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Tail Risk Transmission: A Study of the Iran Food Industry

Author

Listed:
  • Fatemeh Mojtahedi

    (Department of Agricultural Economics, Sari Agricultural Sciences and Natural Resources University, Km 9 Farah Abad Road, P.O. Box 576, Sari 48181 6898, Mazandaran Province, Iran)

  • Seyed Mojtaba Mojaverian

    (Department of Agricultural Economics, Sari Agricultural Sciences and Natural Resources University, Km 9 Farah Abad Road, P.O. Box 576, Sari 48181 6898, Mazandaran Province, Iran)

  • Daniel F. Ahelegbey

    (Department of Economics and Management, University of Pavia, Via San Felice 7, 27100 Pavia, Italy)

  • Paolo Giudici

    (Department of Economics and Management, University of Pavia, Via San Felice 7, 27100 Pavia, Italy)

Abstract

This paper extends the extreme downside correlation (EDC) and extreme downside hedge (EDH) methodology to model the interdependence in the sensitivity of assets to the downside risk of other financial assets under severe firm-level and market conditions. The model is applied to analyze both systematic and systemic exposures in the Iranian Food Industry. The empirical application investigates (1) which company is the safest for investors to diversify their investment, and (2) which companies are the “transmitters” and “receivers” of downside risk. We study the return series of 11 companies and the Food Industry index publicly listed on the Tehran Stock Exchange. The data covers daily close prices from 2015–2020. The result shows that Mahram Manufacturing is the safest to hedge equity risk, and Glucosan and Behshahr Industries are the riskiest, while Gorji Biscuit is central to risk transmission, and Pegah Fars Diary is the main “receiver” of risk in turbulent times.

Suggested Citation

  • Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel F. Ahelegbey & Paolo Giudici, 2020. "Tail Risk Transmission: A Study of the Iran Food Industry," Risks, MDPI, vol. 8(3), pages 1-17, July.
    • Handle: RePEc:gam:jrisks:v:8:y:2020:i:3:p:78-:d:387092
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    References listed on IDEAS

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    Cited by:

    1. Daniel Felix Ahelegbey, 2022. "Statistical Modelling of Downside Risk Spillovers," FinTech, MDPI, vol. 1(2), pages 1-10, April.

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    More about this item

    Keywords

    food industry; extreme downside hedge; extreme downside correlation; systematic risk; systemic risk;
    All these keywords.

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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