THE EXAMINATION OF RELATIONSHIP BETWEEN STOCK SYSTEMATIC RISK AND SKEWNESS OF RETURNS

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HAJIHA ZOHREH; SAFARI FATEMEH

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Paper Information

Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2018 | Volume:6 | Issue:1 (20) Page(s): 1-10

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Title

THE EXAMINATION OF RELATIONSHIP BETWEEN STOCK SYSTEMATIC RISK AND SKEWNESS OF RETURNS

Author(s)

HAJIHA ZOHREH | SAFARI FATEMEH | Issue Writer Certificate

Keywords

FINANCIAL CAPITAL MARKETSQ1

STOCK SYSTEMATIC RISKQ1

SKEWNESS OF STOCK RETURNQ1

Abstract

Skewness of stock return is one of the phenomena observed in the financial markets, indicating psychological bias or tendencies to specific numbers in the market. This study examined the association between systematic risk and skewness in stock's return. To this end, two hypotheses were developed and the data of 98 companies listed on Tehran Stock Exchange, during 2008-2013 and multiple regression with panel data was used to test the hypotheses. The results of the first study suggest that there was a significant correlation between systematic risk of stocks and positive SKEWNESS OF STOCK RETURNs. The results of the study also suggest that there was a significant and direct correlation between negative skewness and systematic risk of stock. In other words, the higher the systematic risk, the higher the SKEWNESS OF STOCK RETURNs and vice versa. Therefore, the direct relationship between risk and return is confirmed.

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APA: Copy

HAJIHA, ZOHREH, & SAFARI, FATEMEH. (2018). THE EXAMINATION OF RELATIONSHIP BETWEEN STOCK SYSTEMATIC RISK AND SKEWNESS OF RETURNS. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 6(1 (20) ), 1-10. SID. https://sid.ir/paper/245672/en

Vancouver: Copy

HAJIHA ZOHREH, SAFARI FATEMEH. THE EXAMINATION OF RELATIONSHIP BETWEEN STOCK SYSTEMATIC RISK AND SKEWNESS OF RETURNS. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2018;6(1 (20) ):1-10. Available from: https://sid.ir/paper/245672/en

IEEE: Copy

ZOHREH HAJIHA, and FATEMEH SAFARI, “THE EXAMINATION OF RELATIONSHIP BETWEEN STOCK SYSTEMATIC RISK AND SKEWNESS OF RETURNS,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 6, no. 1 (20) , pp. 1–10, 2018, [Online]. Available: https://sid.ir/paper/245672/en

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