Mohsen Mehrara; Elham Sehati
Volume 11, Issue 43 , January 2012, Pages 1-21
Abstract
In this paper we empirically investigate the link between bank lending
behavior and macroeconomic uncertainty. This relationship is
examined using conditional variance model based on monthly data for
a panel of Iranian banks during the period 1383-1388. The results
indicate that the uncertainty based ...
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In this paper we empirically investigate the link between bank lending
behavior and macroeconomic uncertainty. This relationship is
examined using conditional variance model based on monthly data for
a panel of Iranian banks during the period 1383-1388. The results
indicate that the uncertainty based on CPI and PPI indicators,
implying uncertainty in macroeconomics, has a negative significant
effect on bank lending behavior. In other words, banks decrease their
lending ratios when macroeconomic uncertainty increases,
becomming more conservative. The increase of uncertainty leads to
credit risk of banks and the probability of losses due to unsafe loans
and decrease in credits volume and the loans to the private sector.
Hamid Kordbacheh; Leila Pordel Nooshabadi
Volume 11, Issue 43 , January 2012, Pages 23-51
Abstract
The purpose of this paper is to investigate the relationship between
bank ownership and prudential behavior of banks in Iranian banking
industry. Although, the relationship between bank ownership and
performance is well studied but there are few studies focusing on the
effect of ownership upon banks ...
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The purpose of this paper is to investigate the relationship between
bank ownership and prudential behavior of banks in Iranian banking
industry. Although, the relationship between bank ownership and
performance is well studied but there are few studies focusing on the
effect of ownership upon banks lending and prudential behavior (Jia
2009). This paper as the first study over Iranians banking system is to
tackle this subject using a panel of 12 banks over 2002 – 2008. To this
aim the main determinants of prudential behavior as control regressors
are considered to provide a much more accurate model to describe the
relationship between the prudential behavior and ownership structure
of banks. The findings of the study provide the strong evidence to
conclude that the lending by states–owned banks has been less prudent
than lending by private banks. Furthermore, the results of this study
show that the larger banks tend to be more prudent than the smaller
ones. Moreover, the results indicate that the less market concentration
in Iranian banking industry and the more GDP growth lead to the less
prudential behavior. The results also show that the higher percentage
of loans in arrears results in the more prudential behavior. Last but not
least, the findings of this research show that lending by state–owned
banks is becoming more prudent indicating the positive effects of the
reforms of Iranian banking system over the last decade.
Ali Divandari; Mohammad Haghighi; Ehsan Abedi
Volume 11, Issue 43 , January 2012, Pages 53-74
Abstract
Due to the increasing importance of Internet Banking and the critical
actions taken by banks in order to offer Internet Banking services in
Iran and also according to the increasing number of people using
Internet Banking services, it is essential for bank marketers to
understand Internet Banking ...
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Due to the increasing importance of Internet Banking and the critical
actions taken by banks in order to offer Internet Banking services in
Iran and also according to the increasing number of people using
Internet Banking services, it is essential for bank marketers to
understand Internet Banking customers better. Only through this
comprehension the marketers are able to develop strategies and tactics
to attract and sustain their customers. In this study we have
investigated the influential factors in purchasing decisions of Internet
Banking customers. Electronic questionnaires were applied for data
gathering through a case study of Mellat Bank internet banking
customers. The results of the research show that banks can achieve a
more distinctive status in service offering through designing systems
to offer secure and certain services with minimum errors; offering
various internet based services; providing timely information related
to these sort of services; educating customers on how to use them and
trying to create a positive image on customer’s minds by appropriate
advertising packages.
Reza Talebloo
Volume 11, Issue 43 , January 2012, Pages 75-98
Abstract
Deposit insurance is a type of shelter for banks depositors. The main
purpose of this system is stabilization of financial market and
providing a situation that small and fragile bank and deposit
institutions can survive in credit market. Appropriate pricing of
deposit insurance rate is necessary ...
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Deposit insurance is a type of shelter for banks depositors. The main
purpose of this system is stabilization of financial market and
providing a situation that small and fragile bank and deposit
institutions can survive in credit market. Appropriate pricing of
deposit insurance rate is necessary for realization of this goal. In this
paper we use Merton option pricing model for estimating deposit
insurance rate of some Iranian private banks. For this purpose, first,
banks asset value and its variance that are unobserved, were estimated
with specification of maximum likelihood function. Then deposit
insurance price of each bank based on their risks were calculated. We
found banking deposit insurance premium and risk are growing. In
some years, estimated deposit insurance premium unusually was very
high. This fact can be due to two events: first ratio in this year was
high, which means debt to equity ratio was high. Secend, banks value
variance were high. Other finding of this study is that deposit
insurance premium of Iranian banks are different. This fact shows that
these banks have different risk levels so, with respect to differences in
deposit insurance premium of each bank, this paper recommends that
deposit insurance system in Iran should be based on their risk levels.
Saied sehhat; Vahid Najafi Kalyani; ُSaied Abbasnezhad
Volume 11, Issue 43 , January 2012, Pages 99-128
Abstract
Motive for the purchase of insurance by individuals is differing among
the firms. Risk aversion is the main motive for the purchase of
insurance by individuals. But, incentive to purchase of insurance by
firms is affected by many factors. Researchers have argued several
theories about the motive ...
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Motive for the purchase of insurance by individuals is differing among
the firms. Risk aversion is the main motive for the purchase of
insurance by individuals. But, incentive to purchase of insurance by
firms is affected by many factors. Researchers have argued several
theories about the motive of corporate for purchasing insurance.
Expected bankruptcy costs, tax consideration, firm size, share
ownership, operational leverage, underinvestment and type of industry
are reasons of corporate demand for insurance. In this study, we have
surveyed effective factors on the demand for property insurance by
using 1387-88 panel data of publicly listed companies operating in
Tehran Stock Exchange. Our results indicate that, consistent with our
hypotheses, large companies with high bankruptcy costs and financial
risks profiles are likely to purchase greater amounts of property
insurance than other companies. We also find that industry type have
significant effect on the purchase of property insurance by corporates.
Additionally, service companies purchase more property insurance
than other companies. Contrary to what we expected, tax incentive,
majority shareholders and underinvestment were not found to be
important determinants of the corporate purchase of property
insurance in the publicly listed companies operating in Tehran Stock
Exchange.
Hassan Ghalibaf Asl; Mohsen Sadeghi Batani
Volume 11, Issue 43 , January 2012, Pages 129-142
Abstract
One of the new approach in finance literature is behavioral finance,
that describes behavior of investors and satisfies some of the
anomalies that effective market hypothesizes were not able to describe
it. One of the statement in behavioral finance paradigm is prospect
theory and disposition effect ...
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One of the new approach in finance literature is behavioral finance,
that describes behavior of investors and satisfies some of the
anomalies that effective market hypothesizes were not able to describe
it. One of the statement in behavioral finance paradigm is prospect
theory and disposition effect that replies the position of individual
during decision making. The disposition effect's base comes from
Kahneman and Tversky’s prospect theory, point to construction of the
reference points and replies that investors will decide according to
their intended reference points. According to this theory, investors are
more likely to close positions with gains than they are to close
positions with losses. So, individuals define gains and losses relative
to the reference point, and are risk-seeking when faced with loss
outcomes and risk-averse when faced with gain outcomes. The main
goal of this research is inspection of construction of reference point on
max and min of stock price of 52 weeks prior reference point and it's
effect on volume. Results of research represent with increasing of
stock price in compared as max price of 52 weeks prior to reference,
volume increases. While with decreasing of stock price from min
price of 52 weeks prior, volume approximately remain the same.
Ahmad Ahmadpoor; Hossein Khakpour
Volume 11, Issue 43 , January 2012, Pages 143-166
Abstract
This study is an attempt to investigate the impact of free float
announcement on stock return behavior of the companies accepted in
Tehran Stock Exchange. So we collect free float announcement in
twenty quarters period between 2004 and 2009. The researches
contain stocks behavior in time window between ...
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This study is an attempt to investigate the impact of free float
announcement on stock return behavior of the companies accepted in
Tehran Stock Exchange. So we collect free float announcement in
twenty quarters period between 2004 and 2009. The researches
contain stocks behavior in time window between ten days before and
after announcement changes.
The most important finding of the study revealed that, the Abnormal
Return and Cumulative Abnormal Return statistically differ significantly
before and after of free float announcement.
Reza Tehrani; Alireza Saranj; Hojjat-Allah Ansari
Volume 11, Issue 43 , January 2012, Pages 167-184
Abstract
Liquidity is one of the effective factors on the investors' portfolio
decision-making. The previous research evidences shows that liquidity
risk factor plays the significant role in cross-sectional return
explanation. The present study aimed at investigation of relationship
between the expected return ...
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Liquidity is one of the effective factors on the investors' portfolio
decision-making. The previous research evidences shows that liquidity
risk factor plays the significant role in cross-sectional return
explanation. The present study aimed at investigation of relationship
between the expected return and liquidity. For this purpose liquidity
proxy variable used in this study is the turnover ratio of trading
volume. This study included 30 companies listed in Tehran Stock
Exchange during the years of 1380-1386. The obtained result from
generalized least square (GLS) method revealed that there was a
positive relationship between cross-sectional return and liquidity.
hossein akbarifard; Mohammad Sajjad Koushesh
Volume 11, Issue 43 , January 2012, Pages 185-198
Abstract
We interpret fluctuation in GDP and unemployment rate as due to
two types of disturbances: disturbances that have a permanent effect
on output and disturbances that don’t. We interpret the first as supply
disturbances, the second as demand disturbances. This paper surveys
the effects ...
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We interpret fluctuation in GDP and unemployment rate as due to
two types of disturbances: disturbances that have a permanent effect
on output and disturbances that don’t. We interpret the first as supply
disturbances, the second as demand disturbances. This paper surveys
the effects of demand and supply disturbances on variables GDP and
unemployment in Iran economy. So with using Blanchard-Quah
econometric technique, shocks will be divided into two sections: the
supply shocks and demand shocks. Then, we survey the effect of these
two shocks on GDP and unemployment in Iran with using Structural
Vector Auto Regressive (SVAR) method, impulse response function
and variance decomposition. Results report that supply shocks
proportion in explaining the GDP and unemployment fluctuation are
45/5 and 30/87 and the demand shock proportion are 54/56 and 69/21.
Ebrahim Ali Razini; Amir Reza Soori; Ahmad Tashkini
Volume 11, Issue 43 , January 2012, Pages 199-218
Abstract
This study investigates the relation between unemployment rate and
Government Size in Iran. For that, we have used some VAR models,
which include the following variables: government size, measured as
total government outlays as a percentage of GDP, unemployment rate,
real GDP growth rate, Inflation ...
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This study investigates the relation between unemployment rate and
Government Size in Iran. For that, we have used some VAR models,
which include the following variables: government size, measured as
total government outlays as a percentage of GDP, unemployment rate,
real GDP growth rate, Inflation rate, minimum wage. Our results show
that an increasing in the Government Size would raise unemployment
rate, and an increasing the GDP growth rate and Inflation rate would
reduce unemployment rate.
Gholamhossein Mahdavi; Kazem Goodarzi
Volume 11, Issue 43 , January 2012, Pages 219-237
Abstract
The purpose of this study is to introduce an artificial neural model for
predicting systematic risk of Saipa Company by using macro
economic variables. The net used in the study is a neural feedforward
network with backpropagation algorithms. Price Index in Tehran
Stock Exchange, Exchange Rate, Oil ...
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The purpose of this study is to introduce an artificial neural model for
predicting systematic risk of Saipa Company by using macro
economic variables. The net used in the study is a neural feedforward
network with backpropagation algorithms. Price Index in Tehran
Stock Exchange, Exchange Rate, Oil Price and Gold Price have been
considered as four input variables, and the systematic risk as the
output variable. The relevant data for each variable has been set
weekly and monthly, and based on the data, 80 different neural
networks were designed.
The results show that the optimal model for predicting weekly
systematic risk is a four- layer- model with the Root- Mean- Square
(RMS) of 0/033314. Furthermore, the optimal model for predicting
monthly systematic risk is a three- layer- model with the RMS of
0/065557.
Mohammad Hadi Zahidi Vafa; seyyed hasan ghavami
Volume 11, Issue 43 , January 2012, Pages 239-255
Abstract
Game theory has a significant role in contemporary orthodox
economics. This theory studies the strategic behavior of players. So
strategic interaction is the key point in the games theory. Principalagent
model is an application of the theory. This model is applied
when a job or an activity ...
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Game theory has a significant role in contemporary orthodox
economics. This theory studies the strategic behavior of players. So
strategic interaction is the key point in the games theory. Principalagent
model is an application of the theory. This model is applied
when a job or an activity is delivered to an agent by a firm or another
agent called the principal. Naturally the terms and conditions
including the rights and obligations of two sides are elaborated in the
contract. Depending on whether the information on exact details of the
subject and the terms are the same or not, different models are
developed. One of the most important financing instruments in noninterest
banking as a main field of Islamic Economics is profit-loss sharing contracts among
which we can name sleeping partnership. The subject matter of sleeping partnership
is trade in which a capital owner finances the money needed by the agent to start a business
which is based on profit-loss sharing. This paper tries to construct an analytical model
to explain the sleeping partnership by appling principal– agent model with asymmetric
information case which is causing adverse selection .In this paper we showed that Islamic
finance instruments (sleeping partnership) in the spirit of profit-loss sharing can be explained
through the modern achievements of contemporary economics and we can analyze sleeping partnership with the help of game theory method.
