ANALYSIS OF VOLATILITY FEEDBACK IN TEHRAN STOCK EXCHANGE

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.

ABOU NOURI E.; MOUTAMENI M.

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

Journal Paper

Paper Information

Journal: ECONOMIC RESEARCH REVIEW Year:2008 | Volume:7 | Issue:4 (27) Page(s): 247-261

Download Full-Text

Persian Verion

View:

1,471

Download:

Cites:

Information Journal Paper

Title

ANALYSIS OF VOLATILITY FEEDBACK IN TEHRAN STOCK EXCHANGE

Author(s)

ABOU NOURI E. | MOUTAMENI M. | Issue Writer Certificate

Keywords

Not Registered.

Abstract

The volatility feedback has been tested, using the Tehran Stock Exchange (TSE) returns, during 1992-2006. According to the theory, predictable volatility has a positive and significant effect, while the unpredicted volatility will reduce the stock returns. In order to test the hypothesis, the EGARCH-M model is used. The results indicate that there has not been a significant relationship between predictable volatility and returns, while the unpredicted volatility has had significant negative effect.

Cites

References

No record.

Cite

APA: Copy

ABOU NOURI, E., & MOUTAMENI, M.. (2008). ANALYSIS OF VOLATILITY FEEDBACK IN TEHRAN STOCK EXCHANGE. ECONOMIC RESEARCH REVIEW, 7(4 (27)), 247-261. SID. https://sid.ir/paper/67252/en

Vancouver: Copy

ABOU NOURI E., MOUTAMENI M.. ANALYSIS OF VOLATILITY FEEDBACK IN TEHRAN STOCK EXCHANGE. ECONOMIC RESEARCH REVIEW[Internet]. 2008;7(4 (27)):247-261. Available from: https://sid.ir/paper/67252/en

IEEE: Copy

E. ABOU NOURI, and M. MOUTAMENI, “ANALYSIS OF VOLATILITY FEEDBACK IN TEHRAN STOCK EXCHANGE,” ECONOMIC RESEARCH REVIEW, vol. 7, no. 4 (27), pp. 247–261, 2008, [Online]. Available: https://sid.ir/paper/67252/en

Related Journal Papers