The Design of Relationship Model between (IRAN) Economic Markets Return and Capital Market Return Exploiting Comonotonicity in Probability Theory
This paper investigates the design of an efficient model so as to anticipate the basic economic market rate of returns. To do so, accepting the relationships, interactions and effectiveness of these markets and exploiting Comonotonic Functions under Probability Function Framework as well as using we...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Iran Finance Association
2019-07-01
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| Series: | Iranian Journal of Finance |
| Subjects: | |
| Online Access: | https://www.ijfifsa.ir/article_107054_f141f5e13402c1fd5b1f38abe9a130bd.pdf |
| _version_ | 1811322398514872320 |
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| author | Mohammad Esmaeil Fadaeinezad Hamid Banaeian |
| author_facet | Mohammad Esmaeil Fadaeinezad Hamid Banaeian |
| author_sort | Mohammad Esmaeil Fadaeinezad |
| collection | DOAJ |
| description | This paper investigates the design of an efficient model so as to anticipate the basic economic market rate of returns. To do so, accepting the relationships, interactions and effectiveness of these markets and exploiting Comonotonic Functions under Probability Function Framework as well as using weekly data for ten years’ period of time(2008-2017) in Iran’s economy we design optimum model and test its capability and estimation power. The results illustrate the efficiency of the achieved model. Furthermore, taking the practical nature of this paper into account, we come up with optimum lag of time and the period of time required to achieve equilibrium in any market and the entire economy as a prototype in the frame of Stock Exchange. |
| first_indexed | 2024-04-13T13:35:41Z |
| format | Article |
| id | doaj.art-39b3debe52ea40b0baf4e4808b8c2671 |
| institution | Directory Open Access Journal |
| issn | 2676-6337 2676-6345 |
| language | English |
| last_indexed | 2024-04-13T13:35:41Z |
| publishDate | 2019-07-01 |
| publisher | Iran Finance Association |
| record_format | Article |
| series | Iranian Journal of Finance |
| spelling | doaj.art-39b3debe52ea40b0baf4e4808b8c26712022-12-22T02:44:48ZengIran Finance AssociationIranian Journal of Finance2676-63372676-63452019-07-01338910610.22034/ijf.2020.214153.1101107054The Design of Relationship Model between (IRAN) Economic Markets Return and Capital Market Return Exploiting Comonotonicity in Probability TheoryMohammad Esmaeil Fadaeinezad0Hamid Banaeian1Prof., Department of Financial Management, Faculty of Management and Accounting, University Of Shahid Beheshti, Tehran, Iran.PhD, Department of Financial Management, Faculty of Management, University of Tehran, Tehran, Iran.This paper investigates the design of an efficient model so as to anticipate the basic economic market rate of returns. To do so, accepting the relationships, interactions and effectiveness of these markets and exploiting Comonotonic Functions under Probability Function Framework as well as using weekly data for ten years’ period of time(2008-2017) in Iran’s economy we design optimum model and test its capability and estimation power. The results illustrate the efficiency of the achieved model. Furthermore, taking the practical nature of this paper into account, we come up with optimum lag of time and the period of time required to achieve equilibrium in any market and the entire economy as a prototype in the frame of Stock Exchange.https://www.ijfifsa.ir/article_107054_f141f5e13402c1fd5b1f38abe9a130bd.pdfbehavioral financeeconomic equilibriumscomonotonicrate of returnsystematic risk |
| spellingShingle | Mohammad Esmaeil Fadaeinezad Hamid Banaeian The Design of Relationship Model between (IRAN) Economic Markets Return and Capital Market Return Exploiting Comonotonicity in Probability Theory Iranian Journal of Finance behavioral finance economic equilibriums comonotonic rate of return systematic risk |
| title | The Design of Relationship Model between (IRAN) Economic Markets Return and Capital Market Return Exploiting Comonotonicity in Probability Theory |
| title_full | The Design of Relationship Model between (IRAN) Economic Markets Return and Capital Market Return Exploiting Comonotonicity in Probability Theory |
| title_fullStr | The Design of Relationship Model between (IRAN) Economic Markets Return and Capital Market Return Exploiting Comonotonicity in Probability Theory |
| title_full_unstemmed | The Design of Relationship Model between (IRAN) Economic Markets Return and Capital Market Return Exploiting Comonotonicity in Probability Theory |
| title_short | The Design of Relationship Model between (IRAN) Economic Markets Return and Capital Market Return Exploiting Comonotonicity in Probability Theory |
| title_sort | design of relationship model between iran economic markets return and capital market return exploiting comonotonicity in probability theory |
| topic | behavioral finance economic equilibriums comonotonic rate of return systematic risk |
| url | https://www.ijfifsa.ir/article_107054_f141f5e13402c1fd5b1f38abe9a130bd.pdf |
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