Investigating The Relationship Between Bank, Automotive, Cement, Base Metals, And Petroleum Products in Tehran Stock Exchange in Positive and Negative Return by Asymmetric TVP-VAR

Abstract

The interplay between various industrial groups plays a crucial role in determining the optimal investment portfolio for investors. Identifying which group carries or accepts risk within a specific time period and performance range allows for necessary adjustments in the investor's portfolio to achieve maximum returns. In this regard, the present study examines the impact of banking, automotive, cement, basic metals, and petroleum products groups on a symmetric, positive, and negative performance basis from January 5, 2015, to February 17, 2023. The results of the study indicate that in recent years, the overall index of these mentioned groups has shown more negative performance than positive performance. Moreover, banks and basic metals have acted as guiding and risk-transferring entities to other groups. On the other hand, the automotive and petroleum products groups have been risk-accepting, and their performance can be explained by the two groups of banks and basic metals.Keywords: Asymmetric TVP-VAR, Portfolio, Return, Base Metals, Bank, Tehran Stock Exchange.JEL Classification: G01, G11, G17, G32.

Keywords

• asymmetric tvp-var
• portfolio
• return
• tehran stock exchange