Modeling of Noise Trading Effect on Extreme Return Based on Quantile Regression Approach

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

SALAMI SOOLMAZ; Abdolbaghi Ataabadi Abdolmajid; farhadi rohollah

Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:11 | Issue:44 Page(s): 188-206

Download Full-Text

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Persian Verion

View:

390

Download:

Cites:

Information Journal Paper

Title

Modeling of Noise Trading Effect on Extreme Return Based on Quantile Regression Approach

Author(s)

SALAMI SOOLMAZ | Abdolbaghi Ataabadi Abdolmajid | farhadi rohollah | Issue Writer Certificate

Keywords

noise tradingQ1

ReturnQ2

ExtremeQ1

Quantile RegressionQ1

Abstract

Noise traders have an undeniable role in determining market volatility, Returns and stock price movements. Therefore, In this paper, the effect of noise traders on the stock Returns of companies with the aim of presenting an appropriate picture of how they are affected in Extreme situations. The statistical population of this study includes all companies listed in Tehran Stock Exchange during the period of 2009-2017. The sample of 13717 data from 150 companies listed on the stock exchange monthly. The main hypothesis of this study is to evaluate the Extreme Effects of noise trading on stock Returns by Quantile Regression was used to analyze the data. The findings of the research show that the level of noise activity increases with the level of efficiency Moreover, the positive effect of the noise trading index on Returns with a coefficient of 0. 0001. Under Extreme Returns, this effect is greater than the intermediate values and reflects the intensification of noise trading activity in periods of decline and market growth.

Cites

No record.

References

No record.

Cite

APA: Copy

SALAMI, SOOLMAZ, Abdolbaghi Ataabadi, Abdolmajid, & farhadi, rohollah. (2020). Modeling of Noise Trading Effect on Extreme Return Based on Quantile Regression Approach. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 11(44 ), 188-206. SID. https://sid.ir/paper/371848/en

Vancouver: Copy

SALAMI SOOLMAZ, Abdolbaghi Ataabadi Abdolmajid, farhadi rohollah. Modeling of Noise Trading Effect on Extreme Return Based on Quantile Regression Approach. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;11(44 ):188-206. Available from: https://sid.ir/paper/371848/en

IEEE: Copy

SOOLMAZ SALAMI, Abdolmajid Abdolbaghi Ataabadi, and rohollah farhadi, “Modeling of Noise Trading Effect on Extreme Return Based on Quantile Regression Approach,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 11, no. 44 , pp. 188–206, 2020, [Online]. Available: https://sid.ir/paper/371848/en

Related Journal Papers