خلاصة:
One of the features of a financial market, the stock market, in particular, is the market sentiment which is the overall attitude of investors toward a particular security or financial market. Investors always seek to create a portfolio with minimum risk while maintaining the expected return level. Therefore, perceiving the relationship between the stock returns and markets returns can be helpful for investors to create an optimal portfolio. On this basis, the present study aims at investigating the Dynamic Conditional Correlation (DCC) between the returns on the domestic markets (industry stock market and exchange rate) and foreign markets using monthly data of oil and base metals including total metals, copper, steel and returns on the stock price index in Iran during March 2001 to April 2017 using the Dynamic Conditional Correlation Fractionally Integrated Asymmetric Power ARCH (DCC-FIAPARCH) approach. The obtained results indicate a statistically significant and positive DCC coefficient between metals, industrial products, and copper returns with the stocks returns. Consequently, it is not possible to put each of these assets with the stocks in an identical situation (purchase or sale), but instead they should be always situations for risk control. However, in connection with other markets, DCC is not significant; accordingly, assets can be placed in the investment portfolio together with the stocks.
ملخص الجهاز:
Accordingly, the present study investigates the Dynamic Conditional Correlation (DCC) between the selected domestic and foreign assets returns (oil, industry, exchange, and base metals including total, copper, and steel) and the stock price index returns during March 2001 to April 2017 using the DCC-FIAPARCH approach.
Reserchers such as Jones and Kaul (1996), Sadorsky (1999), Basher and Sadorsky (2006), Jammazi and Aloui (2009), El -Sharif et al.
According to the results of this study, the return of the stock market in countries such as Norway, which is the net exporter of oil, has a positive relationship with the oil price while in oil-importer countries, it has a negative relationship with the oil price (Park & Ratti, 2008; Mollick & Assefa, 2013).
Falahi et al (2014), using the DCC-GARCH method, investigate the correlation structure in daily data of exchange rate returns, stock market index and gold price over the period of 2011- 2013.
5 Conclusion Understanding the relationships between financial and non -financial markets with the stocks market is one of the main subjects which is concerning the researchers, so the main objective of the present study is to investigate the dynamic conditional correlation between the selected domestic and foreign assets returns (oil, industry, exchange and base metals [total, copper, steel]) and stock price index returns in Iran.
The results of this survey show that, the changes in copper and metal prices returns in global markets increase the profitability of companies that produce this commodity in Iran's Stock Market due to the positive significant trend of correlation between the stocks returns and copper and metals returns during the studied period.