Document Type : Research Paper
Authors
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.
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