Dynamics of Optimal Hedge Ratio in Stock and Gold Markets: VAR-DCC-GARCH Approach

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HATAMI AMIN; MOHAMADI TEYMOUR; KHODADAD KASHI FARHAD; ABOLHASANI HASTIYANI ASGHAR

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Journal: Financial Economics Year:2019 | Volume:12 | Issue:45 Page(s): 73-92

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Title

Dynamics of Optimal Hedge Ratio in Stock and Gold Markets: VAR-DCC-GARCH Approach

Author(s)

HATAMI AMIN | MOHAMADI TEYMOUR | KHODADAD KASHI FARHAD | ABOLHASANI HASTIYANI ASGHAR | Issue Writer Certificate

Keywords

Optimal Hedge RatioQ1

Optimal Portfolio WeightsQ1

Abstract

This study has attempted to calculate the Optimal Hedge Ratio for investment in the stock market by investing in the gold market, with VAR-DCC-GARCH approach. To calculate this ratio, we used the daily price of gold coins and the price index of Tehran stock market during the period of April 2, 2009 to March 18, 2017 in Iran. The results obtained from the optimal dynamics hedge ratio showed that this ratio has increased during the period from 2009 to 2013, and decreased during the period from 2013 to 2016, and a change in the regime has observed during the whole period. Optimality, dictates that investors should invest in gold market and consider gold as an item together with stock assets in their portfolio in order to cover the risk of investing in the stock market.

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APA: Copy

HATAMI, AMIN, MOHAMADI, TEYMOUR, KHODADAD KASHI, FARHAD, & ABOLHASANI HASTIYANI, ASGHAR. (2019). Dynamics of Optimal Hedge Ratio in Stock and Gold Markets: VAR-DCC-GARCH Approach. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 12(45 ), 73-92. SID. https://sid.ir/paper/229102/en

Vancouver: Copy

HATAMI AMIN, MOHAMADI TEYMOUR, KHODADAD KASHI FARHAD, ABOLHASANI HASTIYANI ASGHAR. Dynamics of Optimal Hedge Ratio in Stock and Gold Markets: VAR-DCC-GARCH Approach. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2019;12(45 ):73-92. Available from: https://sid.ir/paper/229102/en

IEEE: Copy

AMIN HATAMI, TEYMOUR MOHAMADI, FARHAD KHODADAD KASHI, and ASGHAR ABOLHASANI HASTIYANI, “Dynamics of Optimal Hedge Ratio in Stock and Gold Markets: VAR-DCC-GARCH Approach,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 12, no. 45 , pp. 73–92, 2019, [Online]. Available: https://sid.ir/paper/229102/en

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