Dynamic Correlation Structure; Securities Risk and Return

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

DAVALLOU MARYAM; Khosravi Marzieh

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2019 | Volume:7 | Issue:3 (26) Page(s): 1-26

Download Full-Text

Persian Verion

View:

772

Download:

Cites:

Information Journal Paper

Title

Dynamic Correlation Structure; Securities Risk and Return

Author(s)

DAVALLOU MARYAM | Khosravi Marzieh | Issue Writer Certificate

Keywords

Dynamic correlation Securities risk Correlation risk Market risk factorsQ1

Abstract

Objective: Modelling dynamic nature of covariance of assets return almost always is a challenging area of finance. Econometrics models just pay attention to variance behavior longitudinally, however, core of numerous finance models need the analysis of the total covariance structure of returns. Method: Among the first models that analyze covariance behavior are multivariate GARCH models which were criticized for the need to estimate a large number of parameters. This paper is aimed to investigate the effect of stock return dynamic correlation structure on systematic risk, idiosyncratic risk and average stock return. To this end, a sample of 148 listed companies in Tehran Stock Exchange is examined during 2003 to 2014. GARCH framework is used for testing this claim. Results: According to the results, securities that were highly correlated with market wide risk factors in the past are likely to have low systematic risk, idiosyncratic risk and average return at present. It can be expected there is significant relationship between idiosyncrstic risk and correlation for lower turnover stock (information transparency proxy) although there is no relationship for smaller firms.

Cites

No record.

References

No record.

Cite

APA: Copy

DAVALLOU, MARYAM, & Khosravi, Marzieh. (2019). Dynamic Correlation Structure; Securities Risk and Return. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 7(3 (26) ), 1-26. SID. https://sid.ir/paper/245573/en

Vancouver: Copy

DAVALLOU MARYAM, Khosravi Marzieh. Dynamic Correlation Structure; Securities Risk and Return. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2019;7(3 (26) ):1-26. Available from: https://sid.ir/paper/245573/en

IEEE: Copy

MARYAM DAVALLOU, and Marzieh Khosravi, “Dynamic Correlation Structure; Securities Risk and Return,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 7, no. 3 (26) , pp. 1–26, 2019, [Online]. Available: https://sid.ir/paper/245573/en

Related Journal Papers