Abstract
The objective of current research is to detect correlation between risk and return as there are inconclusive results regarding this issue. The study used daily closing prices of six banks from Iraq Stock Exchange (ISE) over period 1st Jan 2015 to 31 Dec 2017. The paper employed both symmetric and asymmetric models of different properties of the Generalized Autoregressive Conditional Heteroscedastic (GARCH). Findings obtained by study could not give proof of presence of a positive risk premium in marketplace. Furthermore, asymmetric model of Exponential Generalized Autoregressive Conditional Heteroscedastic (EGARCH) showed asymmetry in stock returns which refers to occurrence of power impact in takings sequences. However, results indicated that good news is more destabilizing than bad news in ISE.
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