Dynamic correlation between exchange rate and the listed industries stock index during the currency crises: The Implications for Optimal Portfolio Construction

Maryam Bazraei; Salleh Ghavidel; Ghodratollah Emamverdi; Mahmoud Mahmoudzadeh

Volume 5, Issue 4 , November 2021, , Pages 25-51

https://doi.org/10.30699/ijf.2021.278675.1210

Abstract
  In this study, we examine the correlation between stock returns of Export-oriented (EOIs) and Import-oriented (IOIs) industries and exchange rates, to derive stock-exchange optimal weights, attempting to manage the risk of investors in the capital market. To do so, the ADCC and DCC models are used. The ...  Read More

Exchange Rate Movements and Monetary Policies: Which Has Greater Influence on Petroleum

Shahram Molavi Bisetoni; Kiamars Fathi Hafshejani; Aboutorab Alirezaei; Ghanbar Abbaspour Esfadan

Volume 5, Issue 1 , January 2021, , Pages 147-172

https://doi.org/10.30699/ijf.2021.125534

Abstract
  The primary purpose of this study is twofold: Firstly, using the Markov Regime Switching model throughout December 2008 to February 2020, it investigates and compares the nonlinear impacts of exchange rate movements and monetary policies on Petroleum Stock Index, PSI, in Iran. Accordingly, some control ...  Read More