Commenced in January 2007
Paper Count: 31100
Assessing Relationship between Type of Financial Market and Market Indices in Tehran Stock Exchange
Abstract:The aim of this study was to examine and identify the type of Iranian financial market in terms of being symmetrical or asymmetrical and to measure relationship between type of market and the market's indices. In this study, daily information on the market-s Share Price Index, Industrial Index and Top Fifty Most Active Companies during the years 1999-2010 has been used. In addition, to determine type of the financial market, rate of return on Security is taken into account. In this research, by using logistic regression analysis methods, relationship of the market type with the above mentioned indices have been examined. The results showed that the type of the financial market has a positive significant association with market share price index and Industrial Index. Index of Top Fifty Most Active Companies is significantly associated with type of financial market, however this relationship is inverse.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1083087Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 959
 Downs, T. W. and R. W. Ingram, "Beta, Size, Risk and Return," The Journal of Financial Research, 2000 , pp. 245-260.
 Erb, C. B., C. R. Harvey, and T. E. Viskanta, "Forecasting International Equity Correlations," Financial Analysts Journal, 1994, pp.50, 32-45.
 Estrada, J., " The cost of Equity in Emerging Markets: A Downside risk Approach. Emerging Markets Quarterly," Emerging Markets, 2000.pp.4, 19-30
 Estrada, J., " systematic risk in Emerging Markets: The D-CAPM," Emerging Markets Review 2002 , pp.365-379
 Estrada, J., "The Cost of Equity of Internet Stocks: A Downside Risk Approach," The European Journal of Finance, 2004. pp10, 239-254.
 Fama, E. F. and K. R. French, "The Cross-Section of Expected Stock Returns," Journal of Finance, 1992,pp .427-465.
 Fletcher, J., "On the Conditional Relationship between Beta and Return in International Stock Returns," International Review of Financial Analysis, 2000.pp. 235-245.
 Odier, P. and B. Solnik, "Lessons for International Asset Allocation," Financial Analysts Journal, 1993.pp. 63-77.
 Pettengil, G., S. Sundaram, and I. Mathur, "The Conditional Relation between Beta and Return," Journal of Financial and Quantitative Analysis, 1995 .pp. 101-116.
 Rahnamay Roodposhti, F., Alizadeh, N. and Mokhtari, D. "Type Financial Market (Symmetrical-Asymmetrical) And Its Effects On Price Index And Activity Of Capital Market" The Clute Institute International Academic Conferences, Barcelona Spain. 2011.