Investigating the Asymmetry in Volatility for the Iranian Stock Market

Authors

Abstract

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.

Keywords


Article Title [Persian]

بررسی عدم تقارن در نوسانات برای بازار سهام ایران

Authors [Persian]

  • سعید صمدی
  • امین حق نژاد
Abstract [Persian]

مقاله حاضر با استفاده از مقادیر روزانه شاخص قیمت بورس اوراق بهادار تهران (TEPIX) مشتمل بر 2743 مشاهده که دوره زمانی 25 مارس 2011 تا 25 جولای 2012 را پوشش می دهند، عدم تقارن در تلاطم بازدهی بازار سهام ایران را بررسی می کند. برای این منظور، دو دسته آزمون به کار گرفته شده است: دسته اول مبتنی بر پسماندهای به دست آمده از یک مدل GARCH(1,1) متقارن است. دسته دوم نیز مبتنی بر مدل­های GARCH نامتقارن مشتمل بر EGARCH(1,1)، GJR-GARCH(1,1) و APARCH(1,1) است. برای لحاظ کردن این حقیقت آشکار شده که سری­های بازدهی دارای توزیع دم کلفت هستند، علاوه بر فرض گوسی بودن کلاسیک، همچنین فرض شده است که اجزاء اخلال دارای توزیع تی-استیودنت (t-student) و توزیع خطای تعمیم­یافته (GED) هستند. نتایج نشان می دهند که هیج­گونه شواهدی دال بر وجود اثرات اهرمی در بازار سهام ایران وجود ندارد؛ بدین معنا که شوک­های منفی و مثبت با مقادیر یکسان اثرات یکسانی بر سطح تلاطم آتی دارند. این نتیجه با نتایج اکثر مطالعات تجربی که در آنها عدم تقارن در تلاطم بازدهی سهام تشخیص داده شده است، مغایرت دارد. به نظر می رسد این یافته ناشی از ماهیت دولتی و شبه دولتی تعداد زیادی از شرکت­های پذیرفته شده در بورس اوراق بهادار تهران و نیز محدودیت­های زیرساختی باشد.

Keywords [Persian]

  • تلاطم
  • اثرات اهرمی
  • مدل‌های GARCH
  • بازار سهام ایران
  • TEPIX
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