Identifying Regime Switching of Stock Market Returns in Iran

Subject Areas : Labor and Demographic Economics

Seyed Yahya Abtahi ¹ , Hamed Nikfetrat ²

1 - استادیار دانشگاه آزاد اسلامی واحد فیروزکوه
2 - کارشناس ارشد اقتصاد

Received: 2015-04-19 Accepted : 2015-04-19 Published : 2012-04-01

Keywords: Exchange Stock Market, Price and Returns Index, Markov Regime Switching Model,

Abstract :

Financial markets tendency to a sudden shift as a result of changes in the investor behavior can lead to the appearance of different regimes of the price and returns in these markets. This paper, the switching behavior of different regimes in Tehran Stock Market will be investigated through returns (TEDPIX) indexation Switching model during 2006-2011. The results represent that there are 3 positions or regimes for this market. One has a negative return average and two others have a positive returns average. Also, the stability of the regimes has a positive but low returns average and the change of other regimes to this one is of high probability in this market.

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