Does Diversification Reduce risk in Tehran Stock Market when it is Volatile?

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KESHAVARZ HADDAD GHOLAMREZA; MOHAMMADI ELHAM

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Journal: Journal of Economic Research Year:2016 | Volume:51 | Issue:2 Page(s): 493-515

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Title

Does Diversification Reduce risk in Tehran Stock Market when it is Volatile?

Author(s)

KESHAVARZ HADDAD GHOLAMREZA | MOHAMMADI ELHAM | Issue Writer Certificate

Keywords

highly volatile stock marketQ1

conditional correlationQ1

conditional CAPMQ1

bull and bear marketQ1

Abstract

Empirical researches have shown that in highly volatile market, conditional correlation between returns is stronger, so diversification cannot reduce risk. To test this claim in Iran’ s financial market, quintiles of stock return distribution have been estimated by Kernel density and GARCH models. Then, average conditional correlation, error variance and conditional CAPM has been calculated to test the reducing of Non-systematic and systematic risk. Results show that average correlation in the upper tail is not significantly different from the middle one and the average of error variances and the portfolio beta are very unstable and can be much higher in the lower tail and middle than those in the upper tail of the distribution.

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APA: Copy

KESHAVARZ HADDAD, GHOLAMREZA, & MOHAMMADI, ELHAM. (2016). Does Diversification Reduce risk in Tehran Stock Market when it is Volatile?. TAHGHIGHAT-E-EGHTESADI, 51(2 ), 493-515. SID. https://sid.ir/paper/11959/en

Vancouver: Copy

KESHAVARZ HADDAD GHOLAMREZA, MOHAMMADI ELHAM. Does Diversification Reduce risk in Tehran Stock Market when it is Volatile?. TAHGHIGHAT-E-EGHTESADI[Internet]. 2016;51(2 ):493-515. Available from: https://sid.ir/paper/11959/en

IEEE: Copy

GHOLAMREZA KESHAVARZ HADDAD, and ELHAM MOHAMMADI, “Does Diversification Reduce risk in Tehran Stock Market when it is Volatile?,” TAHGHIGHAT-E-EGHTESADI, vol. 51, no. 2 , pp. 493–515, 2016, [Online]. Available: https://sid.ir/paper/11959/en

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