Author = Motameni, Mani
Number of Articles: 1
Analysis of Volatility Feedback in Tehran Stock Exchange
Volume 7, Issue 27, Winter 2008, Pages 247-261
Esmaiel Abounoori, Mani Motameni
Abstract The volatility feedback has been tested, using the Tehran Stock Exchange (TSE) returns, during 1992-2006. According to the theory, predictable volatility has a positive and significant effect, while the unpredicted volatility will reduce the stock returns. In order to test the hypothesis, the EGARCH-M model is used. The results indicate that there has not been a significant relationship between predictable volatility and returns, while the unpredicted volatility has had significant negative effect.