Investigating the relationship between privatization and information efficiency, regime switch and structural failure in the Iranian economy
Publish place: Iranian Journal of Finance، Vol: 1، Issue: 1
Publish Year: 1396
نوع سند: مقاله ژورنالی
زبان: English
View: 111
This Paper With 23 Page And PDF Format Ready To Download
- Certificate
- من نویسنده این مقاله هستم
استخراج به نرم افزارهای پژوهشی:
شناسه ملی سند علمی:
JR_IJFIFSA-1-1_001
تاریخ نمایه سازی: 25 فروردین 1401
Abstract:
Increased government revenues and improved economic efficiency are the main goals of implementing privatization and regime switch in Iran. Information efficiency in the capital market can also be considered as a milestone for increased government revenues and improved economic efficiency. In this study, according to the results of regime switching GARCH models, it is determined that stock returns have had different regimes during the study period (۲۰۰۰-۲۰۱۵). According to the results of the estimation of the three-regime GARCH model, the most important events of the Article ۴۴ of the Constitution in the direction of privatization in Iran's economy and its implementation during the study period have been effective in switching the regimes of the fluctuating process of efficiency. Market risk has also been identified as a factor affecting regime switching in the stock return process, which is due to the behavior of stockholders in low-fluctuation regimes compared to high-fluctuation regimes and liquidity. Also, according to the Kalman filter model, poor performance has been established in Tehran Stock Exchange, which indicates that privatization policy has been effective in improving the efficiency of this marketplace. Using the technique related to the detection of structural failure in the liquidity variable as one of the signs of the stock market depth, the failure of this series was detected by virtue of the implementation of privatization, and it was discovered that privatization increased market liquidity as one of the principles of market development.
Keywords:
Authors
Hassan Galibaf Asl
Faculty Member of Al-Zahra University
Masoomeh Torkaman Ahmadi
PHD in Economics,
مراجع و منابع این Paper:
لیست زیر مراجع و منابع استفاده شده در این Paper را نمایش می دهد. این مراجع به صورت کاملا ماشینی و بر اساس هوش مصنوعی استخراج شده اند و لذا ممکن است دارای اشکالاتی باشند که به مرور زمان دقت استخراج این محتوا افزایش می یابد. مراجعی که مقالات مربوط به آنها در سیویلیکا نمایه شده و پیدا شده اند، به خود Paper لینک شده اند :