Volatility of the Market Portfolio Return and Volatility of Stock Returns at Different Time Scales
Publish Year: 1397
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_AJAER-8-1_001
تاریخ نمایه سازی: 29 اسفند 1398
Abstract:
This study aims to investigate the relationship between the volatility of the market portfolio return and volatility of stock returns at different time scales in Tehran Stock Exchange Was performed. The method of this study is categorized in correlation investigations. Statistical methods used in this study are descriptive statistics and regression. 58 companies have been selected according to defined sampling conditions. In order to test the research hypotheses of the study, separation of beta companies and annual time scales of the model (DCAPM) was calculated. To investigate the relationship between two variables, descriptive statistics, including mean, variance and standard deviation were calculated. The relationship between the independent and dependent variables were examined using regression method. Results showed a significant relationship between market returns and stock returns in different time periods there. And a short period of time the relationship between portfolio return and the highest rate of return to the show. Scale of the short, medium and long-term relationship between portfolio return and volatility of stock returns is confirmed.
Keywords:
Volatility- the market portfolio- stock returns- Tehran Stock Exchange
Authors
Esmat Boroomand Tombaki
Department of Accounting, Bandar Abbas Branch, Islamic Azad University, Bandar Abbas, Iran
Hadi Akbarian Rounizi
Department of Accounting, Bandar Abbas Branch, Islamic Azad University, Bandar Abbas, Iran
Sana Barkhordari
Department of Accounting, Bandar Abbas Branch, Islamic Azad University, Bandar Abbas, Iran
Rohangiz Behzadi
Department of Accounting, Bandar Abbas Branch, Islamic Azad University, Bandar Abbas, Iran