کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
982194 1480451 2013 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Risk and return in the Tehran stock exchange
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Risk and return in the Tehran stock exchange
چکیده انگلیسی

This paper analyzes market index returns in the Tehran stock exchange (TSE) within the context of three variants of the Capital Asset Pricing Model: the static international; the constant-parameter intertemporal; and a Markov-switching intertemporal CAPM, which allows for time-varying degree of integration with regional and international equity markets. We find that TSE returns are CAPM-efficient at monthly frequency with respect to several international market indices. Moreover, we find evidence in support of international integration of the TSE with respect to international markets. In addition, we conduct an extensive investigation for the direction of causality between TSE returns, international market index returns, and those in neighboring countries.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 53, Issue 3, August 2013, Pages 238–256
نویسندگان
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