DYNAMIC SURVEY OF THE RELATIONSHIP BETWEEN GOLD AND CRUDE OIL’S PRICE UNCERTAINTY WITH BANKS STOCK INDEX -METHOD OF STATE SPACE

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EYVAZLU REZA; BAJALAN SAEED; CHAHARRAHI MOSTAFA

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Title

DYNAMIC SURVEY OF THE RELATIONSHIP BETWEEN GOLD AND CRUDE OIL’S PRICE UNCERTAINTY WITH BANKS STOCK INDEX -METHOD OF STATE SPACE

Author(s)

EYVAZLU REZA | BAJALAN SAEED | CHAHARRAHI MOSTAFA | Issue Writer Certificate

Keywords

KALMAN FILTER ALGORITHMQ1

STATE SPACE MODELQ1

VARMA MODELQ1

Abstract

The study of dynamics and relations between markets has been one of the research subjects. This paper use state space in vector autoregressive moving average model (VARMA) to investigate the effect of gold and crude oil’s price uncertainty on stock returns of the bank. In space-state equation system, the state variable is estimated by the Kalman filter and the specified parameters of the model by the maximum likelihood method. The results showed that gold and crude oil’s price uncertainty has a negative and significant effect on stock returns of the bank and the gold price uncertainty has a major effect on the stock returns of the bank. And furthermore, crude oil’s price uncertainty has a positive and significant effect on gold price uncertainty. In this research, daily OPEC crude oil prices, gold price (Bahar Azadi Coin- Old design) and banks stock index during the period 1390 to 1396-Shahrivar were used.

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APA: Copy

EYVAZLU, REZA, BAJALAN, SAEED, & CHAHARRAHI, MOSTAFA. (2018). DYNAMIC SURVEY OF THE RELATIONSHIP BETWEEN GOLD AND CRUDE OIL’S PRICE UNCERTAINTY WITH BANKS STOCK INDEX -METHOD OF STATE SPACE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 9(36 ), 31-49. SID. https://sid.ir/paper/197533/en

Vancouver: Copy

EYVAZLU REZA, BAJALAN SAEED, CHAHARRAHI MOSTAFA. DYNAMIC SURVEY OF THE RELATIONSHIP BETWEEN GOLD AND CRUDE OIL’S PRICE UNCERTAINTY WITH BANKS STOCK INDEX -METHOD OF STATE SPACE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2018;9(36 ):31-49. Available from: https://sid.ir/paper/197533/en

IEEE: Copy

REZA EYVAZLU, SAEED BAJALAN, and MOSTAFA CHAHARRAHI, “DYNAMIC SURVEY OF THE RELATIONSHIP BETWEEN GOLD AND CRUDE OIL’S PRICE UNCERTAINTY WITH BANKS STOCK INDEX -METHOD OF STATE SPACE,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 9, no. 36 , pp. 31–49, 2018, [Online]. Available: https://sid.ir/paper/197533/en

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