Volatility of the Market Portfolio Return and Volatility of Stock Returns at Different Time Scales

Esmat BoroomandTombaki, Hadi AkbarianRounizi, Sana Barkhordari, Roohangiz Behzadi


This study aims to investigate the relationship between the volatility of the market portfolio return and volatility of stock returns at different time scales in Tehran Stock Exchange Was performed. The method of this study is categorized in correlation investigations. Statistical methods used in this study are descriptive statistics and regression. 58 companies have been selected according to defined sampling conditions. In order to test the research hypotheses of the study, separation of beta companies and annual time scales of the model (DCAPM) was calculated. To investigate the relationship between two variables, descriptive statistics, including mean, variance and standard deviation were calculated. The relationship between the independent and dependent variables were examined using regression method. Results showed a significant relationship between market returns and stock returns in different time periods there. And a short period of time the relationship between portfolio return and the highest rate of return to the show. Scale of the short, medium and long-term relationship between portfolio return and volatility of stock returns is confirmed.

Full Text:

PDF 81-86


Abbasi, Ebrahim, Kaviani, Meysam, & Farbod, Ebrahim. (2017). Testing the Traditional CAPM and MCAPM on Tehran Stock Exchange. J. Appl. Res. Ind. Eng. Vol, 4(2), 148-157.

Bailey, Sarah A, Duggan, Ian C, Overdijk, Colin DA, Johengen, Thomas H, Reid, David F, & MacIsaac, Hugh J. (2004). Salinity tolerance of diapausing eggs of freshwater zooplankton. Freshwater Biology, 49(3), 286-295.

Bond, Shaun A, & Patel, Kanak. (2003). The conditional distribution of real estate returns: are higher moments time varying? The Journal of Real Estate Finance and Economics, 26(2-3), 319-339.

Cole, Shawn, Giné, Xavier, & Vickery, James. (2017). How does risk management influence production decisions? Evidence from a field experiment. The Review of Financial Studies, 30(6), 1935-1970.

Fama, Eugene F, & French, Kenneth R. (2004). The capital asset pricing model: Theory and evidence. Journal of economic perspectives, 18(3), 25-46.

Foster, Kevin R, & Kharazi, Ali. (2008). Contrarian and momentum returns on Iran's Tehran Stock Exchange. Journal of International Financial Markets, Institutions and Money, 18(1), 16-30.

Harvey, Campbell R, Liechty, John C, Liechty, Merrill W, & Müller, Peter. (2010). Portfolio selection with higher moments. Quantitative Finance, 10(5), 469-485.

Jewczyn, Nicholas. (2014). Theory and Portfolios: An economic history of MPT, APT, and the CAPM from 1952 to 1986: AuthorHouse.

Kim, Sangbae, & In, Francis. (2007). On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis. Journal of International Financial Markets, Institutions and Money, 17(2), 167-179.

Liu, Ximei, & Zeng, Ming. (2017). Renewable energy investment risk evaluation model based on system dynamics. Renewable and Sustainable Energy Reviews, 73, 782-788.

Mehrara, Mohsen, Falahati, Zabihallah, & Zahiri, Nazi Heydari. (2014). The Relationship between systematic risk and stock returns in Tehran Stock Exchange using the capital asset pricing model (CAPM). International Letters of Social and Humanistic Sciences (ILSHS), 10, 26-35.

Mensi, Walid, Shahzad, Syed Jawad Hussain, Hammoudeh, Shawkat, Zeitun, Rami, & Rehman, Mobeen Ur. (2017). Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach. Emerging Markets Review, 32, 130-147.

Simo-Kengne, Beatrice D, Miller, Stephen M, Gupta, Rangan, & Aye, Goodness C. (2015). Time-varying effects of housing and stock returns on US consumption. The Journal of Real Estate Finance and Economics, 50(3), 339-354.

Tong, Eric. (2016). Global financial instability: Why US monetary policy matters. University of Auckland Business Review, 19(1), 6.

Wachter, Jessica A. (2013). Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? The Journal of Finance, 68(3), 987-1035.


  • There are currently no refbacks.

Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

World of Researches Publication