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Paper Information

Journal:   JOURNAL OF SOCIAL SCIENCES AND HUMANITIES OF SHIRAZ UNIVERSITY   SPRING 2007 , Volume 26 , Number 1 (50); Page(s) 1 To 11.
 
Paper: 

TEST OF LEVERAGE EFFECT IN TEHRAN STOCK EXCHANGE

 
 
Author(s):  ABOU NOURI E., MOTAMENI M.
 
* 
 
Abstract: 

The effect of stock volatility is examined in Tehran Stock Market (TSE) using the leverage effect theory. According to the theory, the return and variance have negative relationship. The effect has been tested using E-GARCH model and daily time series data during 1992-2006. The results do not reject the leverage effect in TSE. Also, the impact of good and bad news on volatility has not been symmetric.

 
Keyword(s): VOLATILITY, LEVERAGE EFFECT, RETURNS, EGARCH, TEHRAN STOCK EXCHANGE
 
References: 
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  Persian Abstract Yearly Visit 88
 
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