نوع مقاله : مقاله پژوهشی
نویسندگان
1 گروه مدیریت مالی، دانشکده مدیریت و اقتصاد، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران.
2 گروه مهندسی مالی، دانشگاه کردستان، کردستان، ایران.
3 گروه اقتصاد، دانشکده علوم اقتصادی، واحد تهران مرکز، دانشگاه آزاد اسلامی، تهران، ایران.
کلیدواژهها
موضوعات
عنوان مقاله English
نویسندگان English
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.
کلیدواژهها English
