THE ASYMMETRY OF STOCK MARKET VOLATILITY: THE CASE OF IRAN

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MEHRARA M.; ABDOLI G.H.

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Paper Information

Journal: Iranian Journal of Economic Research Year:2006 | Volume:8 | Issue:26 Page(s): 25-40

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Information Journal Paper

Title

THE ASYMMETRY OF STOCK MARKET VOLATILITY: THE CASE OF IRAN

Author(s)

MEHRARA M. | ABDOLI G.H. | Issue Writer Certificate

Keywords

VOLATILITYQ2

STOCK MARKETQ3

NEWS IMPACT CURVEQ2

IRAN STOCK MARKETQ2

Abstract

This paper uses daily data from the Tehran STOCK MARKET (TSM) to illustrate the nature of STOCK MARKET VOLATILITY in an undeveloped STOCK MARKET. Although most studies suggest that a negative shock to stock prices will generate more VOLATILITY than a positive shock of equal magnitude there is no evidence of symmetric effect in TSM. The EGARCH model passes all the tests and appears to be the most adequate characterization of the underlying data generating process.

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APA: Copy

MEHRARA, M., & ABDOLI, G.H.. (2006). THE ASYMMETRY OF STOCK MARKET VOLATILITY: THE CASE OF IRAN. IRANIAN ECONOMIC RESEARCH, 8(26), 25-40. SID. https://sid.ir/paper/2666/en

Vancouver: Copy

MEHRARA M., ABDOLI G.H.. THE ASYMMETRY OF STOCK MARKET VOLATILITY: THE CASE OF IRAN. IRANIAN ECONOMIC RESEARCH[Internet]. 2006;8(26):25-40. Available from: https://sid.ir/paper/2666/en

IEEE: Copy

M. MEHRARA, and G.H. ABDOLI, “THE ASYMMETRY OF STOCK MARKET VOLATILITY: THE CASE OF IRAN,” IRANIAN ECONOMIC RESEARCH, vol. 8, no. 26, pp. 25–40, 2006, [Online]. Available: https://sid.ir/paper/2666/en

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