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:: Volume 33, Issue 116 (quarterly journal of economic research and policies 2026) ::
qjerp 2026, 33(116): 212-257 Back to browse issues page
Examining the Effect of Fundamental and Macroeconomic Factor Volatility on Stock Return Volatility: Evidence on the Role of Institutional Shareholders
Maziar Dehnaee , Mohammad Ali Molaei , Mohsen Lotfi * , Hosein Ameri
Department of Economics, Faculty of Industrial Engineering and Management Shahrood, Shahrood University of Technology , mohsenlotfi@shahroodut.ac.ir
Abstract:   (167 Views)


This study investigates the impact of firm fundamentals and macroeconomic factors on idiosyncratic return volatility in the Tehran Stock Exchange (TSE). The researchers selected a sample of 136 TSE-listed companies through systematic elimination, covering the period from 2008 to 2024. The primary independent variable, fundamental idiosyncratic volatility (FUND), is computed using Irvin & Pontiff's methodology, while the dependent variable, idiosyncratic return volatility (IVOL), is derived using Campbell's approach. To assess the influence of firm fundamentals and macroeconomic factors on idiosyncratic returns, multiple linear regression analysis is employed. Additionally, a separate estimation model examines the role of institutional shareholders as an intervening variable in the relationship between firm fundamentals and idiosyncratic return volatility. The findings reveal a significant effect of FUND on IVOL, highlighting the importance of fundamental factors in explaining firm-specific return volatility.

Keywords: Idiosyncratic return volatility, Firm’s fundamentals, Institutional shareholders, Campbell model
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Type of Study: Research | Subject: Special
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Dehnaee M, Molaei M A, Lotfi M, Ameri H. Examining the Effect of Fundamental and Macroeconomic Factor Volatility on Stock Return Volatility: Evidence on the Role of Institutional Shareholders. qjerp 2026; 33 (116) :212-257
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Volume 33, Issue 116 (quarterly journal of economic research and policies 2026) Back to browse issues page
فصلنامه پژوهشها و سیاستهای اقتصادی Journal of Economic Research and Policies
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