Investigating the Factors Affecting the Specific Volatility of Stocks in the Iranian Capital Market Using the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) Model

Subject Areas : International Journal of Finance, Accounting and Economics Studies

Monireh Dizaji ¹ , Asghar Romuozi ² , Asgar Pak Maram ³ , Ali paytakhti Oskouie ⁴

1 - Tabriz Branch, Islamic Azad University
2 - Tabriz branch, Islamic Azad University, Tabriz, Iran
3 - Bonab Branch, Islamic Azad University, Bonab, Iran
4 - Department of Economics, Tabriz Branch, Islamic Azad University, Tabriz, Iran

Received: 2023-06-22 Accepted : 2023-09-04 Published : 2023-10-26

Keywords: stock liquidity, Conditional special volatility, unconditional special volatility,

Abstract :

Introduction: The capital market may face fluctuations in stock prices, which is considered a kind of investment risk. Developing countries, including Iran, have a high degree of instability in stock prices, and these fluctuations, in turn, create an uncertain environment for investors. The fluctuations of the stock market affect not only the national economy but also the regional and global economy. According to this issue, the present research was investigated with the aim of investigating the factors affecting the specific volatility of stocks.Methods: This research was conducted in three stages. In the first step, unconditional special fluctuations were gathered by time series regression. In the second step, conditional-specific volatility was collected by Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model, and in the third step, the impact of factors affecting stock-specific volatility was evaluated by combined data regression. The statistical population of the research is Tehran stock exchange companies, which were selected as a statistical sample by applying 5 restrictions, to 91 stock exchange companies in the period of 2018-2019.Results: The regression results of the combined data showed that the variables of company size (SIZE), Cumulative return (MM), cash flow to price (CF/P), and return on assets (ROA) were equal to 0.059., 0.293, -1.143 and 0.103, respectively which have an effect on the volatility of stocks. Also, the ratio of market value to book value of equity (BM) and liquidity (LIQ) does not affect the specific volatility of stocks.