—This paper uses daily data from the Tehran stock
exchange (TSE) to illustrate the nature of stock market
volatility in an emerging stock market. Most studies suggest
that a negative shock to stock prices will generate more
volatility than a positive shock of equal magnitude. In this paper
we have estimated GJR models with both Gaussian innovations
and fat-tailed distributions, such as the Student’s t and the GED.
Results indicate that leverage effect exists in Tehran Stock
Exchange, because in GJR models with t-student and GED
distributions, the effects of bad news on volatility (α1) is larger
than the effects of good news on volatility (λ). P-Value LR Test
for Leverage Effect in Table 2 indicates that the differences
between the α1 and λ coefficients is not significant for GJR-N
model but it is significant at 5% confidence level for GJR
models with t student and GED distributions.
—Asymmetric Effect of News, Leverage Effect,
Tehran stock exchange, Volatility.
Esmaiel Abounoori, Professor of Econometrics & Social Statistics,
Department of Economics, University of Mazandaran, Babolsar-Iran.
Younes Nademi, Department of Economics, Ayatollah Boroujerdi
University, Boroujerd-Iran.. (firstname.lastname@example.org).
Cite:E. Abounoori and Y. Nademi, "The Asymmetric Effect of News on Tehran Stock Exchange Volatility," International Journal of Trade, Economics and Finance vol.2, no.4, pp. 323-325, 2011.