Crisis Effect on the Relationship between Stock Returns and Volatility in Iran

The main object in this is to evaluate the possibility of any changes might have happened due to the crises in Tehran Stock Market, concerning the relationship between stock return and the volatility. We have estimated the relationship between Tehran stock market returns and conditional volatility concerning pre and post crises data and for the whole period. Using parametric-GARCH-in mean model has shown positive and significant relationship from 1997 to 2007. But this relationship have been affected by crisis. There is negative (significant) relationship before crisis and positive (but not significant) after crisis.