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Paper Information

Journal:   JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)   winter 2019 , Volume 12 , Number 45 #p00531; Page(s) 73 To 92.
 
Paper: 

Dynamics of Optimal Hedge Ratio in Stock and Gold Markets: VAR-DCC-GARCH Approach

 
 
Author(s):  HATAMI AMIN, MOHAMADI TEYMOUR*, KHODADAD KASHI FARHAD, ABOLHASANI HASTIYANI ASGHAR
 
* Allameh Tabatabai University,Tehran, Iran
 
Abstract: 
This study has attempted to calculate the optimal hedge ratio for investment in the stock market by investing in the gold market, with VAR-DCC-GARCH approach. To calculate this ratio, we used the daily price of gold coins and the price index of Tehran stock market during the period of April 2, 2009 to March 18, 2017 in Iran. The results obtained from the optimal dynamics hedge ratio showed that this ratio has increased during the period from 2009 to 2013, and decreased during the period from 2013 to 2016, and a change in the regime has observed during the whole period. Optimality, dictates that investors should invest in gold market and consider gold as an item together with stock assets in their portfolio in order to cover the risk of investing in the stock market.
 
Keyword(s): Optimal Hedge Ratio,Optimal Portfolio Weights
 
References: 
  • ندارد
 
  Persian Abstract Yearly Visit 119
 
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