Analysis of financial behaviour of capital market fluctuations (Case study: Tehran Stock Market

The purpose of this study is to provide a model of return volatility between the stock market and OTC markets and analyze this trend, and in this regard, the stability of the conditional correlation between the two indicators is examined. These two indicators are related to the stock market and OTC market, which are based on criteria such as credit rating, company size, stock floating rate and liquidity, transparency and information, and continuity of profitability. In this paper, while examining the daily and monthly return behavior of two indexes of the Tehran Stock Exchange, the bivariate GARCH model is used to calculate the correlation between the returns of stock indices and the hypothesis of the stability of the conditional correlation between the two-time series. To test the null hypothesis that there is a fixed conditional correlation, we are using the statistical test of the information matrix. The results of this study refute the assumption that the conditional correlation is constant over time. Also, by examining daily returns, Saturday has the highest return and lower risk and is the most appropriate time to trade. After examining the monthly returns, in the two markets, April and August, respectively, have the highest returns, and in general, spring and summer are better times for trading. These results indicate the instability of the capital market during the year and have caused various risks and emotional behavior of shareholders in buying and selling stocks, which in itself creates economic consequences and many problems