The Relationship between Risk and Return on Financial Assets (The Panel Vector Auto-Regression and Panel Cointegration Ap-proaches)
Publish Year: 1401
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_AMFA-7-3_010
تاریخ نمایه سازی: 21 خرداد 1401
Abstract:
In this study, considering the necessity and importance of the relationship between risk and return on investment, some explanations were presented about the relationship between risk and return on the asset portfolio including gold, exchange and stocks during the period ۲۰۰۱: ۱ - ۲۰۱۸: ۳ using panel vector auto-regression (PVAR) method and Kao and Pedroni panel cointegration approach and pooled mean group (PMG) method and Engel-Granger time series methods. The software used in this study involves EVIEWS ۱۰ and STATA۱۵. In this study, multivariate GARCH (M-GARCH) approach (BEKK) was used to extract portfolio risk. The results showed a positive relationship between risk and return based on PVAR approach. And also, given the beta coefficient of the CAPM equation, gold was the best inflation cover during the period under study, with a slight difference from the exchange rate.
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Authors
Sorena Morovat
Department of Economics, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran
Afshin Baghfalaki
Department of Economics, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran
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