Comparative study of the instability and dynamics of systematic risk for Tehran Stock Exchange and a selected group of emerging stock markets
This study investigates the stability of systematic risk of Tehran stock Exchange and a selected group of emerging stock markets including of Latin America, Asian South eastern and Istanbul Stock Exchange. The study uses time series specification of CAPM model (Black et al, 1972) and employs Bai and...
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2013-09-01
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| Series: | فصلنامه پژوهش‌های اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_137_c55024181f2b52c1f031a9b3e74888ee.pdf |
| _version_ | 1797369401823985664 |
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| author | Esmaeel Ramazanpoor Mohammad Hassan Gholizadeh Abbas Kalantary |
| author_facet | Esmaeel Ramazanpoor Mohammad Hassan Gholizadeh Abbas Kalantary |
| author_sort | Esmaeel Ramazanpoor |
| collection | DOAJ |
| description | This study investigates the stability of systematic risk of Tehran stock Exchange and a selected group of emerging stock markets including of Latin America, Asian South eastern and Istanbul Stock Exchange. The study uses time series specification of CAPM model (Black et al, 1972) and employs Bai and Perron (2003) structural break point test. The results show that based on Bai and Perron test, there are evidences of structural break in time series CAPM model and hence the instability in systematic risk for Brazil, Chile, Thailand, China, Malaysia and Tehran stock markets. The dynamic estimation results of systematic risk of these stock markets based on MGARCH - BEKK model indicate that, Tehran Stock Exchange has lowest level of systematic risk among other stock markets. The results show that there is significant fluctuation in dynamic trend of systematic risk of these stock markets in particular around structural break point dates. Based on the results, the BEKK model has more accurate performance than linear time series CAPM model for systematic risk forecasting proposes. These results provide useful policy guideline for investors in international risk management. |
| first_indexed | 2024-03-08T17:46:13Z |
| format | Article |
| id | doaj.art-a6e4f6660aa040ad8ea1da8cd2c38847 |
| institution | Directory Open Access Journal |
| issn | 1726-0728 2476-6445 |
| language | fas |
| last_indexed | 2024-03-08T17:46:13Z |
| publishDate | 2013-09-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | فصلنامه پژوهش‌های اقتصادی ایران |
| spelling | doaj.art-a6e4f6660aa040ad8ea1da8cd2c388472024-01-02T10:29:06ZfasAllameh Tabataba'i University Pressفصلنامه پژوهش‌های اقتصادی ایران1726-07282476-64452013-09-011856157186137Comparative study of the instability and dynamics of systematic risk for Tehran Stock Exchange and a selected group of emerging stock marketsEsmaeel Ramazanpoor0Mohammad Hassan Gholizadeh1Abbas Kalantary2استادیارگروه مدیریت دانشگاه گیلاناستادیارگروه مدیریت دانشگاه گیلاندانشجوی کارشناسی ارشد مدیریت مالی گرایش MBA دانشگاه گیلانThis study investigates the stability of systematic risk of Tehran stock Exchange and a selected group of emerging stock markets including of Latin America, Asian South eastern and Istanbul Stock Exchange. The study uses time series specification of CAPM model (Black et al, 1972) and employs Bai and Perron (2003) structural break point test. The results show that based on Bai and Perron test, there are evidences of structural break in time series CAPM model and hence the instability in systematic risk for Brazil, Chile, Thailand, China, Malaysia and Tehran stock markets. The dynamic estimation results of systematic risk of these stock markets based on MGARCH - BEKK model indicate that, Tehran Stock Exchange has lowest level of systematic risk among other stock markets. The results show that there is significant fluctuation in dynamic trend of systematic risk of these stock markets in particular around structural break point dates. Based on the results, the BEKK model has more accurate performance than linear time series CAPM model for systematic risk forecasting proposes. These results provide useful policy guideline for investors in international risk management.https://ijer.atu.ac.ir/article_137_c55024181f2b52c1f031a9b3e74888ee.pdfcapm modelstability of systematic riskemerging stock marketsbekk-mgarch modeldynamic estimation of systematic risk |
| spellingShingle | Esmaeel Ramazanpoor Mohammad Hassan Gholizadeh Abbas Kalantary Comparative study of the instability and dynamics of systematic risk for Tehran Stock Exchange and a selected group of emerging stock markets فصلنامه پژوهش‌های اقتصادی ایران capm model stability of systematic risk emerging stock markets bekk-mgarch model dynamic estimation of systematic risk |
| title | Comparative study of the instability and dynamics of systematic risk for Tehran Stock Exchange and a selected group of emerging stock markets |
| title_full | Comparative study of the instability and dynamics of systematic risk for Tehran Stock Exchange and a selected group of emerging stock markets |
| title_fullStr | Comparative study of the instability and dynamics of systematic risk for Tehran Stock Exchange and a selected group of emerging stock markets |
| title_full_unstemmed | Comparative study of the instability and dynamics of systematic risk for Tehran Stock Exchange and a selected group of emerging stock markets |
| title_short | Comparative study of the instability and dynamics of systematic risk for Tehran Stock Exchange and a selected group of emerging stock markets |
| title_sort | comparative study of the instability and dynamics of systematic risk for tehran stock exchange and a selected group of emerging stock markets |
| topic | capm model stability of systematic risk emerging stock markets bekk-mgarch model dynamic estimation of systematic risk |
| url | https://ijer.atu.ac.ir/article_137_c55024181f2b52c1f031a9b3e74888ee.pdf |
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