بررسی ارتباط بین گروه بانکها، خودرو، سیمان، فلزات اساسی و فرآورده های نفتی در بورس اوراق بهادار تهران به تفکیک شرایط با بازدهی مثبت و منفی با استفاده از الگوی Asymmetric TVP-VAR

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

Vahid Omidi, Soheil Roudari and Amir Jamshidi

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Asymmetric TVP-VAR; Portfolio; Return; Base Metals; Bank; Tehran Stock Exchange (search for similar items in EconPapers)
JEL-codes: G01 G11 G17 G32 (search for similar items in EconPapers)
Date: 2023-06-06, Revised 2023-11-16
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Published in Journal of Financial Management Strategy 44.12(2024): pp. 69-86

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