SIMULTANEOUS EFFECTS OF LEVERAGE AND VOLATILITY FEEDBACK IN TEHRAN STOCK EXCHANGE

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ABOU NOURI E.; MOTAMENI M.

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

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Paper Information

Journal: Journal of Economic Research Year:2007 | Volume:- | Issue:76 Page(s): 101-117

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Information Journal Paper

Title

SIMULTANEOUS EFFECTS OF LEVERAGE AND VOLATILITY FEEDBACK IN TEHRAN STOCK EXCHANGE

Author(s)

ABOU NOURI E. | MOTAMENI M. | Issue Writer Certificate

Keywords

LEVERAGE EFFECTQ2

VOLATILITY FEEDBACKQ3

TEHRAN STOCK EXCHANGEQ3

LATENT VAR MODELQ3

Abstract

Concerning simultaneous LEVERAGE EFFECT and VOLATILITY FEEDBACK in TEHRAN STOCK EXCHANGE, using daily total market index, we found that the LEVERAGE EFFECT has been present in TSE. Regarding the VOLATILITY FEEDBACK, although unanticipated volatility has negative effect on the stock returns, however, contrary & volatility feed back theory the anticipated volatility has no direct effect on the stock returns.

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APA: Copy

ABOU NOURI, E., & MOTAMENI, M.. (2007). SIMULTANEOUS EFFECTS OF LEVERAGE AND VOLATILITY FEEDBACK IN TEHRAN STOCK EXCHANGE. TAHGHIGHAT-E-EGHTESADI, -(76), 101-117. SID. https://sid.ir/paper/12069/en

Vancouver: Copy

ABOU NOURI E., MOTAMENI M.. SIMULTANEOUS EFFECTS OF LEVERAGE AND VOLATILITY FEEDBACK IN TEHRAN STOCK EXCHANGE. TAHGHIGHAT-E-EGHTESADI[Internet]. 2007;-(76):101-117. Available from: https://sid.ir/paper/12069/en

IEEE: Copy

E. ABOU NOURI, and M. MOTAMENI, “SIMULTANEOUS EFFECTS OF LEVERAGE AND VOLATILITY FEEDBACK IN TEHRAN STOCK EXCHANGE,” TAHGHIGHAT-E-EGHTESADI, vol. -, no. 76, pp. 101–117, 2007, [Online]. Available: https://sid.ir/paper/12069/en

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