Economic Cycle and Symmetric Volatility of Financial Market Returns: Study of Emerging Economies

Document Type : Original Article

Authors
Saeed Moradpour 1
Reza Tehrani 2
Seyed Mojtaba Mirlohi 3
Ezatolah Abbasian 4
1 Phd Student in Finance, International Campus, University of Tehran, Kish, Iran (corresponding auther)
2 Professer management facullity, University of Tehran, Tehran, Iran
3 Asistanat Professer Industerial and management facullity, industrial university of Shahrood, Shahrood, Iran
4 Associated Professer economice facullity, Bu-Ali Sina University, Hamedan, Iran
Abstract
In the present research, the main issue is the modeling of stock market volatility fluctuations in emerging markets. In the first step, by using Hadrik Prescott's filter and Garch model (1.1), for extraction of economic cycle, by using the GDP we are indicating business cycles of conteries, the desired economics of modeling are carried out and the results obtained using Regression has been implemented on the returns of sample markets in 24 countries. The study period was between 1992 and 2016. The results show the significance and ability of models presented in the modeling of stock market fluctuations, and the relationship between economic cycles and capital market returns has been confirmed in some countries.
 
 
Keywords
Economic cycles
Stock Market Volatility
Garch model
Emerging markets
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