Financial Crisis and Its Effects on Tehran Stock Exchange
Subject Areas : Financial Knowledge of Securities Analysis
Keywords: Financial Crisis, ICSS Algorithm, Arch and Garch, Tehran Stock Exchange,
Abstract :
Considering the important issue of financial crisis and it's effects on Tehran's stock exchange, we decided to research the financial crisis of the West effects in Tehran Stock Exchange and express rate of effects and volatility persistence quantitatively For purpose of this study we have been used data of time series1384/01/16 to 1388/08/18 and Arch and Garch model and ICSS algorithm to investigate the above objectives. The main purpose of this study is evaluation affects of the financial crisis on Tehran Stock Exchange and its specific objectives include: 1) Finding sudden changes of the stock return volatility by ICSS algorithm 2) Matching these changes with global events that occur during the time series The results of this study show that first, financial crisis was not effective on return of Tehran Stock Exchange and also volatility persistence in this period was little.