Assessing Relationship between Type of Financial Market and Market Indices in Tehran Stock Exchange
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.
[1] Downs, T. W. and R. W. Ingram, "Beta, Size, Risk and Return," The
Journal of Financial Research, 2000 , pp. 245-260.
[2] Erb, C. B., C. R. Harvey, and T. E. Viskanta, "Forecasting International
Equity Correlations," Financial Analysts Journal, 1994, pp.50, 32-45.
[3] Estrada, J., " The cost of Equity in Emerging Markets: A Downside risk
Approach. Emerging Markets Quarterly," Emerging Markets, 2000.pp.4,
19-30
[4] Estrada, J., " systematic risk in Emerging Markets: The D-CAPM,"
Emerging Markets Review 2002 , pp.365-379
[5] Estrada, J., "The Cost of Equity of Internet Stocks: A Downside Risk
Approach," The European Journal of Finance, 2004. pp10, 239-254.
[6] Fama, E. F. and K. R. French, "The Cross-Section of Expected Stock
Returns," Journal of Finance, 1992,pp .427-465.
[7] Fletcher, J., "On the Conditional Relationship between Beta and Return
in International Stock Returns," International Review of Financial
Analysis, 2000.pp. 235-245.
[8] Odier, P. and B. Solnik, "Lessons for International Asset Allocation,"
Financial Analysts Journal, 1993.pp. 63-77.
[9] Pettengil, G., S. Sundaram, and I. Mathur, "The Conditional Relation
between Beta and Return," Journal of Financial and Quantitative
Analysis, 1995 .pp. 101-116.
[10] 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.
[1] Downs, T. W. and R. W. Ingram, "Beta, Size, Risk and Return," The
Journal of Financial Research, 2000 , pp. 245-260.
[2] Erb, C. B., C. R. Harvey, and T. E. Viskanta, "Forecasting International
Equity Correlations," Financial Analysts Journal, 1994, pp.50, 32-45.
[3] Estrada, J., " The cost of Equity in Emerging Markets: A Downside risk
Approach. Emerging Markets Quarterly," Emerging Markets, 2000.pp.4,
19-30
[4] Estrada, J., " systematic risk in Emerging Markets: The D-CAPM,"
Emerging Markets Review 2002 , pp.365-379
[5] Estrada, J., "The Cost of Equity of Internet Stocks: A Downside Risk
Approach," The European Journal of Finance, 2004. pp10, 239-254.
[6] Fama, E. F. and K. R. French, "The Cross-Section of Expected Stock
Returns," Journal of Finance, 1992,pp .427-465.
[7] Fletcher, J., "On the Conditional Relationship between Beta and Return
in International Stock Returns," International Review of Financial
Analysis, 2000.pp. 235-245.
[8] Odier, P. and B. Solnik, "Lessons for International Asset Allocation,"
Financial Analysts Journal, 1993.pp. 63-77.
[9] Pettengil, G., S. Sundaram, and I. Mathur, "The Conditional Relation
between Beta and Return," Journal of Financial and Quantitative
Analysis, 1995 .pp. 101-116.
[10] 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.
@article{"International Journal of Business, Human and Social Sciences:63496", author = "Zahra Amirhosseini and Alireza Bashiri", title = "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.", keywords = "All Share Price Index, Asymmetrical Market,
Industrial Index, Symmetrical Market, Top Fifty Most Active
Companies Index", volume = "5", number = "11", pages = "1726-4", }