The Relation Between one Economic Events with the Concepts of Changing Regime about Returns, Risk and Liquidity in Stock Market
Author(s):
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:
The stock market is one of the most important parts of the capital market. There are defined concepts in this market that are more important than the other ones. Meanwhile, it can be mention to liquidity, risk and return. Given the important three variables has tried to model know as GARCH regime and Markov regime switching, the relationship between these concepts with the concepts of changing the regime by important economic events in country's history such as article 44 of the constitution is examined. According to the results of three- regime GARCH model, the most important Article 44 events in the changes of stock return's volatility process regimes has been identified, due to the behavior of institutional investors in low-volatility regimes in comparison with high-volatility liquidity.
Keywords:
Language:
Persian
Published:
Journal of Investment Knowledge, Volume:6 Issue: 24, 2018
Pages:
151 to 166
https://www.magiran.com/p1785344
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