Effective factors (fiscal policies, ownership, and capital structure) on stock return volatility in companies listed in the Tehran Stock Exchange

Abstract

The present study investigated factors (fiscal policies, ownership, and capital structure) affecting stock return volatility in companies listed in the Tehran Stock Exchange. The research population included all companies listed in the Tehran Stock Exchange and the sample under study consisted of 77 companies whose data were collected over a four-year period from 2010 to 2014. In this study, fiscal policies, ownership, and capital structure were used as independent variables, while stock return volatility was taken as the dependent variable. The fixed-effect panel data method was employed to analyze the data. Public and private sector ownership ratios indicated that both types of ownership had a significant positive impact on stuck returns in the sample companies. Furthermore, as the value of variables related to taxes payable by the companies and their capital structure were negative, their returns reduced.

Key words: fiscal policies, ownership type, capital structure, stock return volatility, Tehran Stock Exchange

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