The Impact of Abnormal Stock Returns on Future Volatility of Stock Returns

Subject Areas : Financial Knowledge of Securities Analysis

Mohammad Alavi Sheshtamed ¹ , Hamidreza Vakili Fard ² , Amir Reza Keyghobadi ³

1 - PhD student, Department of Financial Management, Faculty of Management and Economics, Tehran Science and Research Branch, Islamic Azad University, Tehran, Iran
2 - Associate Professor, Department of Financial Management, Faculty of Management and Economics, Tehran Science and Research Branch, Islamic Azad University, Tehran, Iran.(Corresponding Author).
3 - Department of Accounting , Faculty of Economics and Accounting, Islamic Azad University, Tehran, Iran

Received: 2024-02-11 Accepted : 2024-06-18 Published : 2025-01-25

Keywords: Abnormal Stock Returns, Future Volatility, Stock Returns,

Abstract :

The purpose of this research is the impact of abnormal stock returns on the future fluctuations of stock returns. The statistical population of the research is the companies admitted to the Tehran Stock Exchange in the period of 2013-2014. Sampling has been done by systematic target method. According to the conditions of the companies admitted to the Tehran Stock Exchange, 130 companies met the conditions of admission in the examined sample. Research data were extracted from the audited documents of financial statements published by companies, statistics and figures published on the website of the Stock Exchange Organization, Codal and Central Bank. Then, the reliability of the research variables was investigated using the Bayesian panel method in EViews 10 software, and the research hypotheses were investigated. Finally, the results of the hypothesis test showed that abnormal stock returns have a positive and significant effect on the future fluctuations of stock returns of companies listed on the Tehran Stock Exchange

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