The Investigating of Exchange Rate Volatility Impact on Stock Market Price Efficiency and Optimization of Investment Portfolio

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.

Hassani Ashban; Entezar Elnaz

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

Journal Paper

Paper Information

Journal: INVESTMENT KNOWLEDGE Year:2019 | Volume:8 | Issue:31 Page(s): 225-248

Download Full-Text

Persian Verion

View:

464

Download:

Cites:

Information Journal Paper

Title

The Investigating of Exchange Rate Volatility Impact on Stock Market Price Efficiency and Optimization of Investment Portfolio

Author(s)

Hassani Ashban | Entezar Elnaz | Issue Writer Certificate

Keywords

Markowitz investment theoryQ1

Variable-time conditional Variance-Covariance matrixQ1

MGARCH multivariate modelsQ1

Abstract

Current research; meanwhile investigation of relationship between market currency fluctuations and chemical product industries stock returns, study optimize investment portfolio consisting of selected industries. So; multivariate heterogeneous variance models (CDCC), were used in Variance-Covariance with variable-time condition for estimation daily data output and also stock-variable index was used for basic metals and chemical product industries share index daily data output estimation during 1387 Azar month to 1394 shahrivar month. Also, in order to study impulse response functions, selected shares to market currency rate shocks; Var model was applied. Then, investment portfolio optimization was done with minimization portfolio risk according to Markowitz portfolio theory. Optimal stock weights were specified during time. Results show significant relationship between exchange rate fluctuations and studied industries stock returns. Also stocks immediate and weak reactions to created shocks in exchange rate are strengths for most diverse and most optimal portfolio selection. In optimization results; more weight of investment portfolio during time relates to stocks which themselves output fluctuations have been declining over time.

Cites

No record.

References

No record.

Cite

APA: Copy

Hassani, Ashban, & Entezar, Elnaz. (2019). The Investigating of Exchange Rate Volatility Impact on Stock Market Price Efficiency and Optimization of Investment Portfolio. INVESTMENT KNOWLEDGE, 8(31 ), 225-248. SID. https://sid.ir/paper/408497/en

Vancouver: Copy

Hassani Ashban, Entezar Elnaz. The Investigating of Exchange Rate Volatility Impact on Stock Market Price Efficiency and Optimization of Investment Portfolio. INVESTMENT KNOWLEDGE[Internet]. 2019;8(31 ):225-248. Available from: https://sid.ir/paper/408497/en

IEEE: Copy

Ashban Hassani, and Elnaz Entezar, “The Investigating of Exchange Rate Volatility Impact on Stock Market Price Efficiency and Optimization of Investment Portfolio,” INVESTMENT KNOWLEDGE, vol. 8, no. 31 , pp. 225–248, 2019, [Online]. Available: https://sid.ir/paper/408497/en

Related Journal Papers