Bayesian Estimation of Relationship Between Return Volatility and Stock Trading Volume of Tehran Stock Exchange Index

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.

Haj Khan Mirzaye Sarraf Ebrahim; MOHAMMADI TEYMOUR; SALEHI RAD MOHAMMAD REZA; TALEBLOU REZA

مرکز اطلاعات علمی 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:42 Page(s): 44-66

Download Full-Text

Persian Verion

View:

454

Download:

Cites:

Information Journal Paper

Title

Bayesian Estimation of Relationship Between Return Volatility and Stock Trading Volume of Tehran Stock Exchange Index

Author(s)

Haj Khan Mirzaye Sarraf Ebrahim | MOHAMMADI TEYMOUR | SALEHI RAD MOHAMMAD REZA | TALEBLOU REZA | Issue Writer Certificate

Keywords

VolatilityQ1

ReturnQ2

trading volumeQ1

bayesian approachQ1

Abstract

The purpose of this study was to develop Bayesian modeling of Returns Volatility and turnover volumes. On this basis, the Volatility of the Tehran Stock Exchange index Returns and its trading volume have been studied with daily, weekly and monthly frequencies during the period of 21 April 2015 to 27 February 2019. The research findings show that the CCC model assumption of constant conditional correlation between the variables is violated and it is observed that the existing relationship is a dynamic conditional correlation type of DCC model and a negative one which implies that with increasing Returns, investors due to optimism is less reluctant to sell their stock and by failing to sell it reduces the volume of transactions in the market and vice versa. On the other hand, the research findings show that considering the skew student t distribution for errors with a wider tail than the normal distribution and skewness application, it has a better performance than the other distributions.

Cites

No record.

References

No record.

Cite

APA: Copy

Haj Khan Mirzaye Sarraf, Ebrahim, MOHAMMADI, TEYMOUR, SALEHI RAD, MOHAMMAD REZA, & TALEBLOU, REZA. (2020). Bayesian Estimation of Relationship Between Return Volatility and Stock Trading Volume of Tehran Stock Exchange Index. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 11(42 ), 44-66. SID. https://sid.ir/paper/396722/en

Vancouver: Copy

Haj Khan Mirzaye Sarraf Ebrahim, MOHAMMADI TEYMOUR, SALEHI RAD MOHAMMAD REZA, TALEBLOU REZA. Bayesian Estimation of Relationship Between Return Volatility and Stock Trading Volume of Tehran Stock Exchange Index. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;11(42 ):44-66. Available from: https://sid.ir/paper/396722/en

IEEE: Copy

Ebrahim Haj Khan Mirzaye Sarraf, TEYMOUR MOHAMMADI, MOHAMMAD REZA SALEHI RAD, and REZA TALEBLOU, “Bayesian Estimation of Relationship Between Return Volatility and Stock Trading Volume of Tehran Stock Exchange Index,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 11, no. 42 , pp. 44–66, 2020, [Online]. Available: https://sid.ir/paper/396722/en

Related Journal Papers