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Volatility of the Market Portfolio Return and Volatility of Stock Returns at Different Time Scales

Academic Journal of Accounting and Economic Researches

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Title Volatility of the Market Portfolio Return and Volatility of Stock Returns at Different Time Scales
 
Creator BoroomandTombaki, Esmat
AkbarianRounizi, Hadi
Barkhordari, Sana
Behzadi, Roohangiz
 
Description This study aims to investigate the relationship between the volatility of the market portfolio return and volatility of stock returns at different time scales in Tehran Stock Exchange Was performed. The method of this study is categorized in correlation investigations. Statistical methods used in this study are descriptive statistics and regression. 58 companies have been selected according to defined sampling conditions. In order to test the research hypotheses of the study, separation of beta companies and annual time scales of the model (DCAPM) was calculated. To investigate the relationship between two variables, descriptive statistics, including mean, variance and standard deviation were calculated. The relationship between the independent and dependent variables were examined using regression method. Results showed a significant relationship between market returns and stock returns in different time periods there. And a short period of time the relationship between portfolio return and the highest rate of return to the show. Scale of the short, medium and long-term relationship between portfolio return and volatility of stock returns is confirmed.
 
Publisher Academic Journal of Accounting and Economic Researches ISSN 2333-0783
 
Contributor —
 
Date 2019-10-17
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://worldofresearches.com/ojs-2.4.4-1/index.php/ajaer/article/view/759
 
Source Academic Journal of Accounting and Economic Researches ISSN 2333-0783; Vol 8, No 1 (2019): January 2019
2333-0783
2375-7493
 
Language eng
 
Relation http://worldofresearches.com/ojs-2.4.4-1/index.php/ajaer/article/view/759/687
 
Rights Copyright (c) 2018 Academic Journal of Accounting and Economic Researches ISSN 2333-0783
http://creativecommons.org/licenses/by-nc/4.0