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Title

Does Exchange Rate Non-Linear Movements Matter for Analyzing Investment Risk? Evidence from Investing in Iran’s Petrochemical Industry

Year: 1399
COI: JR_AMFA-5-1_002
Language: EnglishView: 106
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Authors

Alireza Khosrowzadeh - Department of Industrial Management- Financial, Kish International Branch, Islamic Azad University, Kish Island, Iran
Aboutorab Alirezaei - Department of Management, Kish International Branch, Islamic Azad University, Kish Island, Iran
Reza Tehrani - Department of Management, University of Tehran, Tehran, Iran
Gholamreza Hashemzadeh Khourasgani - Department of Management, Kish International Branch, Islamic Azad University, Kish Island, Iran

Abstract:

The present study models the risk of investment in the petrochemical industry considering the impacts of exchange rate (US dollar to Iran's Rial) movements using the time series data from November ۲۰۰۸ to March ۲۰۱۹ and ARFIMA-FIGARCH framework. The empirical results prove the existence of the Fractal Market Hypothesis, FMH, and the Long Memory property in both the risk and return of the petrochemical stock index. These findings can be culminated in reaching a reliable and significant model to evaluate the investment risk in the petrochemical industry. In line with this, to analyze the idea whether considering the exchange rate movements matter for assessing the risk management in the petrochemical industry, the effects of exchange rate movements as a crucial source of systematic risk in Iran has been taken into consideration in the process of modelling the risk of investment in that industry. Our results demonstrate that the exchange rate movements have had a direct and significant effect on the investment risk of that industry so that if, on average, one percent change occurs in the exchange rate, the investment risk in this industry changes by ۵۷% in the same direction.

Keywords:

Paper COI Code

This Paper COI Code is JR_AMFA-5-1_002. Also You can use the following address to link to this article. This link is permanent and is used as an article registration confirmation in the Civilica reference:

https://civilica.com/doc/1241312/

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Khosrowzadeh, Alireza and Alirezaei, Aboutorab and Tehrani, Reza and Hashemzadeh Khourasgani, Gholamreza,1399,Does Exchange Rate Non-Linear Movements Matter for Analyzing Investment Risk? Evidence from Investing in Iran’s Petrochemical Industry,https://civilica.com/doc/1241312

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Type of center: Azad University
Paper count: 1,271
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