Asymmetric Effects in Emerging Stock Markets - The Case of Iran Stock Market

Oskooe, Seyyed Ali Paytakhti; Shamsavari, Ali

doi:10.5539/ijef.v3n6p16

Cited by 14 publications

(11 citation statements)

References 21 publications

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“…This reveals the presence of leverage effect in the Nigerian stock market whereby stock returns volatility increases with bad news but the volatility reduces with good or positive news. This is in tandem with Ederington& Lee (1993,1996) [38], Andersen and Bollerslev (1996) [32], Almeida, et al (1997) [39] and Chen et al (1999) who posit that the release of public information is an important driver of market volatility. [3]…”

Section: Resultsmentioning

confidence: 57%

“…Andersen, Bollerslev, Diebold and Ebens, (2001) note that little is known about the distribution of correlation of returns on individual stocks. [32] According to them, if leverage effect is the cause of the volatility asymmetry in individual stock, then a change in financial leverage may also affect the covariance between different stocks, which in turn is likely to impact the correlations. Hence, it was noted that the different multivariate ARCH models estimated in Kroner & Ng (1998) result in significant asymmetric effect in the conditional covariance matrices for weekly returns on well diversified large and small portfolios of stock.…”

Section: Literature Reviewmentioning

confidence: 99%

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A Test of Asymmetric Volatilityin the Nigerian Stock Exchange

Niyi¹

2016

IJEFM

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This study seeks to test for the presence of asymmetric effect in the Nigerian Stock Exchange. In order to achieve the objective of the study, the researcher obtains the average market return, the equilibrium market returns generated by the risk factors of the APT, and then subjects them to asymmetric tests using the TAR-GARCH technique. Findings from the study reveal that equilibrium market return generated by pre-specified APT does not significantly respond to information asymmetry. This implies that is volatility does not really change with information. However, the equilibrium market return generated by statistical APT exhibits the presence of information asymmetry whereby the volatility of stock returns significantly responds to information. This reveals the presence of leverage effect in the Nigerian stock market whereby stock returns volatility increases with bad news but the volatility reduces with good or positive news. The researcher recommends that government agents in respect of this market should provide more adequate means of information diffusion into the market at zero cost to all participants.

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Section: Resultsmentioning

confidence: 57%

Section: Literature Reviewmentioning

confidence: 99%

A Test of Asymmetric Volatilityin the Nigerian Stock Exchange

Niyi¹

2016

IJEFM

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“…When the sum is significantly less than one, volatility shock will not last for a long time but when it is significantly close to one, volatility shocks can last for some time. When the sum is one, volatility shock will last for the indefinite future (Oskooe & Shamsavari, 2011). Given absence of normal distribution in Section 3.2, the shape parameter ( c ) was modelled using the GED.…”

Section: Data Descriptive Statistics and Methodologymentioning

confidence: 99%

“…However, empirical evidence from some frontier markets 1 has shown that asymmetric responses of volatility to news are diverse. While some studies document evidence of good news propelling volatility more than bad news, few other studies have shown absence of volatility asymmetry (see, for example, Ogum et al, 2005; Saleem, 2007; Oskooe & Shamsavari, 2011; Khan et al, 2016).…”

Section: Introductionmentioning

confidence: 99%

How Does News Affect Stock Return Volatility in a Frontier Market?

Emenike

Enock

2020

Management and Labour Studies

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Many empirical studies have analysed the effect of good news and bad news on equity market return volatility using both developed and emerging markets data, with scant literature for frontier stock markets. This study evaluates how news affects stock market return volatility in a frontier market using Uganda data. It specifically analyses the reaction of stock return volatility to news filtering into a frontier market using the exponential generalized autoregressive conditional heteroscedasticity (GARCH) model on daily data ranging from 1 September 2011 to 31 December 2017. Estimates of the shape parameter from generalized error distribution indicate the existence of leptokurtic return distribution. Results from the exponential GARCH model show that the effect of bad news and good news on the frontier market return volatility differs, thus suggesting existence of leverage effect in the period studied. Overall results from the study suggest that positive news impacts stock market returns volatility more than negative news of the same magnitude. An important implication of our results is that investors, analysts, brokers and dealers should be conscious of the nature of news filtering into the stock market as such information might improve their expected volatility forecast.

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“…ARCH family models have been applied to encapsulate different characteristics of stock markets' conditional returns and variances. Using non-linear GARCH models, Iranian capital market assessed to have the same impact of good and bad news of equal size and the absence of asymmetric volatility [26]. By employing ARCH and GARCH models, Midhra found time-varying volatility of Indian stock market to be more sensitive to bad news from 1991 to 2009.…”

Section: Introductionmentioning

confidence: 99%

Financial Forecasting by Autoregressive Conditional Heteroscedasticity (ARCH) Family: A Case of Mexico

Khan¹

2018

JPPA

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Understanding and modeling the volatility measurements is important for forecasting the risk and for evaluating asset allocation decisions of stock market. The study have used the daily frequency data from January 1, 2002 to September 30, 2016 as an in-sample period to perform empirical analyses for modeling and predicting the volatility dynamics of Mexican stock market (IPC). To facilitate the variance forecast, the competing models are ARCH (p, q), GARCH (p, q), and its variations i.e. Glosten Jagnnathon Runkle GARCH, GARCH in Mean, Exponential GARCH, and Quadratic GARCH. The results of residual diagnostics suggested that stock market of Mexico is characterized by heteroskedasticity, multicolinearity, non-normality, and serial correlation. Volatility measurements by ARCH and GARCH signify that the current conditional variance of Mexico is determined by its past price behavior and previous day volatility. Today's volatility does impact the current stock returns as indicated by GARCH-M. Results of EGARCH explained that any large size news produces high volatility as compared to small size news. Effects of bad news are greater on the volatility of the Mexican stock market than good news. GJR GARCH described the asymmetric behavior of returns and variance in the politically conflicted regime during 2006-2012. Moreover, QGARCH effect is not linear. Findings have the implications for individuals and corporate investors about retaining their risky stocks.

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Asymmetric Effects in Emerging Stock Markets - The Case of Iran Stock Market

Cited by 14 publications

References 21 publications

A Test of Asymmetric Volatilityin the Nigerian Stock Exchange

A Test of Asymmetric Volatilityin the Nigerian Stock Exchange

How Does News Affect Stock Return Volatility in a Frontier Market?

Financial Forecasting by Autoregressive Conditional Heteroscedasticity (ARCH) Family: A Case of Mexico

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