چکیده:
This paper investigates return and volatility spillover effects between the small, medium and large size firms using the multivariate GARCH framework (By size we mean a company's value on the stock market: the number of shares it has outstanding multiplied by the share price. This is known as market capitalization, or cap size). Using the monthly data from January 1995 to March 2006, we find that return and volatility transmission mechanisms between large and small firms in Tehran Stock Exchange market are asymmetric. In particular, there are significant spillover effects in returns from the portfolio of smaller stocks to the portfolio of larger stocks. For volatility, there is also evidence of limited feedback from the portfolios of smaller stocks to the portfolios of larger stocks.
خلاصه ماشینی:
"Mech (1993) suggests that asymmetry in the cross-correlation between returns on large and small stocks is due to transaction costs, and shows that the speed of price adjustment is associated with the standard deviation of returns and the bid-ask spread.
Some studies (for example, Grinblatt, Titman and Wermers, 1995; Keim and Madhavan, 1995) argue that asymmetric spillover effects in the returns of large and small stocks are related to asymmetric trading patterns and the behavior of institutional investors.
This paper investigates the return and volatility transmission mechanisms between large, small and medium cap firms in Tehran stock market using the monthly data from January 1995 to March 2006.
To address an issue of transmission mechanisms of returns and volatilities, exogenous variables will be introduced into returns and conditional variances to capture potential return and volatility spillovers across large, medium and small size groups.
Firstly, we use the multivariate ARMA-GARCH-M model and secondly adopt the VAR model to investigate the transmission mechanisms between large versus small stocks.
Table 6 reports the simultaneous estimates of return and volatility spillovers across large, medium and small size groups using the multivariate ARMA(1,0)-GARCH(1,1)-M model as in equations 6 and 7.
Table 6: Estimates of simultaneous return and volatility spillovers at lag 1 using the multivariate ARMA (1,0)-GARCH(1,1)-M model Return spillovers R1,t R2,t R3,t R1,t-1 0.
Summary and concluding results In this paper, we investigate return and volatility spillover effects between large, medium and small stocks in Tehran Stock Exchange market using the multivariate ARMA(1,0)-GARCH(1,1)-M model."