ANALYZING TOCK RETURN MOVEMENT IN TEHRAN STOCK EXCHANGE USING APT 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.

GHALIBAF ASL HASSAN; MOHAMMADI SHAPOUR; MAZAHERI FAE PEGAH

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

Journal Paper

Paper Information

Journal: Management Research in Iran Year:2012 | Volume:16 | Issue:1 (74) Page(s): 93-106

Download Full-Text

Persian Verion

View:

2,033

Download:

Cites:

Information Journal Paper

Title

ANALYZING TOCK RETURN MOVEMENT IN TEHRAN STOCK EXCHANGE USING APT APPROACH

Author(s)

GHALIBAF ASL HASSAN | MOHAMMADI SHAPOUR | MAZAHERI FAE PEGAH | Issue Writer Certificate

Keywords

RISK FREE RATE OF RETURNQ2

CO-MOVEMENTQ2

FACTOR ANALYSISQ2

APTQ2

Abstract

In this paper, we considered the effects of macro-economic factors on stock returns in order to estimate the RISK FREE RATE OF RETURN. For doing so, we used monthly returns of companies from 2004 to 2008 and sample consisted of 48 companies, listed in tehran stock market and the effect of 10 macroeconomic factors like Import, Export, Coin price, Oil price, M1, Inflation, Exchange rate, Index, Indext-1, and Construction permit on monthly stock returns was estimated for 5 years. Multi-factor model Arbitrage Pricing Theory (APT) and FACTOR ANALYSIS method were used. The aim of this research was to clarify whether CO-MOVEMENT of stock returns was the result of macro-economic factors or not, and also to estimate the RISK FREE RATE OF RETURN. The results showed that CO-MOVEMENT of stock returns was due to different effects of inflation and indext with one period lag affected Tehran stock return during these 5 years, and the estimated RISK FREE RATE OF RETURN of stock market was more than the RISK FREE RATE OF RETURN of the monetary market.

Cites

No record.

References

Cite

APA: Copy

GHALIBAF ASL, HASSAN, MOHAMMADI, SHAPOUR, & MAZAHERI FAE, PEGAH. (2012). ANALYZING TOCK RETURN MOVEMENT IN TEHRAN STOCK EXCHANGE USING APT APPROACH. MANAGEMENT RESEARCH IN IRAN (MODARES HUMAN SCIENCES), 16(1 (74)), 93-106. SID. https://sid.ir/paper/383849/en

Vancouver: Copy

GHALIBAF ASL HASSAN, MOHAMMADI SHAPOUR, MAZAHERI FAE PEGAH. ANALYZING TOCK RETURN MOVEMENT IN TEHRAN STOCK EXCHANGE USING APT APPROACH. MANAGEMENT RESEARCH IN IRAN (MODARES HUMAN SCIENCES)[Internet]. 2012;16(1 (74)):93-106. Available from: https://sid.ir/paper/383849/en

IEEE: Copy

HASSAN GHALIBAF ASL, SHAPOUR MOHAMMADI, and PEGAH MAZAHERI FAE, “ANALYZING TOCK RETURN MOVEMENT IN TEHRAN STOCK EXCHANGE USING APT APPROACH,” MANAGEMENT RESEARCH IN IRAN (MODARES HUMAN SCIENCES), vol. 16, no. 1 (74), pp. 93–106, 2012, [Online]. Available: https://sid.ir/paper/383849/en

Related Journal Papers