Volume- & Size-Related Lead-Lag Effects in Stock Return & Volatility: An Empirical Investigation of the Tehran Stock Exchange
This research analyze the resource and structure of cross-autocorrelation in returns and volatility of stocks that listed in the Tehran Stock Exchange during the period Farvardin 1382–Eisfand 1386, with employing the GARCH model. At the first, the results show that, in down(bear) market, return on...
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| Format: | Article |
| Language: | fas |
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University of Tehran
2009-06-01
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| Series: | تحقیقات مالی |
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| Online Access: | https://jfr.ut.ac.ir/article_20393_18d08dde8e6766a17c9b3f72930ec8db.pdf |