Investigating Conditional correlation among Industries in the Capital Market

Document Type : Original Article

Authors

1 PhD in finance, allameh Tabataba’i University, tehran, Iran. mohseni911@atu.ac.ir

2 Associate professor, Department of banking and finance, Faculty of accounting and Management, allameh Tabataba’i University, tehran, Iran.

Abstract

Measuring the dynamics of the relationship between financial and non-financial industries with a systemic importance in the economy has attracted in many attention after the recent financial crisis. This paper examines conditional correlations by used models of multivariate GARCH in the ten years period among the fourteen industries with the highest market value in the capital market. The purpose of this study is to understand and identify the volatility transfer pattern among industries in order to predict financial fluctuations, as well as policy decisions and risk management to completion fundamental analysis. The results show that the "banking" industry has a positive relationship with the "pharmaceutical", "telecommunications" and "investment" industries and but also the "electricity, gas, steam and hot water" and "communications equipment" Has a negative conditional correlation.

Keywords

References

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Budget and Finance Strategic Research
Volume 1, Issue 1 - Serial Number 1
Spring Quarterly
May 2020
Pages 75-91

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History

  • Receive Date: 16 June 2019
  • Revise Date: 10 December 2019
  • Accept Date: 18 November 2019

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