THE EMPIRICAL RELATION SHIP BETWEEN TRADING VOLUE, RETURN AND VOLATITY ON THE TEHRAN STOK BX CHENG

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

NAJARZADEH R.; ZIVDAR M.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: Journal of Economic Research Year:2006 | Volume:- | Issue:74 Page(s): 273-299

Download Full-Text

Persian Verion

View:

1,115

Download:

Cites:

Information Journal Paper

Title

THE EMPIRICAL RELATION SHIP BETWEEN TRADING VOLUE, RETURN AND VOLATITY ON THE TEHRAN STOK BX CHENG

Author(s)

NAJARZADEH R. | ZIVDAR M. | Issue Writer Certificate

Keywords

MDHQ2

SIAHQ3

VOLATILIRYQ3

RETURNQ3

VOLVRNERQ2

GARCHQ2

Abstract

In this article an empirical analysis has been performed to study the relationship between the volume of stock trades and the stock RETURNs volatility using the MDH model at the Tehran stock Exchange Market. We also have tested the stock trade volume and conditional RETURNs in the framework of the GARCH model. Contrary to the work of Lamoureux & Lastrapes (1990), when the trade volume is included in the model as an exogenous variable, the findings of this study did not confirm the weakening of the significance and the value of the parameters of the conditional variance. Also, despite studies done in developed countries, RETURN volatility, when trade volume is replaced by the information variable, did not disappear or subside. So the MDH hypothesis for the Iranian stock market did not hold. The main reason for this is that the stock related information, which is one of the principle assumptions of the MDH model, does not enter the market continuously.

Cites

References

No record.

Cite

APA: Copy

NAJARZADEH, R., & ZIVDAR, M.. (2006). THE EMPIRICAL RELATION SHIP BETWEEN TRADING VOLUE, RETURN AND VOLATITY ON THE TEHRAN STOK BX CHENG. TAHGHIGHAT-E-EGHTESADI, -(74), 273-299. SID. https://sid.ir/paper/11668/en

Vancouver: Copy

NAJARZADEH R., ZIVDAR M.. THE EMPIRICAL RELATION SHIP BETWEEN TRADING VOLUE, RETURN AND VOLATITY ON THE TEHRAN STOK BX CHENG. TAHGHIGHAT-E-EGHTESADI[Internet]. 2006;-(74):273-299. Available from: https://sid.ir/paper/11668/en

IEEE: Copy

R. NAJARZADEH, and M. ZIVDAR, “THE EMPIRICAL RELATION SHIP BETWEEN TRADING VOLUE, RETURN AND VOLATITY ON THE TEHRAN STOK BX CHENG,” TAHGHIGHAT-E-EGHTESADI, vol. -, no. 74, pp. 273–299, 2006, [Online]. Available: https://sid.ir/paper/11668/en

Related Journal Papers