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首页> 外文期刊>American journal of applied sciences >Are There Smaller Leverage Effects in Less-Developed Markets? Evidence from an Oil Exporting Country | Science Publications
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Are There Smaller Leverage Effects in Less-Developed Markets? Evidence from an Oil Exporting Country | Science Publications

机译：欠发达市场的杠杆效应是否较小？来自石油出口国的证据|科学出版物

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> Problem statement: This study uses daily data from the Tehran Stock Market (TSM) to illustrate the nature of stock market volatility in an undeveloped and young stock market. Although most studies suggest that a negative shock to stock prices will generate more volatility than a positive shock of equal magnitude but there is no evidence of asymmetric effect in TSM. Determine the nature of stock market volatility in an oil exporting country. Approach: Trading in Tehran Stock Market (TSM) is based on orders sent by the brokers. The data consist of 2375 daily observations of the closing value of the Tehran stock market from 3/30/1998 to 5/04/2007. Our empirical finding shows that the unconditional variance is 0.18 but visual inspections of the time series suggests that volatility of the stock return rate displays the clustering phenomenon associated with GARCH processes. Results: The estimation and test results for all models suggest that the leverage effect term, γ, is not significant at 5% level. Although, in Asym. CARCH model based on normal distribution for errors, the estimated coefficient on the asymmetry term is -0.066 with a z-statistics of -1.749 recognized as significant at 10% level, but it has the wrong sign. It seems that good news and bad news has the same effect on stock prices in TSM, a result that is contradictory to other studies for developed countries. Conclusion: The estimated models containing TARCH, EGARCH, asymmetric CARCH and PARCH with different assumptions on error distributions suggest no strong and significant asymmetric effect. There are some reasons for this finding: (1) In Iran with Islamic laws, debt contracts are illegal or at least not enforced and Iranian firms do not have any financial leverage. As a result, we would expect to find smaller leverage effects in volatility in Iran than in the United States, for example. In deed the institutional differences with western financial markets manifest themselves in different return characteristics. (2) Stock prices in the TSM by regulation and intervention cannot exceed from some range. The strong serial correlation in returns necessitating long lags in the mean equations is possibly due to such regulations. (3) The history of TSM is very short compared to other stock markets and the information flow in this market is very slow. The estimated coefficients on the expected risk (as a measure of the risk-return tradeoff) are not significant. These findings suggest that the TSM is not efficient.
机译： > 问题陈述：该研究使用德黑兰股票市场（TSM）的每日数据来说明在不发达和年轻的股票市场中股票市场波动的本质。尽管大多数研究表明，与同等幅度的正向冲击相比，对股票价格的负向冲击会产生更大的波动性，但没有证据表明TSM具有不对称效应。确定石油输出国股市波动的性质。 方法：德黑兰股票市场（TSM）的交易基于经纪人发送的订单。该数据包括1998年3月30日至2007年5月5日对德黑兰股票市场收盘价的2375次每日观察。我们的经验发现表明，无条件方差为0.18，但是对时间序列的直观检查表明，股票收益率的波动性显示了与GARCH过程相关的聚类现象。 结果：所有模型的估计和测试结果表明，杠杆效应项γ在5％的水平上并不显着。虽然，在阿西姆。基于误差的正态分布的CARCH模型，不对称项的估计系数为-0.066，z统计量为-1.749，在10％的水平上被认为是显着的，但符号错误。似乎好消息和坏消息对TSM中的股票价格具有相同的影响，这一结果与发达国家的其他研究相矛盾。 结论：包含TARCH，EGARCH，不对称CARCH和PARCH的估计模型对错误分布有不同的假设，表明没有强烈而显着的不对称影响。此发现有一些原因：（1）在伊斯兰教法律规定的伊朗，债务合同是非法的或至少没有执行，并且伊朗公司没有任何财务杠杆。结果，例如，我们预计伊朗的动荡影响将比美国小。实际上，与西方金融市场的制度差异表现为不同的回报特征。 （2）通过监管和干预，TSM中的股票价格不能超出某个范围。收益率中的强序列相关性导致均值方程中需要较长的滞后，这可能归因于此类规定。 （3）与其他股票市场相比，TSM的历史非常短，并且该市场中的信息流非常缓慢。预期风险的估计系数（作为风险-收益权衡的一种度量）并不重要。这些发现表明，TSM效率不高。

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