Investigating Impact of the Selected Domestic and Foreign Assets Returns on Stock Price Index Returns in Iran: An Approach from DCC-FIAPARCH Model

Document Type : Research Paper

Authors

1 Ph.D Candidate in Economics, Department of Economics, Bu-Ali Sina University, Hamedan, Iran

2 Associate Professor of Economics, Bu-Ali Sina University, Hamedan, Iran

3 Assistant Professor of Economics, Bu-Ali Sina University‌, Hamedan, Iran

Abstract

One of the features of a financial market, the stock market in particular, is its affectability from other financial and nonfinancial markets. So, perceiving the relationship between the stock return and other markets can be helpful for investors to create an optimal portfolio. The present study is aimed at investigating the dynamic conditional correlation (DCC) between the returns on the domestic and foreign markets in monthly data (oil , gold, industry, exchange rate, and base metals including total metals, copper, steel) and returns on the stock price index in Iran over the period March 2001- to April 2017 using the DCC-FIAPARCH approach.The results of paper indicate a statistically significant and positive DCC coefficient between the metals, industrial products and copper returns with stock returns. As a results,it is not possible to put each of these assets with the stock in an identical situation (purchase or sale), but instead they should be always in the opposed situations for the purpose of risk control.

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Quarterly Journal of Applied Theories of Economics
Volume 6, Issue 4 - Serial Number 23
February 2020
Pages 251-274

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