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بررسی ارتباط بین گروه بانکها، خودرو، سیمان، فلزات اساسی و فرآورده های نفتی در بورس اوراق بهادار تهران به تفکیک شرایط با بازدهی مثبت و منفی با استفاده از الگوی Asymmetric TVP-VAR
[Investigating The Relationship Between Bank, Automotive, Cement, Base Metals, And Petroleum Products in Tehran Stock Exchange in Positive and Negative Return by Asymmetric TVP-VAR]

Author

Listed:
  • Omidi, Vahid
  • Roudari, Soheil
  • Jamshidi, Amir

Abstract

The interplay between various industrial groups plays a crucial role in determining the optimal investment portfolio for investors. Identifying which group carries or accepts risk within a specific time period and performance range allows for necessary adjustments in the investor's portfolio to achieve maximum returns. In this regard, the present study examines the impact of banking, automotive, cement, basic metals, and petroleum products groups on a symmetric, positive, and negative performance basis from January 5, 2015, to February 17, 2023. The results of the study indicate that in recent years, the overall index of these mentioned groups has shown more negative performance than positive performance. Moreover, banks and basic metals have acted as guiding and risk-transferring entities to other groups. On the other hand, the automotive and petroleum products groups have been risk-accepting, and their performance can be explained by the two groups of banks and basic metals.

Suggested Citation

  • Omidi, Vahid & Roudari, Soheil & Jamshidi, Amir, 2023. "بررسی ارتباط بین گروه بانکها، خودرو، سیمان، فلزات اساسی و فرآورده های نفتی در بورس اوراق بهادار تهران به تفکیک شرایط با بازدهی مثبت و منفی با استفاده از الگوی Asymmetric TVP-VAR [Investigating The ," MPRA Paper 127027, University Library of Munich, Germany, revised 16 Nov 2023.
    • Handle: RePEc:pra:mprapa:127027
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    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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