in this paper we examine the effect of the oil volatility, consumer price index (cpi) and industrial production on the stock market return in tehran stock exchange (tse). we used seasonal data in period 1378-1390 and auto regressive distributed method (ardl) for the short-term and long-term relationship between the variables. as results of research indicate, we find that there is positive short...

In this paper, impacts of day-ahead market pricing on behavior of producers and consumers in option and day-ahead markets and on option pricing are studied. To this end, two comprehensive equilibrium models for joint put option and day-ahead markets under pay-as-bid and uniform pricing in day-ahead market are presented, respectively. Interaction between put option and day-ahead markets, uncerta...

In this paper we undertake the first joint investigation of bidding in the primary market and trading in the immediate post-issuance secondary market for municipal bonds. We introduce a ‘distance-to-next-bid’ measure – the distance by which the winning underwriter’s bid exceeded the next highest (non-winning) bid in the primary market. We document a winners’ curse effect: bonds where the distan...

Stock return is usually considered to be affected by firm’s financial ratios as well as economic variables. Fundamental method assume that stock returns is not solely related to the stock market. Most result come from the company condition , industry situation and whole economy. In this paper, this relationship between stock return and fundamentals is studied using the data for 22 pharmaceutica...

In this study, we focused on Tehran stock exchange market analysis based on applying moving average rules. The Tehran stock exchange in the Middle East has evolved into an exciting and growing marketplace where individual and institutional investor trade securities of over 420 companies. In an attempt to examine the ability to earn excess return by exploiting moving average rules, the average a...

We present a model in which the microstructure of trade in a commodity or asset is endogenously determined. Producers and consumers of a commodity (or buyers and sellers of an asset) who wish to trade can choose between two competing types of intermediaries: “middlemen” (dealer/brokers) and “market makers” (specialists). Market makers post publicly observable bid and ask prices, whereas the pri...

This paper presents evidence of long-range dependence in bid–ask prices for individual equity prices in the Brazilian stock market. Moreover, using the Hurst exponent calculated by the Local Whittle method as a measure of long-range dependence, we find evidence supporting that bid–ask prices shows a stronger long-range dependence than the one usually found in closing and opening prices. Finally...