نویسندگان
1 دانشیار اقتصاد دانشگاه مازندران
2 دانشجوی کارشناسی ارشد علوم اقتصادی دانشگاه مازندران
چکیده
کلیدواژهها
عنوان مقاله [English]
Concerning simultaneous leverage effect and volatility feedback in Tehran Stock Exchange, using daily total market index, we found that the leverage effect has been present in TSE. Regarding the volatility feedback, although unanticipated volatility has negative effect on the stock returns, however, contrary & volatility feed back theory the anticipated volatility has no direct effect on the stock returns.
JEL Classification: C13, C32, G10
کلیدواژهها [English]
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