| تعداد نشریات | 24 |
| تعداد شمارهها | 886 |
| تعداد مقالات | 7,887 |
| تعداد مشاهده مقاله | 14,881,970 |
| تعداد دریافت فایل اصل مقاله | 12,653,384 |
Investigating the Asymmetry in Volatility for the Iranian Stock Market | ||
| Iranian Journal of Economic Studies | ||
| مقاله 5، دوره 2، شماره 2، اسفند 2013، صفحه 95-118 اصل مقاله (184.69 K) | ||
| شناسه دیجیتال (DOI): 10.22099/ijes.2013.2721 | ||
| نویسندگان | ||
| Saeed Samadi؛ Amin Haghnejad* | ||
| چکیده | ||
| This paper investigates the asymmetry in volatility of returns for the Iranian stock market using the daily closing values of the Tehran exchange price index (TEPIX) covering the period from March 25, 2001 to July 25, 2012, with a total of 2743 observations. To this end, two sets of tests have been employed: the first set is based on the residuals derived from a symmetric GARCH (1,1) model. The second set is based on the asymmetric GARCH models, including EGARCH (1,1), GJR-GARCH(1,1), and APARCH(1,1) models. To capture the stylized fact that the returns series are fat-tailed distributed, in addition to classic Gaussian assumption, the innovations are also assumed to have t-student distribution and GED (Generalized Error Distribution). The results indicate that there is no evidence of the leverage effects in the Iranian stock market, meaning that negative and positive shocks of the same magnitude have the same impacts on the future volatility level. This result is in contrast with the results of most empirical studies, where an asymmetry in volatility of stock returns has been found. This seems to be the result of the governmental or quasi-governmental nature of many companies listed on the Tehran Stock Exchange. | ||
| کلیدواژهها | ||
| Volatility؛ Leverage Effects؛ GARCH Models؛ Iranian Stock Market؛ TEPIX | ||
| مراجع | ||
|
Abdalla, S.Z. S., & Winker, P. (2012). Modelling stock market volatility using univariate GARCH models: Evidence from Sudan and Egypt. International Journal of Economics and Finance, 4(8), 161-176. Alagidede, P., & Panagiotidis, T. (20009). Modelling stock returns in Africa's emerging equity markets. International Review of Financial Analysis, 18(1-2), 1-11. Andersen, T. G., Bollerslev, T., Diebold F. X., & Ebens, H. (2000). The distribution of stock return volatility. National Bureau of Economic Research, NBER Working papers, No: 7933. Aїt-Sahalia, Y., Fan, J., & Li, Y. (2013). The leverage effect puzzle: Disentangling sources of bias at high frequency. Journal of Financial Economics, 109(1), 224-249. Bahadur, S. (2008). Volatility analysis of Nepalese stock market. The Journal of Nepalese Business Studies, 4(1), 76-84. Baillie, R. T., & Bollerslev, T. (1989). The message in daily exchange rates: A conditional-variance tale. Journal of Business & Economic Statistics, 7(3), 297-305. Bakshi, G. S., Cao, C., & Chen, Z. (1997). Empirical performance of alternative option pricing models. Journal of Finance, 52(5), 2003– 2049. Bates, D. S. (2000). Post-'87 crash fears in the S&P 500 futures option market. Journal of Econometrics, 94(1-2): 181-238. Beine, M., Benassy-Quere, A., & Lecourt, C. (2002). Central bank intervention and foreign exchange rates: New evidence from FIGARCH Estimations. Journal of International Money and Finance, 21(1), 115-144. Bekaert, G., & Harvey, C. R. (1997). Emerging equity market volatility. Journal of Financial Economics, 43(1), 29–77.Bekaert, G., & Wu, G. (2000). Asymmetric volatility and risk in equity markets. Review of Financial Studies 13(1), 1– 42. Black, F. (1976). Studies of stock market volatility changes Proceedings of the American Statistical Association, Business and Economic Statistics Section, 177-181. Blasco, N., Corredor, P., & Santamaria, R. (2002). Is bad news cause of asymmetric volatility response? A note Applied Economics, 34(10), 1227-1231. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity Journal of Econometrics, 31(3), 307-327. Bollerslev, T. (1987). A conditionally heteroskedastic time series model for speculative prices and rates of return. The Review of Economics and Statistics, 69(3), 542-547. Bollerslev, T., Kretschmer, U., Pigorsch, C., & Tauchen, G. (2009). A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects. Journal of Econometrics, 150(2), 151-166. Bollerslev, T., Litvinova, J., & Tauchen, G. (2006). Leverage and volatility feedback effects in high-frequency data. Journal of Financial Econometrics, 4(3), 353–384. Brooks, C. (2008). Introductory econometrics for finance (2nd ed.). Cambridge: Cambridge University Press. Brooks, R. (2007). Power arch modelling of the volatility of emerging equity markets. Emerging Markets Review, 8(2), 124-133.Campbell, J. Y., & Hentschel, L. (1992). No news is good news: An asymmetric model of changing volatility in stock returns. Journal of Financial Economics, 31(3), 281-318. Chan, K. C., Anderew, K. G., & Stulz, R. M. (1992). Global financial markets and the risk premium on U.S. equity. Journal of Financial Economics, 32(2), 137-167. Charles, A. (2010). The day-of-the-week effects on the volatility: The role of the asymmetry. European Journal of Operational Research, 202(1), 143-152. Charlse, A. (2010). The day-of-the-week effects on the volatility: The role of asymmetry. European Journal of Operational Research, 202(1), 143-142. Cheng, A. R., Jahn-Paver, M. R., & Rothman, P. (2010). An empirical investigation of stock market behaviour in the Middle East and North Africa Journal of Empirical Research, 17(3), 413-427. Chiang, T. C., & Doong, S. C. (2001). Empirical analysis of stock returns and volatility: Evidence from seven Asian stock markets based on TAR-GARCH model. Review of Quantitative Finance and Accounting 17(3), 301-318. Christie, A. A. (1982). The stochastic behavior of common stock variances: Value, leverage, and interest rate effects. Journal of Financial Economic Theory, 10(4), 407-432. Curto, J. D., Tomaz, J. A., & Pinto, J. C. (2009). A new approach to bad news effects on volatility: The multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH). Portuguese Economic Journal, 8(1), 23-36. Daouck, H., & Ng, D. (2011). Is unlevered firm volatility asymmetric? Journal of Empirical Finance, 18(4), 634-651. David, A. H. (1989). Testing for nonlinear dependence in daily foreign exchange rates. The Journal of Business, 62(3), 339-368. Ding, Z., Granger, C.W.J., and Engle, R. F. (1993), A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1(1), 83-106. Enders, W. (2004). Applied econometric time series (2nd ed.). Hoboken, NJ: John Wiley & Sons LTD. Engle, R. F. (1983). Estimates of the variance of U. S. inflation based upon the ARCH model. Journal of Money, Credit and Banking, 15(3), 286-301. Engle, R. F., & Lee, G. J. (1999). A permanent and transitory component model of stock return volatility, In: Engle R. F., & White, H (eds.), Cointegration, causality, and forecasting: A festschrift in honor of Clive W. J. Granger, 475-497, Oxford: Oxford University Press. Engle, R. F. (1982), Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007. Engle, R. F., & Ng, V. K. (1993). Measuring and testing the impact of news on volatility. The Journal of Finance, 48(5), 1749-1778. Engle, R. F., & Patton, A. J. (2001). What good is a volatility model? Quantitative Finance, 1(2), 237-245. Figlewski, S., & Wang, X. (2000). Is the ‘‘leverage effect’’ a leverage effect? Unpublished working paper, New York University, Fudan University. French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of Financial Economics, 19(1), 3 – 30. Glosten, L. R., Jagannathan, R., & Runkle, D. (1993). On the relation between the expected value and the volatility of the nominal excess returns on stocks. The Journal of Finance, 48(5), 1779-1801. Goudarzi, H., & Ramanarayanan, C. S. (2011). Modeling asymmetric volatility in the Indian stock market. International Journal of Business and Management, 6(3), 221-231. Harrison, P. & Zhang, H. H. (1999). An investigation of the risk and return relation at long horizons The Review of Economics and Statistics, 81(3), 399–408.Henry, O. (1998). Modelling the asymmetry of stock market volatility. Applied Financial Economics, 8(2), 145-153. Hibbert, A. M., Daigler, R. T., & Dupoyet, B. (2008). A behavioral explanation for the negative asymmetric return-volatility relation. Journal of Banking & Finance, 32(10), 2254-2266. Hung, S. (2009). Threshold and leverage effects of major Asian stock markets based on stochastic volatility models. International Research Journal of Finance and Economics, 27(1), 106-116. Jayasuriya, S., Shambora, W., & Rossemary, R. (2009). Asymmetric volatility in emerging and mature markets. Journal of Emerging Market Finance, 8(1), 25-43. Jegajeevan, S. (2010). Return volatility and asymmetric news effect in Sri Lankan stock market. Staff Studies, 40(1), 37 -57. Karmakar, M. (2007). Asymmetric volatility and risk-return relationship in the Indian stock market South Asia Economic Journal, 8(1), 99-116. Koutmos, G. F. (1999). Asymmetric price and volatility adjustments in emerging Asian stock market. Journal of Business Finance & Accounting, 26(1-2), 83-101 Koutmos, G., & R. Saidi R. (1995). The leverage effect in individual stocks and the debt to equity ratio. Journal of Business Finance and Accounting, 22(7), 1063-1073. Li, L., & Mizrach, B. (2010). Tail return analysis of Bear Stearns' credit default swaps. Economic Modelling, 27, 1529-1536. Li, Q., Yang, J., Hsiao, C., & Chang, Y. J. (2005). The relationship between stock returns and volatility in international stock markets. Journal of Empirical Finance 12(5), 650-665. Mittal, A. K., and Goyal, N. (2012). Modeling the volatility of Indian stock market. International Journal of Research in IT and Management, 2(1), 1-23. Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347-370. Pagan, A. R., & Schwert, G. W. (1990). Alternative models for conditional stock volatility. Journal of Econometrics, 45(1-2), 267-290. Pindyck, R. S., (1984). Risk, inflation, and the stock market. American Economic Review, 74(3), 334– 351. Poon, S. (2005). A practical guide to forecasting financial market volatility (1st ed.). New Jersey: John Wiley Sons INC. Poterba, J. M., Summers, L. H. (1986). The persistence of volatility and stock market fluctuations. American Economic Review, 76(5), 1142–1151. Rousan, R., & Al-Khouri, R. (2005). Modeling market volatility in emerging markets: The case of daily data in Amman stock exchange 1992-2004. International Journal of Applied Econometrics and Quantitative Studies, 2(4), 99-118. Ruey, S. T. (2005). Analysis of Financial Time Series (2ed.). New Jersey: John Wiley and Sons Inc. Schwert, G. W. (1990). Stock volatility and the crash of '87. Review of Financial Studies, 3(1), 77-102. Sentana, E. (1992). Quadratic ARCH models: A potential re-interpretation of ARCH models, London School of Economics, Financial Markets Group. Discussion Paper. Tan, S. H., & Islam Khan, M. T. (2010). Long memory features in return and volatility of the Malaysian stock market. Economics Bulletin, 30(4), 3267-3281. Tsay, R. S. (2005). Analysis of financial time series (2nd ed.). New Jersey: John Wiley Sons INC. Zakoian, J. M. (1994). Threshold heteroskedastic models Journal of Economic Dynamics and Control, 18(5), 931-955. | ||
|
آمار تعداد مشاهده مقاله: 3,110 تعداد دریافت فایل اصل مقاله: 2,066 |
||