Modelling and Investigating the Differences and Similarities in the Volatility of the Stocks Return in Tehran Stock Exchange Using the Hybrid Model PANEL-GARCH
Journal Title: Advances in Mathematical Finance and Applications - Year 2018, Vol 3, Issue 2
Abstract
Efficient financial markets with high degree of transparency do not substantiate the hypothesis that there are differences in the volatility of return. Generally, there are factors rejecting any perfect similarity in the volatility of return in the emerging stock markets, as previous studies in Iran have confirmed the complete difference. On the other hand, the hybrid model PANEL-GARCH has the benefit of high process accuracy, suggesting that the evaluation of the similarity in the volatility of return at the level of market or industry constituent units is better than the simple technique of time series GARCH model for the entire market (instead of evaluation at unit levels). Therefore, the present study intends to investigate complete similarities or differences in the volatility of return in Iran's industries. Results showed that the assumption of complete difference in the volatility of return in the industries did not hold. The results of this process for Iran's industries covering the timespan between 16/2/2013 to 18/3/2017 showed that there are similarities in terms of the y-intercept of conditional mean and variance equations (1.1) PANEL-GARCH between the volatility of stock returns of 23 industries in the Tehran Stock Exchange as confirmed by LRT test.
Authors and Affiliations
Hossein Panahian, Seyed Reza Ghazi Fini
Keywords
Related Articles
- EP ID EP459957
- DOI 10.22034/AMFA.2018.540828
- Views 73
- Downloads 0
Effect of Conservative Reporting on Investors' Opinion Divergence at the Time of Earnings Announcement
This research aims to investigate the effect of conservative reporting on the investors' opinion divergence at the time of earnings announcement in a 5 year period during 2012-2016; the required data have been collected...
Confidence Interval for Solutions of the Black-Scholes Model
The forecast is very complex in financial markets. The reasons for this are the fluctuation of financial data, Such as Stock index data over time. The determining a model for forecasting fluctuations, can play a signific...
Performance Analysis and Rating of Insurance Companies Using DEA in Iran Capital Market
In this research, we evaluated performance analysis and ranking of insurance companies listed on the capital market of Iran using data envelopment analysis. In respect of the target the research is applied. The type of r...
The Impacts of Financial Structure on Financial Performance of Banks listed in Tehran Stock Exchange: An Empirical Application
Financial structure is a combination of debt and equity and regards as one of the most important issues in banking industry. The purpose of financial structure decision is to create an appropriate combination of financin...
Salience Theory and Pricing Stock of Corporates in Tehran Stock Exchange
How the investors react to the received information plays a crucial role in determining the return of stock exchange market. Supply and demand based upon incorrect decisions lead to the price deviation of inherent values...