IDENTIFYING REGIME SWITCHING OF STOCK MARKET RETURNS IN IRAN

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ABTAHI MEHRJERDI S.Y.; NICKFETRAT H.

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

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Journal: Journal of Economic Modelling Year:2013 | Volume:6 | Issue:4 (20) Page(s): 41-56

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Title

IDENTIFYING REGIME SWITCHING OF STOCK MARKET RETURNS IN IRAN

Author(s)

ABTAHI MEHRJERDI S.Y. | NICKFETRAT H. | Issue Writer Certificate

Keywords

EXCHANGE STOCK MARKETQ2

PRICE AND RETURNS INDEXQ2

MARKOV REGIME SWITCHING MODELQ2

Abstract

Financial markets tendency to a sudden shift as a result of changes in the investor behavior can lead to the appearance of different regimes of the price and returns in these markets. This paper, the switching behavior of different regimes in Tehran Stock Market will be investigated through returns (TEDPIX) indexation Switching model during 2006-2011. The results represent that there are 3 positions or regimes for this market. One has a negative return average and two others have a positive returns average. Also, the stability of the regimes has a positive but low returns average and the change of other regimes to this one is of high probability in this market.

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APA: Copy

ABTAHI MEHRJERDI, S.Y., & NICKFETRAT, H.. (2013). IDENTIFYING REGIME SWITCHING OF STOCK MARKET RETURNS IN IRAN. ECONOMIC MODELLING, 6(4 (20)), 41-56. SID. https://sid.ir/paper/176315/en

Vancouver: Copy

ABTAHI MEHRJERDI S.Y., NICKFETRAT H.. IDENTIFYING REGIME SWITCHING OF STOCK MARKET RETURNS IN IRAN. ECONOMIC MODELLING[Internet]. 2013;6(4 (20)):41-56. Available from: https://sid.ir/paper/176315/en

IEEE: Copy

S.Y. ABTAHI MEHRJERDI, and H. NICKFETRAT, “IDENTIFYING REGIME SWITCHING OF STOCK MARKET RETURNS IN IRAN,” ECONOMIC MODELLING, vol. 6, no. 4 (20), pp. 41–56, 2013, [Online]. Available: https://sid.ir/paper/176315/en

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