Economics, Econometrics and Finance
6 years ago

Market portfolio volatility linked to stock returns at different time scales.

Volatility of the Market Portfolio Return and Volatility of Stock Returns at Different Time Scales
Esmat BoroomandTombaki, Hadi AkbarianRounizi, Sana Barkhordari, Roohangiz Behzadi

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The study looked at how the volatility of the overall stock market affects the volatility of individual stocks in the Tehran Stock Exchange. They used statistical methods to analyze data from 58 companies over different time periods. The results showed that there is a significant relationship between market returns and stock returns, with the strongest connection seen in short-term periods. This means that changes in the overall market can impact how individual stocks perform, especially in the short run.