Gholamreza Keshavarz Haddad; Haamed Vahidi
Abstract
Informational asymmetry between institutional and individual traders is one of the widely examined issues in financial markets. The preference of each of these groups to attain personal information may provide other traders with important information. Novice traders, seeking opportunities for profit, ...
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Informational asymmetry between institutional and individual traders is one of the widely examined issues in financial markets. The preference of each of these groups to attain personal information may provide other traders with important information. Novice traders, seeking opportunities for profit, can benefit by aligning themselves with the more informed group and monitoring their trading activities.This study aims to determine the winner group at attaining more personal information, by breaking down the probability of informed trading (PIN), a widely accepted metric for assessing informational risk, into two main components: the probability of informed trading of individuals (DPIN) and the probability of informed trading of institutions (SPIN). Moreover, the relation between these two components and the stock return has been tested using Fama-MacBeth two-step regression (1973). Our research draws on data from 35 companies listed on the Tehran Stock Exchange and Iran's Fara-Bourse, spanning 19 seasons, from December 2015 to October 2020. Our findings challenge previous studies, revealing that institutional traders possess a distinct informational advantage over individual traders. Furthermore, our findings show that the effect of DPIN and SPIN on stock return is not statistically significant.
Ghlamreza Keshavarz-Haddad; Mohammad Amin Zabol
Abstract
In this paper, Value at Risk for Gold prices Is estimated by the Extreme Value theory and parametric method with Normal and t-student distribution for disturbance term in the mean equation together with a range of the conditional variances estimation techniques including, GARCH (1.1), TGARCH, EGARCH, ...
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In this paper, Value at Risk for Gold prices Is estimated by the Extreme Value theory and parametric method with Normal and t-student distribution for disturbance term in the mean equation together with a range of the conditional variances estimation techniques including, GARCH (1.1), TGARCH, EGARCH, PGARCH, FIGARCH and FIEGARCH Models. The two-stage Back-Testing method is used to evaluate the adequacy and accuracy of the calculation methods. Furthermore, we rank the accuracy of the estimation methods by a loss function. Our findings show that the most accurate method, In terms of the value of the loss function and among the applied econometrics methods, is VaR by t-student distribution for gold return and PGARCH for the long position and acceptable performance for the short position.
alaeddin ezoji; Abbas Assari Arani; mohmmad reza vaeze mahdavi; GholamReza K. Haddad
Abstract
The relationship between human capital and labor productivity is always important for economists. Considering the relationship between these two will also be remarkable in microeconomic studies. Meanwhile, the impact of different dimensions of human capital on labor productivity can be a measure ...
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The relationship between human capital and labor productivity is always important for economists. Considering the relationship between these two will also be remarkable in microeconomic studies. Meanwhile, the impact of different dimensions of human capital on labor productivity can be a measure of actual effect of human capital on productivity. The aim of this paper is to examine the effects of various dimensions of human capital (education, health, and experience), on labor productivity based on individual characteristics in Iranian economy. We use micro data (Cost–Income Survey of Urban Areas - 2013) and estimation of Quantile Regression (QR) econometric technique. For this purpose, net income (wage and salary) for employment in private sector is used as proxy of labor productivity. Our results show that in different quantiles, all three dimensions of human capital have a positive and significant effect on productivity of labor force employed in Iranian private sector. Meanwhile, in different quantiles, health indicators of human capital are more volatile than other dimensions of human capital, i.e. education and experience. So, in lower quantiles (Ql), the response of labor productivity to health indicators is more than higher quantiles (Qh). Because of that, any kind of health shock may have a greater effect on labor productivity in lower-income groups. This result shows the importance of health capital in social security, insurance and health systems and reminds us to improve the productivity of working people by means of better health capital.
Hadi Heidari; GholamReza K. Haddad
Abstract
In this paper, we estimate the value at risk of Tehran stock exchange (TSE) index by using GARCH family models in short and long trading positions. Because of asymmetric behavior of returns for long and short positions in TSE, for enhanced accuracy of model, we apply asymmetric normal and t-student distribution ...
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In this paper, we estimate the value at risk of Tehran stock exchange (TSE) index by using GARCH family models in short and long trading positions. Because of asymmetric behavior of returns for long and short positions in TSE, for enhanced accuracy of model, we apply asymmetric normal and t-student distribution functions. By developing Sener et. al (2012) measurement for considering trading positions in performance assessment of parametric models, we show that EGARCH and GJRGARCH models with asymmetric normal and t-student distribution functions are more accurate than other models. Also complementary forecast ability test explain that, with a benchmark model such as GJRGARCH, other models do not have equal mean error, so the asymmetric distribution functions in EGARCH and GJRGARCH models improve their ranks.
Gholamreza Keshavarz Haddad; Davood Cheraghi
Volume 7, Issue 24 , April 2007, , Pages 47-75
Abstract
Creating new opportunities and utilizing of existing production potentials are the main determinants of demands for labor. In Iran's economy, limitations of markets, excess capacities in some of industries are prevalent. Increases in final demand and capital formations reflects domestic, demand and net ...
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Creating new opportunities and utilizing of existing production potentials are the main determinants of demands for labor. In Iran's economy, limitations of markets, excess capacities in some of industries are prevalent. Increases in final demand and capital formations reflects domestic, demand and net exports is the foreign demand for output, and thereby, creation of job opportunities. Making use of a 24 sectors Input-output index (1996) of Iran, this paper ranks the output and employment capacities of Iran's economy. Our developed Indicators consist of, backward and forward linkages, and final demand elasticity's of output and employment. Findings indicate that, since in the majority of specified sectors, employment elasticity's are less than output elasticity's, growth oriented policies necessarily are not employment creator. Among the specified sectors of the economy, food industries, residential and infrastructural construction, road transportation services, business services and mineral metals are identified as key factors for job opportunities.
