E-Garch and Modeling of Market Volatility Based on Noise Trading

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ABDOLBAGHI ABDOLMAJID; Sbour Siavash; Bagheri Rafi Maryam

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2020 | Volume:12 | Issue:44 Page(s): 23-35

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Title

E-Garch and Modeling of Market Volatility Based on Noise Trading

Author(s)

ABDOLBAGHI ABDOLMAJID | Sbour Siavash | Bagheri Rafi Maryam | Issue Writer Certificate

Keywords

Behavioral FinanceQ2

Noise TradingQ1

Market FluctuationsQ1

E-GarchQ1

Abstract

The presence of noise traders with fanatical attitude in financial markets is considered as a reason for the divergence of price and risk from predicted levels, but on the other hand the absence of noise traders might cause dwindling of market volatility. Generally, those who execute their trades based on market noise have poor understanding of the validity of receiving information, nevertheless a major part of traders falls into this category. The following study evaluated fluctuation of Noise Trading, using EGARCH (exponential general autoregressive conditional heteroscedastic) model for the price index of the Tehran stock exchange market from 2012 to 2016. There was a meaningful relation between the noise and market return, so that an increase in Noise Trading resulted in market return growth and a decline in Noise Trading altered fluctuation to a smoother trend. Furthermore, the growth of trade value, turnover and number of trades was related to the rise in Noise Trading.

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APA: Copy

ABDOLBAGHI, ABDOLMAJID, Sbour, Siavash, & Bagheri Rafi, Maryam. (2020). E-Garch and Modeling of Market Volatility Based on Noise Trading. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 12(44 ), 23-35. SID. https://sid.ir/paper/200276/en

Vancouver: Copy

ABDOLBAGHI ABDOLMAJID, Sbour Siavash, Bagheri Rafi Maryam. E-Garch and Modeling of Market Volatility Based on Noise Trading. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2020;12(44 ):23-35. Available from: https://sid.ir/paper/200276/en

IEEE: Copy

ABDOLMAJID ABDOLBAGHI, Siavash Sbour, and Maryam Bagheri Rafi, “E-Garch and Modeling of Market Volatility Based on Noise Trading,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 12, no. 44 , pp. 23–35, 2020, [Online]. Available: https://sid.ir/paper/200276/en

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