• ISSN: 2010-023X (Print)
    • Abbreviated Title: Int. J. Trade, Economics and Financ.
    • Frequency: Bimonthly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Executive Editor: Ms. Cherry L. Chen
    • Abstracting/ Indexing:  ProQuest, Crossref, Electronic Journals Library , EBSCO, and Ulrich's Periodicals Directory
    • E-mail: ijtef@ejournal.net
IJTEF 2011 Vol.2(4): 323-325 ISSN: 2010-023X
DOI: 10.7763/IJTEF.2011.V2.125

The Asymmetric Effect of News on Tehran Stock Exchange Volatility

E. Abounoori and Y. Nademi
Abstract—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.

Index Terms—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. (e.abounoori@umz.ac.ir).
Younes Nademi, Department of Economics, Ayatollah Boroujerdi University, Boroujerd-Iran.. (younesnademi@ut.ac.ir).


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.

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