hojjat izadkhasti; reza mohseni; Meysam Soltani
Abstract
INTRODUCTION
In most of the developed countries, the stock market is considered as the central core of the capital market and it directs large amounts of stray capital to productive and active sectors every year (Hadipoor et al. 2021).Also, in behavioral finance studies conducted in the last decade, ...
Read More
INTRODUCTION
In most of the developed countries, the stock market is considered as the central core of the capital market and it directs large amounts of stray capital to productive and active sectors every year (Hadipoor et al. 2021).Also, in behavioral finance studies conducted in the last decade, empirical evidence has been provided that all investors do not react rationally to information and investors' emotions have been effective on asset pricing (Kumari, 2019).
2- THEORETICAL FRAMEWORK
In some studies, the role of emotional behaviors in stock price fluctuations of Tehran Stock Exchange Organization has been confirmed (Phuong, 2021). With the increase in oil prices, the income of petrochemical, refining and other oil-related industries will increase. Therefore, the stock price of these companies will also increase. Several studies have examined the relationship between oil prices and the stock market (Zeinoldini et al. 2020, Alamgir, & Bin Amin, 2021). In one approach, with an increase in the exchange rate, the income of companies exporting products to abroad increases, and it causes an increase in the stock price of these companies and ultimately increases the stock price index. Some studies have investigated the relationship between exchange rate fluctuations and stock price index (Nguyen et al. 2020, Çakır, 2021, Huang et al., 2021 & Qalandari & Fallah, 2021(. Housing market is considered as a rival market to the stock market (Zare and Rezaei, 2006). It is expected that with the increase in housing prices, a part of people's assets will enter the housing market and ultimately have a negative effect on the stock market price index.
3- METHODOLOGY
Based on theoretical foundations and following Singhal et al. (2019) the model is expressed as relation (1):
(1)
where: GTEPi,t the growth of Tehran Stock Exchange's total stock index in quarter i of year t, GOILi,t the growth of OPEC oil prices in quarter i of year t, GEXCi,t the growth of the free market exchange rate (US dollar) in quarter i in year t, ARMi,t investor sentiment index (Arms index) in quarter i in year t, GGDPi,t real GDP growth of Iran based on base year 2013 in quarter i in year t and GHPIi,t price growth Housing is in season i in year t.
4- RESULTS & DISCUSSION
A large share of the total value of the capital market is related to petrochemical and refining companies, and the increase in oil prices causes an increase in the stock price index of the Tehran Stock Exchange. Also, the increase in the exchange rate causes a decrease in the purchasing power of people, therefore, to compensate for the decrease in purchasing power, people invest their stagnant money in the stock market to compensate for the decrease in their purchasing power which leads to an increase in the the stock price index. There is a negative relationship between the stock price index of the Tehran Stock Exchange and the sentiment index of active investors in this market.
5- CONCLUSIONS & SUGGESTIONS
The growth of OPEC oil prices, exchange rate growth and GDP growth have a positive effect and the ARMS investors' feelings index and housing price growth have a negative effect on the growth of Tehran Stock Exchange stock index.
reza mohseni; alireza Jamshidi
Abstract
Introduction
The purpose of this paper is to introduce criteria for investors to improve their company's profitability and performance. In this regard, this study investigates the nonlinear relation hypothesis among firm size and stock returns, with respect to the firms listed on Tehran Stock Exchange ...
Read More
Introduction
The purpose of this paper is to introduce criteria for investors to improve their company's profitability and performance. In this regard, this study investigates the nonlinear relation hypothesis among firm size and stock returns, with respect to the firms listed on Tehran Stock Exchange during the five-year period between 2008 and 2016.
Theoretical Frame work
Due to the importance of the relationship between risk and return, asset pricing models were always explained. Capital asset pricing model was introduced as the starting point for asset pricing models. Subsequently, other asset pricing models, including Fama model, French model, arbitrage model, etc., as the most important models were developed by adding and modifying variables. In most of the models, variable size enterprise is one of the most important determinants of returns. On the other hand, with the development of studies and changing circumstances, some factors lose their explanatory power. For example, the result of a study done by Hung, Azad & Fang(2014) showed that most of factors which were tested lost power explaining. Also, some research results show that the form of relationship between risk and returns is possible to change in some conditions. For example, the results of a study done by Apergis & Payne (2014) showed that there is a nonlinear relationship between enterprise size and returns.
Methodology
In this study, two models with two different statistical methods were used to test hypothesis of nonlinear relationship between enterprise size and returns. The first model uses a panel nonlinear cointegration method to confirm or reject hypothesis, and investigates positive and negative effects of enterprise size over returns. Using a panel co-integration method, the second model tests nonlinear relationship, i.e. the inverted-U cure hypothesis, between firm size and stock returns.
Results and Discussion
The results of analysis of data in the first model based on a panel nonlinear cointegration model, provide evidence of asymmetric effects and nonlinear relationship between stock returns and firm size. On the other hand, the results of analysis of data in the second model based on panel data also confirm that there is a nonlinear relationship, i.e., inverted U curve, between firm size and stock returns at the company level.
Conclusions and Suggestions
According to the results mentioned, investors, shareholders and Capital market analysts are recommended to consider firm size as the most important factor to explain returns and pay attention to this issue that there is a nonlinear relationship between firm size and stock returns.
