رابطه میان حاکمیت شرکتی و شفافیت اطلاعات و تاثیر آنها بر عملکرد سیستم بانکی بررسی شده است. هدف این پژوهش یافتن پاسخی برای این پرسش است که چه رابطهای میان حاکمیت شرکتی با افشاء اطلاعات و عملکرد بانکها وجود دارد و آیا شاخصهای ارائه شده برای حاکمیت شرکتی توانایی سنجش دقیق این متغیر برای نظام بانکی کشور را دارند؟ بدین منظور از مدل دادههای تابلویی پویا و اطلاعات مربوط به 16 بانک از شبکه بانکی کشور در دوره زمانی 1398-1386 استفاده شده است. نتایج نشان میدهد که رابطه معناداری میان شاخصهای معرفی شده برای حاکمیت شرکتی و افشاء اطلاعات در نمونه مورد بررسی وجود ندارد، بنابراین میتوان گفت حاکمیت شرکتی نتوانسته بر کیفیت افشاء اطلاعات در بانکها تاثیرگذار باشد. همچنین هیچ یک از شاخصهای معرفی شده برای حاکمیت شرکتی رابطه معناداری با عملکرد بانکها نداشته است، اما شاخص شفافیت اطلاعات در هر دو مدل مورد استفاده رابطه مثبت و معناداری با عملکرد بانکها داشته است. با توجه به نتایج بدست آمده میتوان گفت از آنحایی که حاکمیت شرکتی نتوانسته در عمل به بهبود افشاء اطلاعات بیانجامد بنابراین تاثیر معناداری بر عملکرد بانکها نداشته باشد. علاوه براین، متغیر حاصلضرب اندازه بانک و دامی بانک بزرگ که بمنظور لحاظ کردن عدم تقارن اطلاعات به کارگرفته شده است تاثیر مثبت و معناداری بر عملکرد بانکها داشته است.
{"title":"the Corporate Governance and Disclosure of Information Relations and Their Effects on the Banks Performance","authors":"Jafar RahmatiZad Khajeh Pasha, Kaveh Derakhshani Darabi, Y. Nademi, H. Asayesh","doi":"10.52547/jfmp.10.31.129","DOIUrl":"https://doi.org/10.52547/jfmp.10.31.129","url":null,"abstract":"با توجه به اهمیت حاکمیت شرکتی و نقش آن در افزایش پاسخگویی و شفافیت مالی، در این پژوهش رابطه میان حاکمیت شرکتی و شفافیت اطلاعات و تاثیر آنها بر عملکرد سیستم بانکی بررسی شده است. هدف این پژوهش یافتن پاسخی برای این پرسش است که چه رابطهای میان حاکمیت شرکتی با افشاء اطلاعات و عملکرد بانکها وجود دارد و آیا شاخصهای ارائه شده برای حاکمیت شرکتی توانایی سنجش دقیق این متغیر برای نظام بانکی کشور را دارند؟ بدین منظور از مدل دادههای تابلویی پویا و اطلاعات مربوط به 16 بانک از شبکه بانکی کشور در دوره زمانی 1398-1386 استفاده شده است. نتایج نشان میدهد که رابطه معناداری میان شاخصهای معرفی شده برای حاکمیت شرکتی و افشاء اطلاعات در نمونه مورد بررسی وجود ندارد، بنابراین میتوان گفت حاکمیت شرکتی نتوانسته بر کیفیت افشاء اطلاعات در بانکها تاثیرگذار باشد. همچنین هیچ یک از شاخصهای معرفی شده برای حاکمیت شرکتی رابطه معناداری با عملکرد بانکها نداشته است، اما شاخص شفافیت اطلاعات در هر دو مدل مورد استفاده رابطه مثبت و معناداری با عملکرد بانکها داشته است. با توجه به نتایج بدست آمده میتوان گفت از آنحایی که حاکمیت شرکتی نتوانسته در عمل به بهبود افشاء اطلاعات بیانجامد بنابراین تاثیر معناداری بر عملکرد بانکها نداشته باشد. علاوه براین، متغیر حاصلضرب اندازه بانک و دامی بانک بزرگ که بمنظور لحاظ کردن عدم تقارن اطلاعات به کارگرفته شده است تاثیر مثبت و معناداری بر عملکرد بانکها داشته است.","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123006943","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"ارزیابی مقایسهای رویکرد مارکویتز با یک روش ترکیبی به منظور تشکیل پرتفوی بهینه با کاربرد یادگیری عمیق DNN و الگوریتم جستجوی گرانشی","authors":"محمدحسن زارع, مسلم نیلچی, داریوش فرید","doi":"10.52547/jfmp.9.28.165","DOIUrl":"https://doi.org/10.52547/jfmp.9.28.165","url":null,"abstract":"","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129199023","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"اولویتبندی باورهای سرمایهگذاران و عوامل اثرگذار بر آن باورها در بازار سرمایه ایران با استفاده از روشهای تصمیمگیری چندمعیاره","authors":"سمانه باری, داریوش فروغی, عبدالحمید معرفی محمدی","doi":"10.52547/jfmp.9.28.9","DOIUrl":"https://doi.org/10.52547/jfmp.9.28.9","url":null,"abstract":"","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115854641","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"بررسی تأثیر توانایی شناختی و اعتماد به شهود بر استراتژیهای معاملاتی و عملکرد سرمایهگذاران حرفهای بورس اوراق بهادار تهران","authors":"محمد حسن نژاد, محمد اصولیان, یاسر حمزه نژادی","doi":"10.52547/jfmp.9.28.143","DOIUrl":"https://doi.org/10.52547/jfmp.9.28.143","url":null,"abstract":"","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"133 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127323642","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"ارتباط ریسک سقوط قیمت سهام و ساختار گزارشهای مالی شرکتها","authors":"مصطفی افروزی, ناصر شمس قارنه, وحید وفایی قائینی","doi":"10.52547/jfmp.9.28.39","DOIUrl":"https://doi.org/10.52547/jfmp.9.28.39","url":null,"abstract":"","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125109413","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：