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:: Volume 1, Issue 2 (3-2011) ::
2011, 1(2): 1-20 Back to browse issues page
Volatility and Return(Empirical Evidence from Tehran and International Stock Exchanges)
Abstract:   (14264 Views)
In this article the relationship between market return and volatility is examined by applying out- of- sample methodology and ARCH (M) class models in the Tehran Stock Exchange (TSE) and international stock exchanges. The results are inconsistent with portfolio theory implications in NASDAQ, ISE and TSE. However I found only negative relationship between unexpected volatility and monthly returns in most of international exchanges. I didn’t also find any significant relationship between forecasted volatility and monthly returns. The results contradict the asset pricing theories which explain a positive relationship between volatility and return. Although there are low coefficients of determination for all regressions, asymmetric volatility of return hypothesis explains this relationship in the sense that a decrease in stock price (negative return) increases the financial leverage of companies leading to more risky stocks and an eventually increasing volatility.
Keywords: Tehran and International Stock Exchange, Volatility, Return, ARCH
     
Type of Study: Applicable | Subject: پولی و مالی
Received: 2010/07/26 | Accepted: 2011/06/25 | Published: 2011/03/15
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Volatility and Return(Empirical Evidence from Tehran and International Stock Exchanges). Journal title 2011; 1 (2) :1-20
URL: http://jfm.khu.ac.ir/article-1-48-en.html


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Volume 1, Issue 2 (3-2011) Back to browse issues page
فصلنامه تحقیقات مدلسازی اقتصادی Journal of Economic Modeling Research
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