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Modeling and Effect Investigation of the Relationship between Adaptive Market Variables by Using Cause and Effect Approach of System Dynamics
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Gholamhossein Mahdavi *   1, Navid Reza Namazi1 |
| 1- Shiraz University |
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Abstract: (3413 Views) |
Different pricing models for determining expected returns, such as portfolio theory, capital asset pricing model, and arbitrage pricing theory have been proposed, but none of these models are in accordance with the reality of the market. Traditional models, also have important weaknesses. So, models have not enouph efficiency for users. The present study’s aim is modeling the relationship between the adaptive market variables and simultaneous effect and interaction of the variables. For this purpose, 101 companies listed in Tehran Stock Exchange were selected during the 11 year study period (from 2005 to 2015). The research method is based on the cause and effect model of system dynamics. The results showed that demand for shares, stock price, price to earnings ratio, stock return, audit opinion, firm risk (return on assets and debt ratio), institutional shareholders, deals volume, volume of basis stock, number of issued shares, earnings per share, and market value to book value ratio, have significant effect on each other in the cause and effect model of adaptive market, considering mutual relationship. Also, return on equity, capital structure and net income had not significant impact on stock returns.
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| Keywords: Financial variables, Modeling, Cause and effect approach, System dynamics. |
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Full-Text [PDF 956 kb]
(1467 Downloads)
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Type of Study: Research |
Subject:
Special
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