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Paper Information

Journal:   IRANIAN JOURNAL OF APPLIED ECONOMICS   winter 2018 , Volume 7 , Number 23 #r00451; Page(s) 77 To 87.
 
Paper: 

Investigation of Convergence of Returns on Stock Markets in Iran: Nahar-Inder and Beta Convergence Methods

 
 
Author(s):  SHIRAFKAN MEHDI*, MASOOMZADEH SARA, Sayareh Morteza
 
* University of Tabriz, Iran
 
Abstract: 
Studies on stock fluctuations have become the core of many researches in last few decades. As the nature of the assets in Iran is different with other countries, stock markets are one of the options which investors can avail themselves for optimizing asset portfolio with different returns. This study aims to examine the return’ s convergence of 15 stock markets in Iran from May 2009 to February 2016, using Nahar-Inder and Beta methods. Since an investor always seeks higher profits, a market with higher returns will be selected. Unlike the previous methods, which studied the convergence at different points in time, Nahar-Inder method studies the markets’ convergence through time-series through higher investments in markets with high returns. These markets’ returns will approach the average returns, which called returns convergence. The result of convergence directions in the assessed stock markets, based on Beta method, leads to the divergence of the stock market returns. The results showed that the returns resulting from the stocks of banks and credit institutions, industrial companies, metal mining industries, chemical products, oil products, and cement are converged to average returns. The coefficients related to the above converging market returns are statistically significant at p <. 01. However, the markets for base metals, telecommunications, automobile and spare parts, technical and engineering services, pharmaceuticals, transport industry, computer market, mass construction, and food products did not converge to average returns.
 
Keyword(s): Convergence,Stock Markets,Returns
 
References: 
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