Financial and Banking Strategic Studies

Investigating the relationship between the volatility of Bank Sepah's Stock Market Assets

Document Type : Original Article

Authors

Mohammad Ali Zamani 1
Amir Farahani 2
Shima Zare 3

1 Department of Financial Management, Faculty of Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran.

2 Department of Financial Engineering, University of Kurdistan, Kurdistan, Iran.

3 Department of Economics, Faculty of Economic Sciences, Central Tehran Branch, Islamic Azad University, Tehran, Iran.

https://doi.org/10.22105/fbs.2025.500831.1151
Abstract
Purpose: Portfolio management and risk management are the most important issues in the investment world. In this regard, identifying and analyzing the mutual relationships and correlations between assets plays a key role in reducing volatility and risk management. This study investigates the relationships among the volatility of the stock market assets of Omid Investment Management Company, which is the largest asset of Sepah Bank.
Methodology: To examine network connections, the daily returns of selected stocks in the portfolio of Omid Investment Management Company, chosen as the statistical sample, were examined, along with the relationship between volatility. The method we used in this study to examine volatility was the Vector Autoregression (VAR) model, which examined system-level connections by producing a variance decomposition table. We study the connections from April 2019 to September 2023.
Findings: We found out changes in the returns of the GOLG1, GZIZ1, and CHML1symbols have the greatest impact on the returns of the portfolio companies of Omid investment management group, as the largest stock market asset of Sepah Bank, and GOLG1, SPAH1, and CHML1 symbols are most affected by changes in the returns of the portfolio companies of Omid investment management group.
Originality/Value: By studying the network topology of variance decompositions, this research presents a new method for examining asset connections and will help managers optimize their portfolios by identifying riskier assets.

Keywords

Variance decomposition
Vector autoregression
Network interrelations
Portfolio management
Bank Sepah

Subjects

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Financial and Banking Strategic Studies
Volume 3, Issue 1
Spring 2025
Pages 13-27

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