بررسي رابطه بين بتا و بازده و ثبات بتا در دوره هاي رونق و ركود در بورس تهران

Survey of the Relationship Between Return and Beta and Beta Stationary in the Period of Briskness and Stagnation in Tehran Stock Exchange

This study investigates the relationship between 144 firms systemstic risk (beta) and return for the period of 6 years ( 2001 -2006 ) in Tehran stock exchange . In this period Tehran stock exchange has faced with brikness and stagnation . So the results demonstrated that there is not significant relationship between beta and return during 72 months of market briskness and stagnation. In the period of briskness 35 from 144 firms have significant betas and among them 34 firms have stationary beta. In the period of stagnation 36 firms have significant beta and among them 32 firms have stationary beta. For all of this period 51 firms have stationary beta. Cususm test demonstrated that all of 144 firms in the periods of briskness and stagnation have stationary betas. But betas for all the period were nonstationary. Wald test also demonstrated that during the time beta of low and high firms have tendency toward market equally beta.