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Foreign exchange market Movements and investment risk in the petrochemical industry
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Samira Zarei *   , Zahra Ahmadlou |
| , zarei.s.90@gmail.com |
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Abstract: (2111 Views) |
| In this investigation, by the time series data of exchange rate and petrochemical industry stock index in the Tehran Stock Market from March 2009 to April 2019, a new Hybrid Model (resulting from the use of Exponential Generalized Autoregressive Conditional Heteroscedasticity, EGARCH, Model and Markov Switching Regime Model) is used. The results of study, in addition to confirming the idea of using the Hybrid Model, the MS-EGARCH (1.1) framework, have illustrated that relying on the mentioned framework that is based on the results of Aloui and Jommazi (2009) study, provides a situation based on which the risk of a time series can be more accurately analyzed. This way, the assessed risks can be divided into two regimes include High-Volatile and Low-Volatile; consequently, examining the impacts of effective factors on the risks that can be investigated with more efficiency. Based on this analysis, the impacts of foreign exchange market movements on the risk of investment in the petrochemical industry have been far higher during the high-volatile periods than the low-volatile one. |
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| Keywords: Investment Risk, Petrochemical Industry, Exchange Rate Market, Hybrid MS-EGARCH Model |
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Full-Text [PDF 750 kb]
(982 Downloads)
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Type of Study: Research |
Subject:
Energy Economics
Received: 2019/04/27 | Accepted: 2019/07/15 | Published: 2020/04/29
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