Survey of the Relationship Between Return and Beta and Beta Stationary in the Period of Briskness and Stagnation in Tehran Stock Exchange

Subject Areas : Financial Knowledge of Securities Analysis

Received: 2008-12-07 Accepted : 2009-01-28 Published : 2008-12-21

Keywords: Risk, Return, Beta stationary, Briskness, Stagnation,

Abstract :

This study investigates the relationship between 144 firmssystemstic risk (beta) and return for the period of 6 years ( 2001 –2006 ) in Tehran stock exchange . In this period Tehran stockexchange has faced with brikness and stagnation . So the resultsdemonstrated that there is not significant relationship between betaand return during 72 months of market briskness and stagnation. Inthe period of briskness 35 from 144 firms have significant betasand among them 34 firms have stationary beta. In the period ofstagnation 36 firms have significant beta and among them 32 firmshave stationary beta. For all of this period 51 firms have stationarybeta. Cususm test demonstrated that all of 144 firms in the periodsof briskness and stagnation have stationary betas. But betas for allthe period were nonstationary. Wald test also demonstrated thatduring the time beta of low and high firms have tendency towardmarket equally beta.