Abstract
The main purpose of this paper is to investigate the effects of COVID-19 regarding the efficiency of industries based on data in the Tehran stock market. A hybrid model of Data Envelopment Analysis (DEA) and data mining techniques is used to analyze the investment behavior in Tehran stock market. Particularly during the COVID-19 pandemic, many companies face financial crises. That is why companies with inferior performance must be benchmarked with efficient companies. First, the financial data of investments on selective companies are analyzed using data mining approaches to recognize the behavioral patterns of investors and securities. Second, customers are clustered into 3 selling and 4 buying groups using data mining techniques. Then, the efficiency of active companies in stock exchange is evaluated using input-oriented DEA. The results indicate that, among 23 industries listed on the stock market in Iran, solely nine were efficient in 2019. Moreover, in 2020, the number of efficient industries further decreased to six industries. Comparing the obtained results with those of another study which was conducted in 2018 by other researchers revealed that COVID-19 strongly affects the performance of an industry and some industries which were efficient in the past such as the bank industry became inefficient in the following year.
Highlights
Creating a suitable environment for investors to invest in stock markets is essential for economic progress [1]
Comparing the obtained results with those of another study which was conducted in 2018 by other researchers revealed that COVID-19 strongly affects the performance of an industry and some industries which were efficient in the past such as the bank industry became inefficient in the following year
Companies, and industries are collected from the Tehran stock exchange database
Summary
Creating a suitable environment for investors to invest in stock markets is essential for economic progress [1]. Global stock exchange markets are being created, which can be considered as an opportunity for investors. In such a situation, the main problem is the selection of proper investment criteria and the creation of optimal portfolios. It is very important for us to know which factors have an impact on the behavior of investors Another issue that has created some problems in Iranian investment markets is the Mathematical Problems in Engineering deficiencies in analyses. When there are a lot of fluctuations in economic variables, the profitability of companies can be significantly affected by these changes In such a situation, investors do not trust the published data. The evaluation of companies by financial statements is difficult, DEA models can help incorporate several criteria and indicators when assessing the companies [8, 9]
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