چکیده:
Efficient financial markets with high degree of transparency do not substantiate
the hypothesis that there are differences in the volatility of return. Generally, there
are factors rejecting any perfect similarity in the volatility of return in the emerging
stock markets, as previous studies in Iran have confirmed the complete difference.
On the other hand, the hybrid model PANEL-GARCH has the benefit of
high process accuracy, suggesting that the evaluation of the similarity in the volatility
of return at the level of market or industry constituent units is better than the
simple technique of time series GARCH model for the entire market (instead of
evaluation at unit levels). Therefore, the present study intends to investigate complete
similarities or differences in the volatility of return in Iran's industries. Results
showed that the assumption of complete difference in the volatility of return
in the industries did not hold. The results of this process for Iran's industries covering
the timespan between 16/2/2013 to 18/3/2017 showed that there are similarities
in terms of the y-intercept of conditional mean and variance equations (1.1)
PANEL-GARCH between the volatility of stock returns of 23 industries in the
Tehran Stock Exchange as confirmed by LRT test.
خلاصه ماشینی:
The purpose of this study was to investigate the differences and similarities in the volatility of the return on equity stocks in Tehran Stock Exchange using the hybrid model PANEL-GARCH.
Using a panel data consisting of indicators of several industry groups as samples and the time series associated with the price of shares in these industry groups in Tehran Stock Exchange, he sought to investigate the similarities and differences in the volatility of the returns of the shares within similar industries.
5 Results and Estimates To evaluate the similarity in the volatility between different industries, the general-to-specific test and PANEL-GARCH modelling were used for return of the stock price index separately for each industry index.
Table 4: PANEL-GARCH model - The dependent variable RIND-Selection between Model B or E (View the image of this page) Table 5: General-to-specific test for identification of similar volatility in different industries (View the image of this page) However, the restriction of fixed slope of conditional variance equation (coefficients of GARCH / ARCH effects) presented in the restricted model C was not accepted according to the LRT test, be- cause the LRT likelihood statistic was less than 0.
However, the fact that the volatility is not completely different among the industries also shows that the reasons, offered by Keshavarz Haddad and Babaei [12] for the data before those of the timespan covered in this research, suggest the adjustment of the causes of inefficiency and market competitiveness Tehran Stock Exchange.