THE RELATION BETWEEN FIRM SIZE AND STOCK RETURN VOLATILITY IN DIFFERENT CAPITAL MARKET CONDITIONS

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MASHAYEKH SHAHNAZ; HARRAF AMUGHIN NASIM

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Journal: The Financial Accounting and Auditing Researches Year:2011 | Volume:3 | Issue:11 Page(s): 69-86

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Title

THE RELATION BETWEEN FIRM SIZE AND STOCK RETURN VOLATILITY IN DIFFERENT CAPITAL MARKET CONDITIONS

Author(s)

MASHAYEKH SHAHNAZ | HARRAF AMUGHIN NASIM | Issue Writer Certificate

Keywords

RISKQ2

STOCK RETURN VOLATILITYQ3

CAPITAL MARKET CONDITIONSQ3

FIRM SIZEQ2

Abstract

The major purpose of this research was to investigate and determinate the effect of some RISK variables in the stock returns of the companies listed in Tehran Stock Exchange Market (TSEM). In approaching this study, the effects of FIRM SIZE in the STOCK RETURN VOLATILITY in different CAPITAL MARKET CONDITIONS in TSEM during the years 1374 through 1384 were analyzed. The population of the study encompasses all firms listed in TSEM with the exception of banks, investment companies and leasing companies.The sample of this research was the firms whose stocks during the period of study at least six month of a year was exchange. Consequently, 53 firms were finally selected and analyzed.In choosing the conditions of market, used 3 criterions include stock market index and monetary exchanges volume and this numeric in TSEM. Then by using “the regression analysis technique and dummy variable “, the effects of selected variables in stock returns were studied.The results of this study show that, there is positive and significant relation between FIRM SIZE and STOCK RETURN VOLATILITY, when market condition is not importance, and when market condition include the model, this relation is still positive and significant. We concluded that, market condition does not effect on relationship between FIRM SIZE and STOCK RETURN VOLATILITY (Beta).

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APA: Copy

MASHAYEKH, SHAHNAZ, & HARRAF AMUGHIN, NASIM. (2011). THE RELATION BETWEEN FIRM SIZE AND STOCK RETURN VOLATILITY IN DIFFERENT CAPITAL MARKET CONDITIONS. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, 3(11), 69-86. SID. https://sid.ir/paper/198288/en

Vancouver: Copy

MASHAYEKH SHAHNAZ, HARRAF AMUGHIN NASIM. THE RELATION BETWEEN FIRM SIZE AND STOCK RETURN VOLATILITY IN DIFFERENT CAPITAL MARKET CONDITIONS. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES[Internet]. 2011;3(11):69-86. Available from: https://sid.ir/paper/198288/en

IEEE: Copy

SHAHNAZ MASHAYEKH, and NASIM HARRAF AMUGHIN, “THE RELATION BETWEEN FIRM SIZE AND STOCK RETURN VOLATILITY IN DIFFERENT CAPITAL MARKET CONDITIONS,” THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, vol. 3, no. 11, pp. 69–86, 2011, [Online]. Available: https://sid.ir/paper/198288/en

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