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Investigation of Convergence of Returns in Asset Markets in Iran

Author

Listed:
  • Pourebadollahan Covich, Mohsen

    () (Associate Professor of Economics, University of Tabriz)

  • Asgharpur, Hossein

    () (Associate Professor of Economics, University of Tabriz)

  • Masoomzadeh, Sara

    () (MA in Economics, University of Tabriz)

Abstract

Due to the nature of the assets in Iran, markets such as exchange rate, gold, housing and stock are options facing investors as asset portfolio, although each of them has different returns. Usually, investors are looking for higher returns and focus of investors on markets with higher returns may reduce returns of this kind of markets in the long run. This can be named as returns convergence of different asset markets. This study aims to also examine the returns convergence of dollar, euro, coins, housing and stock markets in Iran over the period 2002:05-2016:02, using Nahar and Inder method and convergence Measurement of each market`s returns to the average returns of them. Based on the results, the returns convergence of housing market was not significantly meaningful. Also, there was no evidence of convergence in the returns of other studied markets.

Suggested Citation

  • Pourebadollahan Covich, Mohsen & Asgharpur, Hossein & Masoomzadeh, Sara, 2016. "Investigation of Convergence of Returns in Asset Markets in Iran," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 3(3), pages 115-132, November.
  • Handle: RePEc:ris:qjatoe:0053
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    More about this item

    Keywords

    Convergence; Returns; Asset markets; Nahar and Inder method; Iran.;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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