Volume 9, Issue 33 (10-2018)                   jemr 2018, 9(33): 221-244 | Back to browse issues page

XML Persian Abstract Print

1- Bu Ali sina Universiy
2- Bu Ali sina Universiy , enasiroleslami@yahoo.com
Abstract:   (3783 Views)
In the analysis of the stock market and its market indices, instead of estimating returns and their distributions at a given time interval, it is possible to extract optimal time to achieve a certain return. In this study, the distribution of investment horizons and optimal investment horizons through inverse gamma statistics method for the indices of automobile, sugar, pharmaceutical, financial and banks industries in Tehran Stock Exchange were extracted, analyzed and compared. The results of the research show that at the levels of access to +5 percent return, automotive, sugar , banking and financial indices have shorter horizons than the total index, while in terms of access to negative returns ,the only indicator of the drug group has a longer horizon than the total index.
Full-Text [PDF 1035 kb]   (1440 Downloads)    
Type of Study: Applicable | Subject: پولی و مالی
Received: 2018/03/13 | Accepted: 2018/11/3 | Published: 2018/12/19

1. • Abdoh Tabrizi Hossein and Radpour Meysam(2013),Finance of Real State, Noore Elm Publications
2. • AnindyChakrabarty,AnupamDe,AngappaGunasekarand,RameshwarDubey,(2015)
3. • ,Invesment horizon heterogeneity and wavelet,Journal of Physica A,425 45-61
4. • A.Johansen, I. Simonsenb, M.H. Jensen. (2006). Optimal investment horizons for stocks and markets. PHYSICA A, 64-67. doi:10.1016/j.physa.2006.04.030 [DOI:10.1016/j.physa.2006.04.030]
5. • Aït-Sahalia, Y., Brandt, M.W., 2001. Variable selection for portfolio choice. Journal of Finance 56, 1297-1351. [DOI:10.1111/0022-1082.00369]
6. • Cocco, J. F., Gomes, F. J., & Maenhout, P. J. (2005). Consumption and portfolio choice over the life cycle. Review of Financial Studies, 18, 491−533. [DOI:10.1093/rfs/hhi017]
7. • Elias Albagli(2015), Investment horizon and asset price under asymmetric Information,Journal of Economic Theory 158,787-837 [DOI:10.1016/j.jet.2014.12.008]
8. • Gilad Livne,Garen Marakarian and Maxim Mironov(2013),Investment horizon,risk and compensation in the banking industry, Journal of Banking and finance. [DOI:10.1016/j.jbankfin.2013.05.021]
9. • Gholizadeh A, Ebrahimi M, Kamyab B(2015). Asset Allocation Strategy under Housing Market, Journal of Economic Modeling Research,Kharazmi University, 6 (21) :119-151 [DOI:10.18869/acadpub.jemr.6.21.119]
10. • Gholizadeh A A, Tahuri Matin M(2011), Portfolio Selection with Housing Market Boom and Bust, The Economic Research Tarbiat Modarres University, 11 (3) :71-92
11. • H.Ebadi, G.R.Jafari (2008),Inverse Statistics in Tehran Price Index,preprint submitted to Elsevier
12. • JAMES L. FARRELL, J. (2011). Asset Allocation under. The Journal of Portfolio Management,72-82. [DOI:10.3905/jpm.2011.37.2.072]
13. • JohnL.Maginn,DonaldL.Tuttle,DennisW.Mcleavey,E.Pinto,CFA(2007),Managing Investment Portfolios ,A Dynamic Proccess,Third Edition, Wiley.
14. • JEAN-PHILIPPE BOUCHAUD AND MARK POTTER (2011), Financial Risk and Derivative Pricing,Second edition.
15. • Jahankhani, Ali, and Parsaian, Ali (1394), Financial Management Volume I, Samt Publications.
16. • Louis Bachelier (2006), Louis Bachelier's Theory of Speculation, Translated by Mark Davis & Alison Etheridge
17. • Maik Dierkes, Carsten Erner, Stefan Zeisberger. (2010). Investment horizon and the attractiveness of investment strategies:. Journal of Banking & Finance, 1032-1046. [DOI:10.1016/j.jbankfin.2009.11.003]
18. • M.H.Jensen, A.Johansen, F.Petroni, I.Simonsen. (2004). Inverse Statistics in the Foreign Exchange. Preprint submitted to Elsevier Science. [DOI:10.2139/ssrn.508567]
19. • Rahmaniani M, Taleblo R.(2017), Measuring Probability of Informed Trading in Tehran Stock Exchange; Journal of Economic Modeling Research,Kharazmi University, 8 (29) :73-98
20. • Rosario N.Mantegna and H.Eugene Stanely(2008), An Introduction to Econophysics, Correlations and Complexity in finance, Downloaded from Amazaon.com.
21. • Rosario N.Mantegna and H.Eugene Stanely(2008), An Introduction to Econophysics, Correlations and Complexity in finance, Downloaded from Amazaon.com.
22. • Saeedi, Ali, Jafari Seresht, Davood and others (2011), Financial Institutions; Guideline of the Law of the Stock Market, Stock exchange publication.
23. • 18.Samuelson, P.A., 1963. Risk and uncertainty: A fallacy of large numbers. Scientia 98,108-113.
24. • Vakili Fard, Hamid Reza and Shirazian, Zahra (2013), The Effect of Investment Horizon on Asset Allocation between growth and Value Strategies in Tehran Stock Exchange Using Wavelet Method, Journal of Financial Engineering and Securities Management (21).
25. • Weiu Xing Zhou,Juan(2006),Inverse statistics in Stock markets,Journal of Physica.

Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.