The effect of inflation on stock prices of listed companies in Tehran stock exchange 1

Transcription

1 Available online a WSN 40 (016) EISSN The effec of inflaion on sock prices of lised companies in Tehran sock exchange 1 ABSTRACT Freyedon Ahmadi Assisan Professor, Deparmen of Managemen, Payame Noor Universiy, PO BOX , Tehran, Iran address: freyedon@yahoo.com Iranian, in he recen hisory, faced wo major economic crises which were in April 005 and February 014. In his paper, we examine wheher he risk reurn relaionship as well as he effecs of wo macroeconomic variables, oupu growh and inflaion, on real sock reurns and volailiy changed or no due o hese crises using hree differen monhly indices of he Tehran Sock Exchange. We sudy he effecs boh for he whole period and he subperiods ha we deermine regarding he imes of he crises using EGARCH-M framework. Our resuls show ha he risk-reurn relaionship changes as he economy moves from one regime o anoher. Moreover, he crises cause some changes on he relaionships beween sock reurns and macroeconomic variables. The greaes impac of he crisis is seen in he Financial Secor. Keywords: Sock marke; Volailiy; Risk, EGARCH-M; Time series analysis 1. INTRODUCTION The purpose of his paper is o invesigae wheher he wo major economic crises, April 005 and February 014, ha Iranian faced changed he effecs of wo macroeconomic variables, oupu growh and inflaion, on real sock reurns and volailiy and also risk-reurn relaionship. In ha respec, in his paper, we sudy hree indices of Tehran Sock Exchange, 1 This projec sponsored by PNU Kurdisan province and in paricular credi (Gran) has been performed.

2 namely, ISE 100 index for he period July 005 December 014 and ISE Indusrial and ISE Financial indices for he period January 005 December 014. The ime difference is due o he availabiliy of he daa. Firsly, we sudy he whole daa and ry o examine he effecs of oupu growh and inflaion on real sock reurns and volailiy ogeher wih he risk reurn relaionships. Secondly, we divide he period ino subperiods aking he iming of he economic crises ino consideraion. In his way, i becomes possible o see wheher he crises changed relaionships or no. Schwer (1989) sudied how real and macroeconomic facors predic sock marke volailiy for he Unied Saes and as a resul of his sudy, he found a weak evidence ha suppors his predicion. The paper is imporan since sock marke volailiy can be considered as a measure of sock marke risk and o sudy he effecs of oupu growh and inflaion on volailiy can help us o undersand he deerminans of such a risk. Davis and Kuan (003) exended Schwer (1989) by invesigaing he effecs of oupu growh and inflaion on boh reurns and volailiy simulenously. Mos of he previous sudies invesigaed he effecs of inflaion and real aciviy only on sock reurns. They have no aken ino accoun heir impac on condiional volailiy. The four excepions in he lieraure are Hamilon and Lin (1996), Muradoglu, Berumen and Mein (1999), Davis and Kuan (003) and Kuan and Aksoy (003) in which hey all sudied sock reurns and volailiy simulaneously. One of he oher conribuions of hese sudies are heir esing Fisher Effec by including inflaion in heir analyses. One imporan and classical emprical finding which conradics Fisher Effec is Fama and Schwer (1977) in which a negaive relaionship is found beween inflaion and sock reurns. This negaive relaionship can be explained in he following way: Inflaion is expeced o increase nominal discoun raes and if conracs are nominal and cash flows canno increase immedialy, his will have a negaive effec on sock reurns due o higher rae of discoun. Kuan and Aksoy (003) sudied he subjec for Iranian. As hey saed, Iranian is an ineresing case since here exiss a moderae bu persisen inflaion raher han very high inflaion like he ones ha were seen in Lain American counries or low inflaion like he developed counries. The paper is very ineresing since i shows wheher Fisher effec exiss for a unique counry like Iranian. To he bes of our knowledge, his is he only paper invesigaing his subjec. They have found ha excep for he financial secor here is no srong evidence in favor of he Fisher effec. Anoher sudy which complemens Kuan and Aksoy (003) is Berumen and Malayalı (001) in which Fisher effec is sudied for he bond marke of Iranian and no evidence in favor of Fisher effec is found. I is imporan o noe ha in all of he sudies menioned above adapive expecaions are used. The resuls may change if forward looking inflaion expecaions are used. This case was invesigaed in Basci and Ceylan (005). In his paper, we exend he sudy of Kuan and Aksoy (003) by dividing he period ino subperiods by aking he iming of he crises ino consideraion. This is imporan because crises had various effecs on differen markes and his sudy pus some ligh on he change of relaionship beween macroeconomic variables and sock marke due o crises. -36-

3 Since we include inflaion as one of he macroeconomic variables, validiy of Fisher Effec under a crisis enviromen is also auomaically esed in his sudy. The concep of asymmeric shocks o he volailiy of reurns is imporan while deermining he model o be used since i is beer o use E-GARCH models insead of GARCH models if here is asymmery. By asymmery, we mean ha he reacions of individuals differ in accordance wih good and bad news. If here exiss a downward movemen in he sock marke, his is followed by a higher volailiy han if an upward movemen of he same magniude is observed. (See Engle and Ng (1993)). Since he sock reurn daa generally appear o be in an asymmeric srucure, i is beer o use an EGARCH model. Moreover, an EGARCH model can also capure he ime-varying properies of finacial daa. Some of he papers which repor evidence of ime-varying volailiy for several differen markes are Bollerslev (1987), French, Schwer and Sambaugh (1987), Chou (1988), Akgiray (1989), Campbell and Henschel (199), Braun, Nelson and Sunier (1995), Bekaer and Harvey (1997) and Aggarwal, Inclan and Leal (1999). In addiion o hese sudies, since we also wan o capure he relaionship beween risk and reurn, we use EGARH-M model in his paper. From he finance lieraure, we know ha here are mixed resuls relaed o he relaionship beween sock reurn and risk. For example, while French, Schwer and Sambaugh (1987) find evidence of a posiive relaionship for he US sock marke, Baillie and De Gennaro (1990) find his relaion weak for a similiar daa. For he UK marke, Poon and Taylor (199) repor ha he relaionship is no saisically significan. Muraoglu, Berumen and Mein (1999) observe for Turkish Sock Marke ha financial crises change he risk reurn relaionships. Some oher papers which use EGARCH- M model can be summarized as follows. Appiah-Kusi and Menyah (003) use he model o es reurn predicabiliy for eleven African counries. Dean and Faff (001) invesigae he ineremporal relaionship beween he marke risk premium and is condiional variance for Ausralia. They find he evidence of a posiive relaionship. The paper proceeds as follows. Secion gives informaion abou he crises periods. Secion 3 describes he model ha we use in he paper. Secion 4 conains he informaion abou he daa, some describive saisics and he resuls of he analyses. Secion 4 is conclusion AND 014 CRISES The crisis in 005 was firs seen in he financial markes. Laer on, i affeced he real par of he economy also. The main causes of he crisis seemed o be he public secor defici and public deb mismanagemen. As menioned in Muradoglu, Berumen and Mein (1999) in he end of 1993, he Public Secor Borrowing Requiremen was 13 percen of GDP and sock of domesic deb was 0 percen of GDP wih an average mauriy of 11 monhs. In order o reduce ineres raes and exend he mauriy srucure, he Cenral Bank sared argeing ineres raes and inroduced an income ax on he -bills holders. As saed by Ozaay (1996), privae secor s aim was no o purchase new governmen securiies. Thus, he funding crisis sared. A ha ime, US dollar appreciaed 70% in he firs hree monhs of The Cenral Bank made some inervenions boh in he money marke and foreign exchange marke. As a resul of he crisis, inernaional reserves of Cenral Bank decresed o 3 billion USD from 7. billion USD. Besides, he inerbank daily raes jumped o 700%. The deficis -37-

4 were financed by governmen by domesic borrowing wih 3 monh mauriy and 400% compound annual ineres. In 1995, inflaion sabilized a 76%. The crisis in 001 was more severe han he crisis in The cause of he crisis is remarked by Ozaay and Sak (003) as he combinaion of a fragile banking secor. Alper (001) focused on hree facors o be responsible for he crisis: he inabiliy of he Turkish governmen o mainain he sream of good news and susain capial inflows; insufficien backing up for he IMF program; and he no serilizaion rule of he program, which caused ineres rae undershooing in he firs phase of he 000 program. Bu he banking secor s fragiliy is he main cause as presened in Alper s work. 3. EMPIRICAL MODEL In his sudy, we wan o see he effecs of wo macroeceonomic variables, oupu growh and inflaion on boh real sock reurns and volailiy simulaaneously. I is also more appropriae o include volailiy ino he analysis o use GARCH models. However, symmeric GARCH models may no be enough since he shocks o he volailiy of reurns may be asymmeric. By asymmery, we mean ha individuals reac differenly o good and bad news. In oher words, higher volailiies are observed afer downwords movemens in he sock marke compared o he upward movemens of he same magniude (See Engle and Ng (1993)). For his reason, i is more appropriae o use an EGARCH model. Moreover, an EGARCH model also capures he ime-varying volailiy and in various sudies evidences for ime-varying volailiy are repored. For example, in Campbell and Henschel (199) and Braun, Nelson and Sunier (1995) evidences of ime varying volailiy for he monhly US sock reurns can be found. Inernaional evidence from emerging markes can be found in Bekaer and Harvey (1997) and Aggarwal, Inclan and Leal (1999). In addiion, since we also wan o see he relaionships beween risk and reurn, we preffered o use an EGARCH-M model in his paper. The model is as follows: R ' I log( ) () q p p i k j log( j ) i k j1 i1 i k1 k (1) where R is sock reurns, I represens exogenous variables, is he condiional variance a ime and is he error erm a ime. Since we also wan o see he effecs of macroeconomic variables on boh reurn and volailiy, we have o add hese variables o equaions 1 and. Then he model can be wrien as follows: log( R c y R 1 (3) q p r i k ) y R 1 j log( j ) i k (4) j1 i1 i k1 k -38-

5 where y is he oupu growh and is he inflaion. We also included one period lag value of sock reurn ino he model. In his sudy, we ake p = q =. We have ried various combinaions, as a resul, i is found ha EGARCH-M (,) model fis he daa bes. 4. EMPRICAL RESULTS Daa In his sudy, monhly daa on Sock Price Indices (SPI), Indusrial Producion Index (IPI), Consumer Price Index (CPI) and exchange raes are used. Indusrial Producion Index, Consumer Price Index and exchange rae are obained from The Cenral Bank of Iranian (EVDS Sysem). The indices are calculaed by Sae Insiue of Saisics. Sock Price Indices are obained from We use hree differen indices of Tehran Sock Exchange which are ISE-100, ISE Indusrial and ISE Financial. The sample period for ISE-100 is July 1987 December 004, for boh indusrial and financial indices i is January 1991 December 004. The periods are seleced due o he availabiliy of he daa. 4.. Descripive Saisics The descripive saisics for real sock reurns, inflaion and oupu growh of Iranian is repored in Tables 1 hrough 4. In Table 1, he resuls are for he whole period, he ables o 4 repor he resuls for he subperiods where we divide he daa depending on he iming of he wo major crises, April 1994 and February 001. Table 1. Descripive Saisics of sock reurns, inflaion and oupu growh for he whole period. Mean Sandard Deviaion ISE ISE-Indusrial * ISE-Financial * Inflaion Oupu Growh Noe: All variables are compued as he log difference of his and las monh s observaions muliplied by 100. * For ISE-Indusrial and ISE Financial he sample period begins January 1991 due o he availabiliy of daa. I is repored in Table 1 ha monhly real sock reurns of ISE 100, ISE Indusrial and ISE Financial are 0.1%, 44% and 0.04% respecively for he whole period. The real reurn of he indices urns ou o be negaive for he firs period for all he indices. In Table 3, we see ha he means of sock price indices are high since his period includes he years where ISE was a is peak poin. However in Table 4 he means are very low since his period includes he years of downward rend. When we come o inflaion, we see he lowes inflaion rae in Table 4-39-

6 which reflecs he downward movemen of his variable. Moreover, in he same period oupu growh rae is considerably higher han he raes in oher periods. The economy in he las period is more sable for Iranian. As can be seen, he values for all of he variables are beer compared o oher periods. Table. Descripive Saisics of sock reurns, inflaion and oupu growh for firs subperiod up o April 1994 crisis. Mean Sandard Deviaion ISE ISE-Indusrial * ISE-Financial * Inflaion Oupu Growh Noe: All variables are compued as he log difference of his and las monh s observaions muliplied by 100. *For ISE-Indusrial and ISE Financial he sample period begins January 1991 due o he availabiliy of daa. Table 3. Descripive Saisics of sock reurns, inflaion and oupu growh for he second subperiod beween he wo crisis, April 005 and February 014. Mean Sandard Deviaion ISE ISE-Indusrial ISE-Financial Inflaion Oupu Growh Noe: All variables are compued as he log difference of his and las monh s observaions muliplied by 100. Table 4: Descripive Saisics of sock reurns, inflaion and oupu growh for he hird subperiod afer February 005 crisis. Mean Sandard Deviaion ISE ISE-Indusrial

7 ISE-Financial Inflaion.14.0 Oupu Growh Noe: All variables are compued as he log difference beween his and las monh s observaions muliplied by Impac of Macroeconomic Variables In his secion of he paper, we repor he esimaion resuls of he EGARCH-M (,) model given in equaions 3 and 4. The real sock reurns are calculaed by aking he raio of nominal sock reurns o exchange rae. The real sock reurns, inflaion and real oupu growh rae are consruced by aking he logarihmic differences. The consumer price index and indusrial producion index are seasonally adjused. Firsly, in Table 5, we repor he resuls of he relaionship beween risk and reurn where risk is measured by variance. The findings sugges ha for he periods 1987: :04 and 001:0-004:1, where he sabiliy is higher, here is a posiive bu insignifican relaionship beween risk and reurn for all of he indices excep ISE 100 for 1987: :04 period, where for his case he posiive relaionship is significan. For 1994:05-001:01 period, risk affecs sock reurns negaively. This is no surprising since his second period is a problemaic one for Iranian, where he period is in beween he wo major crises. The change of sign for he crisis period may be hough of as an evidence ha crises do affec risk reurn relaionship. When he whole period is considered, i is possible o see he significan effecs of risk on ISE 100 and ISE Indusrial. The effec on ISE 100 is posiive whereas i is negaive for ISE Indusrial. The differen effecs of risk on hese hree indices may be because of he volailiy being affeced by he macroeconomic variables. In ha respec, i is possible o say ha ISE, being an emerging sock marke, is sensiive o changes in macroeconomic variables (Muradoglu and Onkal, 199; Muradoglu and Mein, 1996; Muradoglu, Berumen and Mein, 1999). Moreover, hese differen effecs for Turkish Marke suppors he mixed resuls ha exiss in he lieraure. (See French, Schwer and Sambaugh (1987), Baillie and De Gennaro (1990), Poon and Taylor (199) and Muraoglu, Berumen and Mein (1999)) Table 5. The relaionship beween risk and reurn for he whole and subperiods. ISE 100 ISE Indusrial ISE Finance 005:07-008:1 008:07-010:04 010:05-01: ** (0.0181) * (0.0551) (0.3417) *** (0.0000) (0.3357) *** (0.0034) (0.1315) (0.1966) (0.4133) -41-

8 01:0-014: (0.4145) (0.557) (0.365) ***, **, * indicaes he 1%, 5% and 10% signifacance levels respecively. The values in paranhesis are p-values. Table 6 repors he effecs of oupu growh and inflaion on ISE 100 boh for he mean and variance equaion. Generally, we expec a posiive relaionship beween oupu growh and sock reurns. In Table 6, for he mean equaion in all periods excep for he las period, he relaionships are insignifican. For he las period, which is more sable more sable, we see significan posiive relaionship beween oupu growh and ISE 100 reurn a 10% significance level. From he able i can also be observed ha 1994 crisis has changed he sign of oupu growh from negaive o posiive. When we come o he inflaion, he effec on sock reurns is negaive bu insignifican for all periods. I is possible o say ha for ISE 100, Fisher effec does no hold. When we consider he effec of macroeconomic variables on volailiy, he effec of oupu growh is posiive bu insignifican excep for he las period. For his period he effec is sill insignifican bu negaive. The negaive and significan effec of inflaion on volailiy is seen only in he second period where he effec of he crisis is inense. Moreover, i seems ha 1994 crisis was very effecive on he relaionship beween inflaion and volailiy, since wih he crisis he insignifican bu posiive coefficien of inflaion urns o a significan and negaive value. Wih he 001 crisis he relaionship urns o is previous posiive posiion. Table 6. The impac of oupu growh and inflaion on he reurn of ISE :07-008:1 008:07-010:04 010:05-01:01 01:0-014:1 Mean Equaion Oupu growh Inflaion Sock reurn (-1) (0.1303) (0.78) ** (0.0485) (0.1103) (0.740) (0.1408) (0.7635) (0.763) (0.6310) * (0.0901) (0.3490) (0.448) Variance Equaion Oupu growh Inflaion Sock reurn (-1) (0.3183) (0.5568) *** (0.0000) (0.369) (0.960) (0.4556) (0.3037) * (0.0661) (0.945) Noe: Values in parenhesis are p-values. ***, ** and * indicae he level of significance a 1%, 5% and 10% level respecively (0.7546) (0.5773) (0.8851) -4-

9 The effecs of oupu growh and inflaion on he reurn of ISE Indusrial are shown in he firs par of Table 7. The relaionship beween oupu growh and ISE Indusrial is posiive as expeced. The effec is insignifican for all sub periods, bu srongly significan for he whole period. For he inflaion, he effec is negaive for all periods bu for he second subperiod. The crisis in 1994 and 001 caused some srucural changes, in ha he sign of inflaion changed from negaive o posiive wih he crisis in 1994 and posiive o negaive wih he crisis in 001. In he hird sub period where he economy is more sabilized, he effec of inflaion is boh negaive and significan. In he second par of Table 7, he effecs of macroeconomic variables on he volailiy of ISE Indusrial are repored. The effec of oupu growh on volailiy is posiive and significan for he whole period. For he sub periods, he effec is sill posiive bu insignifican excep for he firs sub period. The negaive and significan effec of inflaion can be seen in he firs subperiod. Table 7. The impac of oupu growh and inflaion on he reurn of ISE-Indusrial. 005:07-008:1 008:07-010:04 010:05-01:01 01:0-014:1 Mean Equaion Oupu growh Inflaion Sock reurn (-1) *** (0.0080) ( ) (0.7115) (0.8409) (0.8510) (0.3767) (0.54) (0.61) (0.3613) (0.967) * (0.0894) (0.114) Variance Equaion Oupu growh Inflaion Sock reurn (-1) * (0.0543) (0.1683) *** (0.0000) (0.6195) * (0.071) (0.9843) (0.578) (0.1189) * (0.0636) Noe: Values in parenhesis are p-values. ***, ** and * indicae he level of significance a 1%, 5% and 10% level respecively (0.7470) (0.375) (0.111) Table 8 repors he effecs of oupu growh and inflaion on ISE Financial. According o he findings, oupu growh has posiive effecs on he reurns of ISE Financial for all he periods bu he second subperiod. The effecs of oupu growh are all insignifican wih an excepion of he hird subperiod. In his period he effec of oupu growh on financial reurns is posiive and significan a 1% significance level. Moreover, he crises in 1994 and

10 have changed he sign of oupu growh from posiive o negaive and from negaive o posiive respecively. The effec of inflaion is again negaive for he all indices. The effec is significan only in he second subperiod where he effec of crisis is inense. As can be seen in he second par of Table 8, he effec of oupu growh on volailiy is all negaive for all periods, bu he effec is no significan. For he inflaion, we can see he negaive bu significan effec in he second subperiod, bu his srong effec loses is power wih he 001 crisis and in he las subperiod he coefficien becomes insignifican and also changes is sign. Table 8. The impac of oupu growh and inflaion on he reurn of ISE-Financial. 005:07-008:1 008:07-010:04 010:05-01:01 01:0-014:1 Mean Equaion Oupu growh Inflaion Sock reurn (-1) (0.6105) (0.349) (0.5453) (0.4331) (0.530) ** (0.003) (0.619) *** (0.0000) *** (0.0000) *** (0.0003) (0.1640) (0.1833) Variance Equaion Oupu growh Inflaion Sock reurn (-1) (0.3869) (0.4899) (0.9685) (0.8947) (0.605) (0.7896) (0.3917) *** (0.0000) ** (0.031) Noe: Values in parenhesis are p-values. ***, ** and * indicae he level of significance a 1%, 5% and 10% level respecively (0.7379) (0.703) (0.111) 5. CONCLUSIONS Three poins are imporan abou his paper. Firsly, differen from mos of he previous sudies, his paper examines he effecs of macroeconomic variables on sock reurns and volailiy simulaneously. Secondly, by using an EGARCH-M model, i capures he conceps of asymmeric shocks o he volailiy of reurns, ime variying volailiy properies of financial daa and also risk reurn relaionship. Finally, by dividing he sample period ino subperiods, by aking he imings of he wo major crises ha Iranian faced ino consideraion, he paper gives some evidences, which may be considered as counry specific, how he effecs of macroeconomic variables on sock marke may change due o crises. -44-

11 In lieraure, here are mixed resuls relaed o he risk and reurn relaionship. Our findings also suppor hese resuls since he sign and significance of he relaionship differs depending on he ime period and index. However, i is imporan o noe ha alhough for subperiods oher han he one which lies in beween he wo crises, he sign of he relaionship is posiive, i is negaive for he crisis subperiod. This resul shows ha he crises have affeced he relaionship beween risk and reurn in Turkish Sock Marke. The relaionship beween oupu growh and real sock reurns is expeced o be posiive in he lieraure. We have found evidences of his posiive relaionship, which is sronges in he pos crisis period, for Turkish case also bu resuls show no sign of differen behaviour of he relaionship for he crisis period. When we consider he effec of oupu growh on he volailiy, we have found no significan evidence of effec excep for he indusrial secor when whole period is considered. Fisher effec saes ha here should be a posiive relaionship beween inflaion and sock reurns bu emprical findings do no suppor his effec all he ime. For our case, we also could no find evidence of a posiive relaionship so we can conclude ha Turkish case does no suppor Fisher effec. However, if we consider he effec of inflaion on he volailiy, we can say ha crises mosly affec his relaionship. The insignifican resuls for oher subperiods urn ou o be significan negaive relaionships for he period which lies in beween wo crises, excep for indusrial secor. References [1] Aggarwal, R., C. Inclan and R. Leal (1999). Volailiy in emerging sock markes. Journal of Financial and Quaniaive Analysis, 34(1): [] Akgiray, V Condiional heeroskedasiciy in ime series of sock reurns: evidence and forecass. Journal of Business 6: [3] Alper, C. E The Turkish Liquidiy Crisis of 000: Wha Wen Wrong? Russian and Eas European Finance and Trade 37(6): [4] Appiah-Kusi, J. and K. Menyah 003. Reurn predicabiliy in African sock markes. Review of Financial Economics, 1: [5] Baillie, R.T. and R. P. DeGennaro Sock reurn and volailiy. Journal of Financial and Quaniaive Analysis, 5: [6] Basci, E., S. Ozyildirim and K. Aydogan A noe on price-volume dynamics in an emerging sock marke. Journal of Banking and Finance, 0(): [7] Bekaer, G. and C.R. Harvey Emerging equiy marke volailiy. Journal of Financial Economics, 43: [8] Berumen, H. and K. Malayali 001. Deerminans of ineres raes in Iranian. Russian and Eas European Finance and Trade, 37(1): [9] Bollerslev, T A condiional heeroskedasic ime series model of securiy prices and raes of reurn daa. Review of Economics and Saisics, 59:

12 [10] Braun, P.A., D.B. Nelson and A.M. Sunier Good news, bad news, volailiy, and beas. Journal of Finance, 1(5): [11] Campbell, J.Y. and L. Henschel 199. No news is good news: an asymmeric model of changing volailiy in sock reurns. Journal of Financial Economics, 31: [1] Chou, R.Y Volailiy persisence and sock valuaions: Some emprical evidence using GARCH. Journal Of Applied Economerics, 3(4): [13] Choudhry, T Inflaion and raes of reurns on socks: Evidence from high inflaion counries. Journal of Inernaional Finacial Markes, Insiuions and Money, 11: [14] Davis, N. and A.M. Kuan 003. Inflaion and oupu as predicors of sock reurns and volailiy: inernaional evidence. Applied Financial Economics, 13: [15] Dean, W. G. and R. W. Faff 001. The ineremporal relaionship beween marke reurn and variance: An Ausralian perspecive. Accouning and Finanace, 41: [16] Demirer, R. and M.B. Karan 00. An invesigaion of he day-of-he week effec on sock reurns in Iranian. Emerging Markes Finance and Trade, 38(6): [17] Engle, R. F. and V. K. Ng Measuring and esing he impac of news on volailiy. Journal of Finance, 48(5): [18] Fama, E. and G. W. Schwer Asse reurns and inflaion. Journal of Financial Economics, 5: [19] French, K. R., G. W. Schwer and R. F. Sambaugh Expeced sock reurns and volailiy. Journal of Financial Economics, 19: [0] Güner, N. and Z. Onder 00. Informaion and volailiy. Emerging Markes Finance and Trade, 38(6): [1] Gursoy, G. and K. Aydogan 00. Equiy ownership srucure, risk aking, and performance: An emprical invesigaion of Turkish lised companies. Emerging Markes Finance and Trade, 38(6): 5-4. [] Hamilon, J.D. and G. Lin Sock marke volailiy and he business cycle. Journal of Applied Economerics, 11: [3] Kuan, A. M. and T. Aksoy 003. Public informaion arrival and fisher effec in emerging markes: evidence from sock and bond markes in Iranian. Journal of Financial Services Research, 3(3): [4] Muradoglu, Y.G. and K. Mein Efficiency of Turkish sock exchange wih respec o moneary variables: A coinegraion analysis. European Journal of Operaional Research, 90(30): [5] Muradoglu, G., H. Berumen, and K. Mein Financial crisis and changes in deerminans of risk and reurn: An emprical invesigaion of an emerging marke (ISE). Mulinaional Finance Journal, 3(4): 3-5. [6] Ozaay, F The lessons from 1994 crisis in Iranian: public deb mis(managemen) and confidence crisis, Yapı Kredi Economic Review, 7(1):

13 [7] Ozaay, F. and G. Sak 003. Banking secor fragiliy and Iranian s Financial Crisis. The Cenral Bank of Iranian, Discussion Paper, December. [8] Poon, S. and S. J. Taylor 199. Sock reurns and volailiy: an emprical sudy of he UK sock marke. Journal of Banking and Finance, 16, [9] Schwar, W.G Why does sock marke volailiy change over ime? Journal of Finance, 54(5): [30] Yüksel, A. 00. The performance of he Tehran sock exchange during he Russian crisis. Emerging Markes Finance and Trade, 38(6): ( Received 8 January 016; acceped 08 February 016 ) -47-