Dynamic correlation between exchange rate and the listed industries stock index during the currency crises: The Implications for Optimal Portfolio Construction
Publish place: Iranian Journal of Finance، Vol: 5، Issue: 4
Publish Year: 1400
نوع سند: مقاله ژورنالی
زبان: English
View: 179
This Paper With 27 Page And PDF Format Ready To Download
- Certificate
- من نویسنده این مقاله هستم
استخراج به نرم افزارهای پژوهشی:
شناسه ملی سند علمی:
JR_IJFIFSA-5-4_002
تاریخ نمایه سازی: 24 فروردین 1401
Abstract:
In this study, we examine the correlation between stock returns of Export-oriented (EOIs) and Import-oriented (IOIs) industries and exchange rates, to derive stock-exchange optimal weights, attempting to manage the risk of investors in the capital market. To do so, the ADCC and DCC models are used. The data consists of the stock return of the listed industries, and the daily exchange rate from ۲۰۰۸ to ۲۰۲۰. The results suggest that EOIs have a dynamic asymmetric conditional correlation, and IOIs have a dynamic symmetric conditional correlation with the exchange rate. Moreover, the results indicate that in both currency crises, the weight of optimal portfolio in all industries except pharmaceuticals, in non-crisis period is over ۵۰% and in the crisis period is less than ۵۰%. Accordingly, and to reduce the risk of the portfolio, in the non-crisis period, investors should invest more than half of a one-Rial portfolio to dollar exchange, and in the crisis period, they should allocate less than half of a one-Rial portfolio to this currency. In case of the currency crisis, it is suggested that investors invest in the stock of basic metals, because this industry is a pioneer in attracting currency crisis and increasing stock value of the industry through future cash flow and replacement value, and reduce the stock of pharmaceuticals and computers in their portfolio, due to attracting negative effects of the exchange market.
Keywords:
Authors
Maryam Bazraei
PhD Candidate in Islamic Economy, Department of Economics, Firoozkooh Branch, Islamic Azad University, Firoozkooh, Iran.
Salleh Ghavidel
Department of Economics, Firoozkooh Branch, Islamic Azad University, Firoozkooh, Iran.
Ghodratollah Emamverdi
Assistant Prof., Department of Economics, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
Mahmoud Mahmoudzadeh
Department of Economics, Firoozkooh Branch, Islamic Azad University, Firoozkooh, Iran.
مراجع و منابع این Paper:
لیست زیر مراجع و منابع استفاده شده در این Paper را نمایش می دهد. این مراجع به صورت کاملا ماشینی و بر اساس هوش مصنوعی استخراج شده اند و لذا ممکن است دارای اشکالاتی باشند که به مرور زمان دقت استخراج این محتوا افزایش می یابد. مراجعی که مقالات مربوط به آنها در سیویلیکا نمایه شده و پیدا شده اند، به خود Paper لینک شده اند :