نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشجوی دکتری اقتصاد توسعه دانشگاه بوعلی سینا، همدان
2 دانشیار گروه اقتصاد دانشکده اقتصاد دانشگاه بوعلی سینا، همدان.
3 استاد گروه اقتصاد دانشکده علوم اجتماعی و اقتصادی دانشگاه الزهرا، تهران
4 استادیار گروه اقتصاد دانشکده اقتصاد دانشگاه بوعلی سینا همدان
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
One of the features of a financial market, the stock market in particular, is its affectability from other financial and non-financial markets. regarding the importance of this issue, the present study aimed at investigating the dynamic conditional correlation (DCC) between the returns on the domestic and foreign assets in monthly data (oil, industry, exchange and base metals including total, copper, steel) and returns on the stock price index in Iran during March 2001 to April 2017 using the DCC-FIAPARCH approach. The obtained results indicated a statistically significant and positive DCC coefficient difference between the metals, industrial products, and copper returns with the stocks returns. Consequently, it is not possible to put each of these assets with the stocks in an identical situation (purchase or sale), but instead they should be always placed in opposite situations for the purpose of risk control. However, with regard to other assets, the DCC was not significant; accordingly, the assets can be placed in the investment portfolio together with the stocks although the presence of such assets in the given portfolio did not help to reduce the portfolio risk.
کلیدواژهها [English]