اثرات پویای بازده بخش سوداگری بر بتای توده‌واری در بورس اوراق بهادار تهران

Akbari, J., Bakhtiari, S., Sameti, M., & Ranjbar, h. (2018). The Effect of Oil Shocks on the Relationship between Income - Government Expenditure in Iran and Challenges of Management and Impulse Control. Modiriat-e-Farda Journal, 17, 31-44. (In Persian)

Akkoç, U., Akçağlayan, A., & Kargın Akkoç, G. (2021). The impacts of oil price shocks in Turkey: sectoral evidence from the FAVAR approach. Economic Change and Restructuring, 54, 1147-1171.

Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2019). Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios. Journal of International Financial Markets, Institutions and Money, 61, 37-51.

Babajani, J., Ebadi, J., & Moradi, N. (2015). Herding Behaviour in Mutual Fund Industry, Evidence from Tehran Stock Exchange. Journal of Empirical Studies in Financial Accounting, 12(47), 47-71. (In Persian)

Barkhordari, S., & Froughi Far, M. (2020). The Dynamic Regional Effects of Monetary Policy on Employment in Iran (TVP-FAVAR Approach). Quarterly Juornal of Applied Theories of Economics, 6(4), 109-136. (In Persian)

Bekaert, G. R., Hodrick, J., & Zhang. X. (2012). Aggregate idiosyncratic volatility. Journal of Financial and Quantitative Analysis, 47, 1155–1185.

Bernanke, B. S., Boivin, J., & Eliasz, P. (2005). Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach. The Quarterly journal of economics, 120(1), 387-422.

Cai, F., Han, S., Li, D., & Li, Y. (2018). Institutional herding and its price impact: evidence from the corporate bond market. Journal of Financial Economics, 131, 139-167.

Chashti, M., Lotfalipour, MR., Behname, M., & Enrahimi Salari, T. (2019). Evaluating the Impacts of Balance of Payments Variables Shock on Selected Macroeconomic Variables Using FAVAR. Journal of Economic Modeling Research - Kharazmi University, (37), 69-104. (In Persian)

Christou, C., Gupta, R., & Nyakabawo, W. (2019). Time-varying impact of uncertainty shocks on the US housing market. Economics Letters, 180, 15-20.

Demirer, R., Gabauer, D., Gupta, R., & Ji, Q. (2021). Monetary policy and speculative spillovers in financial markets. Research in International Business and Finance, 56, 101373.

Devenow, A., & Welch, I. (1996). Rational herding in financial economics. European economic review, 40(3-5), 603-615.

Erdogan, H. H. (2021). Beta herding in the COVID-19 era: Evidence from Borsa Istanbul. Business and Economics Research Journal, 12(2), 359-368.

Ezzati-Shourgoli A., & Khodavaisi, H. (2021). An Estimation of the Exchange Rate Pass-Through to Domestic Prices in The Iranian Economy: An Application of the Time-Varying Parameter Models. Quarterly Journal of Economic Research, 21 (1), 29-62. (In Persian)

Farahani, M., Marzban, H., Dehghan, Z., & Akbarian, R. (2018). The Theory of Measuring Effects of Interest rate shock on the Macro factors in Iran: A Factor-Augmented Vector Autoregressive, Approach. Quarterly Journal of Applied Economics Studiesin Iran, 7(25), 29-54. (In Persian)

Fu, B., & Wang, B. (2020). The transition of China's monetary policy regime: Before and after the four trillion RMB stimulus. Economic Modelling, 89, 273-303.

He, F., Ma, F., Wang, Z., & Yang, B. (2021). Asymmetric volatility spillover between oil-importing and oil-exporting countries' economic policy uncertainty and China's energy sector. International Review of Financial Analysis, 75, 101739.

Heydari, H. (2018). Constructing a Factor Augmented VAR Model to Analyze Transmission of Oil and Monetary Shocks to Iranian Economy. Journal of Economic Modeling Research - Kharazmi University, (34), 71-106. (In Persian)

Heydari, M., & Abdoli, G. (2021). Investigating the Collective Behavior of Investors in the Tehran Stock Market Using the Trading Volume. Economic Research, 55(4), 813-830. (In Persian)

Heydari, Z., & Davoodi, P. (2021). Investigating the Effect of Banks' Speculative Behavior on the Stock Price Index during the Period (1392-1398). Journal of Iran's Economic Essays; an Islamic approach, 18(36), 1-15. (In Persian)

Heydari, Z., Davoodi, P., & Samsami, H. (2022). Investigating the effect of banks' speculative behavior on housing prices in urban areas of Tehran during the period (1392-1398). The Quarterly Journal of Economic Strategy, 11(42), 1-24. (In Persian)

Hrdlicka, C. (2022). Trading Volume and Time Varying Betas. Review of Finance, 26, 79–116.

Hwang, S., & Salmon, M. (2004). Market stress and herding. Journal of Empirical Finance, 11, 585–616.

Hwang, S., Rubesam, A., & Salmon, M. (2021). Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly. Journal of International Money and Finance, 111, 102318.

Hwang, S., & Salmon, M. (2007). Sentiment and Beta Herding. https://www.researchgate.net/publication/228953705.

Jackson, L. E., Owyang, M. T., & Zubairy, S. (2018). Debt and stabilization policy: Evidence from a Euro Area FAVAR. Journal of Economic Dynamics and Control, 93, 67-91.

Khalili Araghi, M., Farzinvash, A., & Sadri, H. (2019). The Impacts of Financial Development on Growth: TVP-FAVAR Model. The Economic Research (Sustainable Growth and Development), 19(3), 31-59. (In Persian)

Khezri, M., Kazemnaziri, M., & Gharloghi, S. (2021). An Experimental Study on the Effects of ICT Developmental Policies on Iran’s Economic Growth. Quarterly Journal of the Macro and Strategic Policies, 8(4), 692-715. (In Persian)

Khezri, M., Sahabi, B., Yavari, K., & Heydari, H. (2015). Speculation Effects on Inflation in Iran Economy: TVP-FAVAR Model. Economics Research, 15(57), 193-228. (In Persian)

Khodaparast Shirazi, J. (2017). Metamorphosis of Monetary Transmission Over Time: DSGE and FAVAR Approach. Quantitative Economics, 14(1), 143-172. (In Persian)

Koop, G., & Korobilis, D. (2014). A new index of financial conditions. European Economic Review, 71, 101–116.

Leu, S. C. Y., & Robertson, M. L. (2021). Mortgage credit volumes and monetary policy after the Great Recession. Economic Modelling, 94, 483-500.

Lima, E. C. R., Martinez, T. S., & Cerqueira, V. S. (2018). Monetary policy and exchange rate: Effects on disaggregated prices in a Favar model for Brazil. Brazilian Review of Econometrics, 38(1), 129-174.

Liu, J., Stambaugh, R. F., & Yuan, Y. (2018). Absolving beta of volatility’s effects. Journal of Financial Economics, 128(1), 1-15.

Lutz, C. (2015). The impact of conventional and unconventional monetary policy on investor sentiment. Journal of Banking & Finance, 61, 89-105.

Luvsannyam, D., & Batmunkh, K. (2019). A Factor Augmented Vector Autoregressive (FAVAR) approach for Monetary Policy: Replication of the empirical results in Measuring the effects of Monetary Policy. Journal of Applied Econometrics, 34, 820-821.

Mosavijahromi, Y., Mehrara, M., & Totonchi, S. (2020). Evaluating the Most Important Factors Effecting Direct Taxes in Iranian Economy with TVP-DMA and TVP-FAVAR Models Approach. Quarterly Journal of Applied Economics Studiesin Iran, 11(34), 39-75. (In Persian)

Mozaffari, M. (2011). Examination of Herding Behavior of Investment Company in Tehran Stock Exchange. Financial Knowledge of Securities Analysis, (15), 69-81. (In Persian)

Nelson, L., & Stear, E. (1976). The simultaneous on-line estimation of parameters and states in linear systems. IEEE Transactions on Automatic Control, 21, 94 -98.

Pourzamani, Z. (2012). Appraising the Herding Behavior on Institutional Investors with Christie and Huang Model in Tehran Stock Exchange. Investment knowledge - Iranian Financial Engineering Association, 1(3), 147-160. (In Persian)

Raimundo Junior, G. D. S., Klotzle, M. C., Pinto, A. C. F., & Luis Leite, A. (2020). Political risk, fear, and herding on the Brazilian stock exchange. Applied Economics Letters, 27(9), 759-763.

Razavi, M., Izadkhasti, H., & Dastjerdi, V. (2020). Identifying the Factors Affecting the Tax Rate on Vacant Houses in the Iranian Economy: Interpretive Structural Modeling Approach. Urban Economics, 5(8),1-18. (In Persian)

Sadeghi, S.K., Beheshti, M.B., Ranjpour, R., & Ebrahimi, S. (2017). Fiscal Policies and Income Distribution in Iran: FAVAR Approach. Quarterly Journal of Economic Modeling, 39(3), 75-98. (In Persian)

Saeedi, A., & Farhanian, M. J. (2012). To Study the Investor Herd Behavior in Tehran Stock Exchange. Journal of Securities Exchange, 4(16), 175-198. (In Persian)

Serati, M., & Venegoni, A. (2019). The cross-country impact of ECB policies: Asymmetries in–Asymmetries out?, Journal of international money and finance, 90, 118-141.

Shams, S.F., & Esfandiari Moghadam, A.T. (2018). The Relationship of Behavioral Herding with the Performance and Characteristics in Investment Companies of Tehran Stock Exchange. The Financial Accounting and Auditing Researches, 10(38), 47-66. (In Persian)

Sharifi, S.M.R., Haghighat, A., Ebrahim, M., & Aminifard, A. (2018). The Relationship between Underground Economy and Financial Dewlopment in the TVP-FAVAR Framework: Evidence from Iran’s Economy. Journal of Financial Econoics, 13(46), 41-71. (In Persian)

Simsek, A. (2021). The Macroeconomics of Financial Speculation. Annual Review of Economics, 13, 335-369.

Tsionas, E.  G., & Philippas, N. (2013). Revisiting herding behavior: likelihood evidence (February 10, 2013). Available at SSRN Electronic Journal, https://ssrn.com/abstract=2214580-  DOI:10.2139/ssrn.2214580 February 2013.

Wang, J., Wu, K., Pan, J., & Jiang, Y. (2023). Disagreement, speculation, and the idiosyncratic volatility. Journal of Empirical Finance, 72, 232-250.

Wu, Z., Tai, T., & Chong, L. (2019). Price rigidity in China: Empirical results at home and abroad. China Economic Review, 55, 218-235

Zanjirdar, M., & khojasteh, S. (2017). The Impact of Investors’ herding Behavior on the Stock Returns Using Huang and Solomon Model. Quarterly Journal of Fiscal and Economic Policies, 4(15), 115-134. (In Persian)