Investigation of Dynamic Conditional Correlation between Selected Assets with Iran’s Return of Stock Price Index: DCC- FIAPARCH Approach

Leila Argha (), Mohammad Mowlaei () and Mohsen Khezri ()
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Leila Argha: Ph.D Graduate, Department of Economics, Bu-Ali Sina University, Iran
Mohammad Mowlaei: Associate Professor, Department of Economics, Bu-Ali Sina University, Iran, Corresponding Author
Mohsen Khezri: Assistant Professor, Department of Economics, Bu-Ali Sina University, Iran

Quarterly Journal of Applied Theories of Economics, 2020, vol. 6, issue 4, 251-274

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

Keywords: Dynamic Conditional Correlation; Stock Price Index; Financial Markets; Investment Stock Portfolio (search for similar items in EconPapers)
JEL-codes: C32 G11 G15 Q40 (search for similar items in EconPapers)
Date: 2020
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