THE INTERTEMPORAL RELATIONSHIP BETWEEN RISK AND RETURN WITH DYNAMIC CONDITIONAL CORRELATION AND TIME-VARYING BETA

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BAGHERZADEH HOJJATALLAH; SALEM ALI ASGHAR

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

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Journal: FINANCIAL RESEARCH Year:2015 | Volume:17 | Issue:1 Page(s): 1-20

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Title

THE INTERTEMPORAL RELATIONSHIP BETWEEN RISK AND RETURN WITH DYNAMIC CONDITIONAL CORRELATION AND TIME-VARYING BETA

Author(s)

BAGHERZADEH HOJJATALLAH | SALEM ALI ASGHAR | Issue Writer Certificate

Keywords

DYNAMIC CONDITIONAL CORRELATIONQ2

DYNAMIC CONDITIONAL VARIANCES AND COVARIANCESQ2

INTERTEMPORAL CAPITAL ASSET PRICING MODELQ2

KALMAN FILTERQ2

Abstract

The current paper examines INTERTEMPORAL CAPITAL ASSET PRICING MODEL in Iran’s Stock Market. DYNAMIC CONDITIONAL CORRELATION was used to estimate conditional variance and covariance portfolios with market returns. Time varying beta is estimated by KALMAN FILTER method. Based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20.Significance of risk aversion and insignificance of intercepts revealed that there is ICAPM in Iran’s Stock Market. The result also showed that assets with high correlation with market conditional volatilities have low expected returns in the next transaction period. In addition, assets having high correlation with exchange rate growth are induced by additional risk premium in exchange rate risks and will have high expected returns in the next transaction period.

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APA: Copy

BAGHERZADEH, HOJJATALLAH, & SALEM, ALI ASGHAR. (2015). THE INTERTEMPORAL RELATIONSHIP BETWEEN RISK AND RETURN WITH DYNAMIC CONDITIONAL CORRELATION AND TIME-VARYING BETA. FINANCIAL RESEARCH, 17(1 ), 1-20. SID. https://sid.ir/paper/91193/en

Vancouver: Copy

BAGHERZADEH HOJJATALLAH, SALEM ALI ASGHAR. THE INTERTEMPORAL RELATIONSHIP BETWEEN RISK AND RETURN WITH DYNAMIC CONDITIONAL CORRELATION AND TIME-VARYING BETA. FINANCIAL RESEARCH[Internet]. 2015;17(1 ):1-20. Available from: https://sid.ir/paper/91193/en

IEEE: Copy

HOJJATALLAH BAGHERZADEH, and ALI ASGHAR SALEM, “THE INTERTEMPORAL RELATIONSHIP BETWEEN RISK AND RETURN WITH DYNAMIC CONDITIONAL CORRELATION AND TIME-VARYING BETA,” FINANCIAL RESEARCH, vol. 17, no. 1 , pp. 1–20, 2015, [Online]. Available: https://sid.ir/paper/91193/en

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