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Investigation of Conditional Relationship between Risks and Expected Stock Returns in Different Industries Listed in Tehran Stock Exchange

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Author Affiliations

  • 1Islamic Azad University, Zanjan Branch, Zanjan, IRAN

Res. J. Recent Sci., Volume 4, Issue (11), Pages 1-9, November,2 (2015)

Abstract

This study aims at investigating relationship between conditional risks with expected stock returns. It is of library and analytical – causal study type and it is based on panel data analysis. Financial data for 98 companies listed in Tehran Stock Exchange during 2006-2011 was investigated. SPSS 20, Eviews 7 and Minitab 16 software were used to test research hypotheses and they were analyzed using descriptive and inferential statistics such as Pearson correlation analysis as well as conditional ARCH and GARCH models. Results suggest there is significant direct relationship between expected return and stock price volatility and between stock rate and stock exchange volatility.

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