Study of Correlation between Volatility of Stock, Exchange and Gold Coin Markets in Iran with DCC-GARCH Model
Abstract The aim of this paper is to investigate the behavior of stock, exchange and gold coin markets and their correlations structure by using the DCC-GARCH model and the daily data for the period from 23 July 2011 to 22 September 2013 in Iran. Results show that there is a high correlation between...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2014-03-01
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| Series: | Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī |
| Subjects: | |
| Online Access: | https://joer.atu.ac.ir/article_145_673887e2189d249a89b65f10c1a46ff3.pdf |
| _version_ | 1797375648984989696 |
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| author | Firouz Fallahi Jafar Hghighat Naser Sanoubar Khalil Jahangiri |
| author_facet | Firouz Fallahi Jafar Hghighat Naser Sanoubar Khalil Jahangiri |
| author_sort | Firouz Fallahi |
| collection | DOAJ |
| description | Abstract The aim of this paper is to investigate the behavior of stock, exchange and gold coin markets and their correlations structure by using the DCC-GARCH model and the daily data for the period from 23 July 2011 to 22 September 2013 in Iran. Results show that there is a high correlation between returns of Exchange rate and gold coin. But the correlation between returns of stock market index and Exchange rate or gold coin is low. Policy implications on portfolio strategies under DCC model results are also discussed. |
| first_indexed | 2024-03-08T19:27:28Z |
| format | Article |
| id | doaj.art-563a32e1427249ff9abbe6b9497d9cc8 |
| institution | Directory Open Access Journal |
| issn | 1735-210X 2476-6453 |
| language | fas |
| last_indexed | 2024-03-08T19:27:28Z |
| publishDate | 2014-03-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī |
| spelling | doaj.art-563a32e1427249ff9abbe6b9497d9cc82023-12-26T07:58:28ZfasAllameh Tabataba'i University PressFaslnāmah-i Pizhūhish/Nāmah-i Iqtisādī1735-210X2476-64532014-03-011452147123145Study of Correlation between Volatility of Stock, Exchange and Gold Coin Markets in Iran with DCC-GARCH ModelFirouz Fallahi0Jafar Hghighat1Naser Sanoubar2Khalil Jahangiri3دانشیار گروه اقتصاد دانشگاه تبریزاستاد گروه اقتصاد دانشگاه تبریزدانشیار گروه مدیریت دانشگاه تبریزدانشجوی دوره دکترای علوم اقتصادی دانشگاه تبریزAbstract The aim of this paper is to investigate the behavior of stock, exchange and gold coin markets and their correlations structure by using the DCC-GARCH model and the daily data for the period from 23 July 2011 to 22 September 2013 in Iran. Results show that there is a high correlation between returns of Exchange rate and gold coin. But the correlation between returns of stock market index and Exchange rate or gold coin is low. Policy implications on portfolio strategies under DCC model results are also discussed.https://joer.atu.ac.ir/article_145_673887e2189d249a89b65f10c1a46ff3.pdfdynamic correlationstock marketexchange rategold coinoptimal portfolio |
| spellingShingle | Firouz Fallahi Jafar Hghighat Naser Sanoubar Khalil Jahangiri Study of Correlation between Volatility of Stock, Exchange and Gold Coin Markets in Iran with DCC-GARCH Model Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī dynamic correlation stock market exchange rate gold coin optimal portfolio |
| title | Study of Correlation between Volatility of Stock, Exchange and Gold Coin Markets in Iran with
DCC-GARCH Model |
| title_full | Study of Correlation between Volatility of Stock, Exchange and Gold Coin Markets in Iran with
DCC-GARCH Model |
| title_fullStr | Study of Correlation between Volatility of Stock, Exchange and Gold Coin Markets in Iran with
DCC-GARCH Model |
| title_full_unstemmed | Study of Correlation between Volatility of Stock, Exchange and Gold Coin Markets in Iran with
DCC-GARCH Model |
| title_short | Study of Correlation between Volatility of Stock, Exchange and Gold Coin Markets in Iran with
DCC-GARCH Model |
| title_sort | study of correlation between volatility of stock exchange and gold coin markets in iran with dcc garch model |
| topic | dynamic correlation stock market exchange rate gold coin optimal portfolio |
| url | https://joer.atu.ac.ir/article_145_673887e2189d249a89b65f10c1a46ff3.pdf |
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