Investigating the asymmetric effects of high-frequency transactions on the returns of companies listed on the Tehran Stock Exchange (using the MS-EGARCH model)

Subject Areas : Financial Economics

Alireza Zafarpour ¹ , Ahmed Sarlak ² , Gholam Ali Haji ³

1 - Department of Economics, Arak Branch, Islamic Azad University, Arak, Iran
2 - Department of Economics, Arak Branch, Islamic Azad University, Arak, Iran
3 - Department of Economics, Arak Branch, Islamic Azad University, Arak, Iran

Received: 2023-10-09 Accepted : 2023-12-10 Published : 2023-12-22

Keywords: G12, high frequency transactions, Keywords: Asymmetric effects, , MS-EGARCH JEL Classification: G1,

Abstract :

Abstract The purpose of this research is to investigate the asymmetric evaluation of the high-frequency valuation of the company listed on the Tehran Stock Exchange using the MS-EGARCH model. For this purpose, the 5-minute data of Tehran Stock Exchange was used in the period of 2021-2022. Based on the results of the research, it was determined that the variable trend of stock exchange returns in non-linear mode (separation of period length into high and low regimes) is preferable to linear mode, and when the volatility of stock trading is small, the average return of the stock market changes, but the variance of the return changes. The stock market has no significant effect. Also, the results show the asymmetric effects of the effect of stock trading on the changes in stock exchange returns in the boom regime, and the fluctuations of stock trading in the average and high variance regime, in the state of increasing and decreasing stock trading, will have a different effect on the changes in stock exchange returns, and generally its positive effect It is smaller than its negative effects. As a result, it is suggested that the policy makers in the implementation of policies related to the capital market should be proportional to the regime in which the capital market is located, different policies and even if the policies are the same, the intensity of their implementation should be proportional to the characteristics of that regime in each regime.

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