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Investigation of Dynamic Conditional Correlation between Selected Assets with Iran’s Return of Stock Price Index: DCC- FIAPARCH Approach

Author

Listed:
  • Argha, Leila

    (Ph.D Graduate, Department of Economics, Bu-Ali Sina University, Iran)

  • Mowlaei, Mohammad

    (Associate Professor, Department of Economics, Bu-Ali Sina University, Iran, Corresponding Author)

  • Khezri, Mohsen

    (Assistant Professor, Department of Economics, Bu-Ali Sina University, Iran)

Abstract

One of the features of a financial market, the stock market in particular, is its affectability from other financial and nonfinancial markets. So, perceiving the relationship between the stock return and other markets can be helpful for investors to create an optimal portfolio. The present study is aimed at investigating the dynamic conditional correlation (DCC) between the returns on the domestic and foreign markets in monthly data (oil , gold, industry, exchange rate, and base metals including total metals, copper, steel) and returns on the stock price index in Iran over the period March 2001- to April 2017 using the DCC-FIAPARCH approach.The results of paper indicate a statistically significant and positive DCC coefficient between the metals, industrial products and copper returns with stock returns. As a results,it is not possible to put each of these assets with the stock in an identical situation (purchase or sale), but instead they should be always in the opposed situations for the purpose of risk control

Suggested Citation

  • Argha, Leila & Mowlaei, Mohammad & Khezri, Mohsen, 2020. "Investigation of Dynamic Conditional Correlation between Selected Assets with Iran’s Return of Stock Price Index: DCC- FIAPARCH Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 6(4), pages 251-274, February.
    • Handle: RePEc:ris:qjatoe:0170
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    More about this item

    Keywords

    Dynamic Conditional Correlation; Stock Price Index; Financial Markets; Investment Stock Portfolio;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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