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Measuring the Efficiency of Risk-Based Stock Returns Using Fuzzy Dynamic Network Data Coverage Analysis Method (Petrochemical Industry Case Study)
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Hamid Reza Akhbari1   , Heydar Mohammadzade Salteh * 2, Rasoul Baradaran Hassanzadeh3 , Mehdi Zeynali4 |
1- PhD candidate in Fainancial Engineering, Department of Accounting, Tabriz Branch, Islamic Azad University, Tabriz, Iran
2- Associate Professor of Accounting Department, Marand Branch, Islamic Azad University, Marand, Iran , salteh2008@gmail.com
3- Associate Professor of Accounting, Tabriz Branch, Islamic Azad University, Tabriz, Iran
4- Assistant Professor, Department of Accounting, Faculty of Management Economic and Accounting ,Tabriz Branch, Islamic Azad University, Tabriz, Iran |
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Abstract: (763 Views) |
One of the basic criteria for making decisions in the stock market is stock returns. Stock returns can be affected by risk. Risk is statistically divided into explained (systematic) and unexplained (unsystematic) groups. The present study was conducted with the aim of measuring the efficiency of stock returns based on risk in petrochemical industries by the fuzzy dynamic network data envelopment analysis method. The statistical sample studied are 10 petrochemical companies admitted to the Tehran Stock Exchange. Data analysis was done in two parts. In the first step, systematic and unsystematic risk for entering the network were calculated. In the second stage, using fuzzy dynamic network data coverage analysis, the efficiency of stock returns for petrochemical industries of Tehran Stock Exchange was measured in the period of 2019 to 2019. Based on the obtained results, three petrochemical companies Maron, Jam Petrochemical and Zagros Petrochemical have higher efficiency than other petrochemical companies. Therefore, the three mentioned companies were more controllable for systematic and unsystematic risk among the companies.
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| Keywords: : Efficiency, Stock returns, Risk, Petrochemical industry, Fuzzy dynamic network data coverage analysis |
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Full-Text [PDF 1560 kb]
(148 Downloads)
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Type of Study: Research |
Subject:
Marketing, Finance
Received: 2023/08/9 | Accepted: 2023/11/29 | Published: 2023/12/31 | ePublished: 2023/12/31
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