Hedging stock price of listed industries with exchange rate (Multidisciplinary industry, banking and investment)

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Bazrayi Maryam; GHAVIDEL SALEH; EMAM VERDI GHODRATOLLAH; MAHMOUDZADEH MAHMOUD

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Journal: Financial Economics Year:2021 | Volume:15 | Issue:54 Page(s): 83-105

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Title

Hedging stock price of listed industries with exchange rate (Multidisciplinary industry, banking and investment)

Author(s)

Bazrayi Maryam | GHAVIDEL SALEH | EMAM VERDI GHODRATOLLAH | MAHMOUDZADEH MAHMOUD | Issue Writer Certificate

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Abstract

This study investigates hedging stock price of the selected industries listed in stock exchange with exchange rate, in order to manage risks of investors in capital market. To do se, the ADCC and DCC models are used. The data for this investigation includes daily stock return of the listed industries and exchange rate during 2008-2020. The results suggest that there exists symmetric correlation between stock price of these industries and exchange rate in both currency crises. Moreover, in both crises, the highest hedging effectiveness is associated with multidisciplinary industry and investment, whereas the lowest effectiveness is for banking. On the other hand, the biggest rate of hedging in the first and second currency crisis belongs to multidisciplinary industry and banking, respectively. The lowest rate of hedging in both crises belongs to investment industry and the highest weighted mean of optimal portfolio in both crises is found in banking industry. The results of this study provide the investors the opportunity to use hedging and asset allocation strategies in optimal way.

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APA: Copy

Bazrayi, Maryam, GHAVIDEL, SALEH, EMAM VERDI, GHODRATOLLAH, & MAHMOUDZADEH, MAHMOUD. (2021). Hedging stock price of listed industries with exchange rate (Multidisciplinary industry, banking and investment). JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 15(54 ), 83-105. SID. https://sid.ir/paper/412140/en

Vancouver: Copy

Bazrayi Maryam, GHAVIDEL SALEH, EMAM VERDI GHODRATOLLAH, MAHMOUDZADEH MAHMOUD. Hedging stock price of listed industries with exchange rate (Multidisciplinary industry, banking and investment). JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2021;15(54 ):83-105. Available from: https://sid.ir/paper/412140/en

IEEE: Copy

Maryam Bazrayi, SALEH GHAVIDEL, GHODRATOLLAH EMAM VERDI, and MAHMOUD MAHMOUDZADEH, “Hedging stock price of listed industries with exchange rate (Multidisciplinary industry, banking and investment),” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 15, no. 54 , pp. 83–105, 2021, [Online]. Available: https://sid.ir/paper/412140/en

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