The Relationship between Risk and Return on Financial Assets (The Panel Vector Auto-Regression and Panel Cointegration Ap-proaches)

Advances in Mathematical Finance and Applications

مقاله 10، دوره 7، شماره 3، مهر 2022، صفحه 695-714   

نوع مقاله: َApplied-Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2020.1885620.1343

نویسندگان

Sorena Morovat؛ Afshin Baghfalaki^*

Department of Economics, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran

چکیده

In this study, considering the necessity and importance of the relationship between risk and return on investment, some explanations were presented about the relationship between risk and return on the asset portfolio including gold, exchange and stocks during the period 2001: 1 - 2018: 3 using panel vector auto-regression (PVAR) method and Kao and Pedroni panel cointegration approach and pooled mean group (PMG) method and Engel-Granger time series methods. The software used in this study involves EVIEWS 10 and STATA15. In this study, multivariate GARCH (M-GARCH) approach (BEKK) was used to extract portfolio risk. The results showed a positive relationship between risk and return based on PVAR approach. And also, given the beta coefficient of the CAPM equation, gold was the best inflation cover during the period under study, with a slight difference from the exchange rate.

کلیدواژه‌ها

Financial Assets؛ risk؛ panel cointegration؛ pooled mean group method؛ CAPM equation

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