The relationship between Political News with Price and Return Volatility in Tehran Stock Exchange

One of important issues for investors when investing on stock market is the prediction of price and return. It is absolutely rational that there are different factors for prognostication price and return index. Studying previous survey, realize that there are two kind of factors in this field. They are called internal and external factors. Internal factors related to the firm. External factors cause to make systematic risk. Political risk is one of the Factors that led to the systematic risk. Attending to the preceding investigations distinguished that political news is one of the important approaches to probe political risk. For this reason, this study investigates the relationship between political news with price and return volatility in Tehran Stock Exchange. Our population is Chemical Industry. This industry includes 33 companies. 22 companies of the chemical industry are the sample of this study. Analytic Hierarchy Process is used for news estimation and its importance. The method of the research is correlation and casual analysis. Statistical tests that are used in this study are Spearman Correlation and Paired-Sample T Test. Findings of the research indicate that there is no relationship between good political news with price volatility; a relationship between bad political news with price volatility; no relationship between good political news with return volatility; Finally there is not any relationship between bad political news with return volatility.