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
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...
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| Format: | Article |
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Alzahra University
2024-03-01
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| Series: | راهبرد مدیریت مالی |
| Subjects: | |
| Online Access: | https://jfm.alzahra.ac.ir/article_7642_9c1734efc8af9075b94e4ebff9ead202.pdf |
| _version_ | 1797220187367276544 |
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| author | Vahid Omidi Soheil Roudari Amir Jamshidi |
| author_facet | Vahid Omidi Soheil Roudari Amir Jamshidi |
| author_sort | Vahid Omidi |
| collection | DOAJ |
| description | 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.Keywords: Asymmetric TVP-VAR, Portfolio, Return, Base Metals, Bank, Tehran Stock Exchange.JEL Classification: G01, G11, G17, G32. |
| first_indexed | 2024-04-24T12:45:33Z |
| format | Article |
| id | doaj.art-2dee3c906e7c45f7b2a26b920cbd633f |
| institution | Directory Open Access Journal |
| issn | 2345-3214 2538-1962 |
| language | fas |
| last_indexed | 2024-04-24T12:45:33Z |
| publishDate | 2024-03-01 |
| publisher | Alzahra University |
| record_format | Article |
| series | راهبرد مدیریت مالی |
| spelling | doaj.art-2dee3c906e7c45f7b2a26b920cbd633f2024-04-07T05:30:52ZfasAlzahra Universityراهبرد مدیریت مالی2345-32142538-19622024-03-01121698610.22051/jfm.2024.43995.28307642Investigating The Relationship Between Bank, Automotive, Cement, Base Metals, And Petroleum Products in Tehran Stock Exchange in Positive and Negative Return by Asymmetric TVP-VARVahid Omidi0Soheil Roudari1Amir Jamshidi2Assistant Professor, Department of Economics, Faculty of Economic and Administrative Sciences, University of Qom, Qom, Iran.PhD in Economics, Faculty of Administrative and Economic Sciences, Ferdowsi University, Mashhad, IranPhD Student in Economics, Faculty of Economics and Social Sciences, Shahid Chamran University, Ahvaz, IranThe 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.Keywords: Asymmetric TVP-VAR, Portfolio, Return, Base Metals, Bank, Tehran Stock Exchange.JEL Classification: G01, G11, G17, G32.https://jfm.alzahra.ac.ir/article_7642_9c1734efc8af9075b94e4ebff9ead202.pdfasymmetric tvp-varportfolioreturntehran stock exchange |
| spellingShingle | Vahid Omidi Soheil Roudari Amir Jamshidi 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 راهبرد مدیریت مالی asymmetric tvp-var portfolio return tehran stock exchange |
| title | 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 |
| title_full | 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 |
| title_fullStr | 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 |
| title_full_unstemmed | 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 |
| title_short | 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 |
| title_sort | 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 |
| topic | asymmetric tvp-var portfolio return tehran stock exchange |
| url | https://jfm.alzahra.ac.ir/article_7642_9c1734efc8af9075b94e4ebff9ead202.pdf |
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