VOLATILITY AND RETURN (EMPIRICAL EVIDENCE FROM TEHRAN AND INTERNATIONAL STOCK EXCHANGES)

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PAKIZEH KAMRAN

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Journal: JOURNAL OF ECONOMIC MODELING RESEARCH Year:2011 | Volume:1 | Issue:2 Page(s): 1-20

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Title

VOLATILITY AND RETURN (EMPIRICAL EVIDENCE FROM TEHRAN AND INTERNATIONAL STOCK EXCHANGES)

Author(s)

PAKIZEH KAMRAN | Issue Writer Certificate

Keywords

TEHRAN AND INTERNATIONAL STOCK EXCHANGEQ2

VOLATILITYQ2

RETURNQ3

ARCHQ3

Abstract

In this article the relationship between market RETURN and VOLATILITY is examined by applying out- of- sample methodology and ARCH (M) class models in the Tehran Stock Exchange (TSE) and international stock exchanges. The results are inconsistent with portfolio theory implications in NASDAQ, ISE and TSE. However I found only negative relationship between unexpected VOLATILITY and monthly RETURNs in most of international exchanges. I didn’t also find any significant relationship between forecasted VOLATILITY and monthly RETURNs. The results contradict the asset pricing theories which explain a positive relationship between VOLATILITY and RETURN. Although there are low coefficients of determination for all regressions, asymmetric VOLATILITY of RETURN hypothesis explains this relationship in the sense that a decrease in stock price (negative RETURN) increases the financial leverage of companies leading to more risky stocks and an eventually increasing VOLATILITY.

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APA: Copy

PAKIZEH, KAMRAN. (2011). VOLATILITY AND RETURN (EMPIRICAL EVIDENCE FROM TEHRAN AND INTERNATIONAL STOCK EXCHANGES). JOURNAL OF ECONOMIC MODELING RESEARCH, 1(2), 1-20. SID. https://sid.ir/paper/208907/en

Vancouver: Copy

PAKIZEH KAMRAN. VOLATILITY AND RETURN (EMPIRICAL EVIDENCE FROM TEHRAN AND INTERNATIONAL STOCK EXCHANGES). JOURNAL OF ECONOMIC MODELING RESEARCH[Internet]. 2011;1(2):1-20. Available from: https://sid.ir/paper/208907/en

IEEE: Copy

KAMRAN PAKIZEH, “VOLATILITY AND RETURN (EMPIRICAL EVIDENCE FROM TEHRAN AND INTERNATIONAL STOCK EXCHANGES),” JOURNAL OF ECONOMIC MODELING RESEARCH, vol. 1, no. 2, pp. 1–20, 2011, [Online]. Available: https://sid.ir/paper/208907/en

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