TEST OF LEVERAGE EFFECT IN TEHRAN STOCK EXCHANGE

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ABOU NOURI E.; MOTAMENI M.

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Journal: Year:2007 | Volume:26 | Issue:1 (50) Page(s): 1-11

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Title

TEST OF LEVERAGE EFFECT IN TEHRAN STOCK EXCHANGE

Author(s)

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

Keywords

VOLATILITYQ3

LEVERAGE EFFECTQ3

RETURNSQ3

EGARCHQ3

TEHRAN STOCK EXCHANGEQ4

Abstract

The effect of stock VOLATILITY is examined in Tehran Stock Market (TSE) using the LEVERAGE EFFECT theory. According to the theory, the return and variance have negative relationship. The effect has been tested using E-GARCH model and daily time series data during 1992-2006. The results do not reject the LEVERAGE EFFECT in TSE. Also, the impact of good and bad news on VOLATILITY has not been symmetric.

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References

THE ASYMMETRY OF STOCK MARKET VOLATILITY: THE CASE OF IRAN

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APA: Copy

ABOU NOURI, E., & MOTAMENI, M.. (2007). TEST OF LEVERAGE EFFECT IN TEHRAN STOCK EXCHANGE. JOURNAL OF SOCIAL SCIENCES AND HUMANITIES OF SHIRAZ UNIVERSITY, 26(1 (50)), 1-11. SID. https://sid.ir/paper/13277/en

Vancouver: Copy

ABOU NOURI E., MOTAMENI M.. TEST OF LEVERAGE EFFECT IN TEHRAN STOCK EXCHANGE. JOURNAL OF SOCIAL SCIENCES AND HUMANITIES OF SHIRAZ UNIVERSITY[Internet]. 2007;26(1 (50)):1-11. Available from: https://sid.ir/paper/13277/en

IEEE: Copy

E. ABOU NOURI, and M. MOTAMENI, “TEST OF LEVERAGE EFFECT IN TEHRAN STOCK EXCHANGE,” JOURNAL OF SOCIAL SCIENCES AND HUMANITIES OF SHIRAZ UNIVERSITY, vol. 26, no. 1 (50), pp. 1–11, 2007, [Online]. Available: https://sid.ir/paper/13277/en

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