Return Volatility and Asymmetric News of Computer Industry stocks in Tehran Stock Exchange (TEX)

Bahmani, Mohammad and Sheikh Ahmadi, Sayed Amir and Sanginabadi, Bahram (2013): Return Volatility and Asymmetric News of Computer Industry stocks in Tehran Stock Exchange (TEX). Published in: Journal of Scientific Research & Reports , Vol. 3, No. 10 (5 April 2014): pp. 1361-1374.

Abstract

According to leverage and volatility feedback effects there are relationships between the return and the risk of stocks in the stock markets. Using daily and weekly data of Computer industry index in Tehran stock Exchange (TEX), this study investigates both leverage and volatility feedback effects applying GARCH family models and Full Information Maximum Likelihood (FIML) estimation method, during 01/2007- 10/2013 period. According to GARCH-M model estimations the first hypothesis of the research (Return volatility of computer industry in TEX affects the return significantly) cannot be rejected for daily data during 02/2010 to 10/2013 (the 2nd period) which both return and return volatility were much more volatile rather than 01/2007 - 02/2010 (the 1st period), but this hypothesis can be rejected for daily data in the 1st period and weekly data in both periods. According to EGARCH and TGARCH estimations the second main hypothesis of the research (a negative return makes return volatility of computer industry in TEX more volatile) cannot be rejected for both daily and weekly data in the 1st period, but can be rejected for both data during the 2nd period.

• Item Type: MPRA Paper
• Language: English
• Keywords: Tehran Stock Exchange; Return Volatility; Asymmetric News
• Subjects: E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook > E60 - General; G - Financial Economics > G0 - General; G - Financial Economics > G0 - General > G00 - General; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill

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