The relationship between the selected industries index of Iran Stock Exchange in a quantile time: Investigation of high, low and medium efficiency states (TVP-Quantile VAR approach)

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Shirafkan Lemso Mehdi; Izadi Hamidreza; sistani badooei Yaser

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ISSN: 2588-4824

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Journal: Financial Economics Year:2023 | Volume: | Issue: Page(s): 121-152

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Title

The relationship between the selected industries index of Iran Stock Exchange in a quantile time: Investigation of high, low and medium efficiency states (TVP-Quantile VAR approach)

Author(s)

Shirafkan Lemso Mehdi | Izadi Hamidreza | sistani badooei Yaser | Issue Writer Certificate

Keywords

Risk SpilloverQ4

Quantile communicationQ4

Risk ManagementQ4

TVP-Quantile VAR modelQ4

Abstract

Investors are always looking to analyze the relationship between different industries in order to improve investment portfolio management and Risk Management resulting from investment. Therefore, in the present study, The present Risk Spillover between the indicators of basic metals, automobiles, investments and banks in the period 21/08/1401-21/2018 has been investigated daily, using vector autoregressive model with variable parameters in quantile time (TVP-Quantile VAR). The results showed that the investment industry plays a major role in network analysis among the studied industries, which is more important in low and medium-sized returns. Also, based on the results, the effective and effectiveness of industries has varied according to the efficiency and also over time. Therefore, the use of approaches based on average observations cannot show the relationship between industries and assets. And depending on the efficiency of industries (limit and average conditions), the manner of effective and effectiveness as well as the causality of fluctuations can vary. This is not applicable in approaches based on average efficiency. Therefore, for better management of investment portfolio and hedging of investment portfolio risk If the limit and average conditions are analyzed, it can lead to better results for investors depending on the efficiency of industries regarding investment Risk Management.

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