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

Document Type : Research Paper

Authors

1 Assistant Professor, Department of Economics, Faculty of Economic and Administrative Sciences, University of Qom, Qom, Iran.

2 PhD in Economics, Faculty of Administrative and Economic Sciences, Ferdowsi University, Mashhad, Iran

3 PhD Student in Economics, Faculty of Economics and Social Sciences, Shahid Chamran University, Ahvaz, Iran

10.22051/jfm.2024.43995.2830

Abstract

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.

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References

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History

  • Receive Date: 06 June 2023
  • Revise Date: 21 July 2023
  • Accept Date: 16 November 2023

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