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:: Volume 12, Issue 49 (Summer 1395 2016) ::
QEER 2016, 12(49): 71-101 Back to browse issues page
Measuring the Industry Indicators Market Risk of Petroleum Products, Chemicals and Rubber Based on Regime Transfers Approach
Abstract:   (793 Views)

Oil and petrochemical industry as one of the important industries is the country's economy driving and many investors are willing to invest in this industry. With regard to the transfer of a large part of the shares of companies active in this industry in Stock Exchange, investors can invest in this area through the purchase and the transaction of value of the assets of these companies. However, one of the main challenges in field of investment in this industry is lack of knowledge of the industry market risk in these areas than other areas. Therefore, the present study we attempted to provide a model developed to extraction of the stock market risk for active companies in the field of oil and oil products. Oslo we compared risk of this companies with market risk. The results show that the return of industries follow from regime transfers and have got the asymmetric structure based on abnormal distributions. Also the return risk of both Rubber and petroleum industry was less than the return risk of total index, but the risk of chemical industry was greater than risk of total index.

Keywords: Value at Risk, Markov Chain Process, Oil and Petroleum Products
Full-Text [PDF 2122 kb]   (254 Downloads)    
Type of Study: Thesis(PhD.) | Subject: Marketing, Finance
Received: 2015/09/27 | Accepted: 2016/04/17 | Published: 2017/02/20
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Measuring the Industry Indicators Market Risk of Petroleum Products, Chemicals and Rubber Based on Regime Transfers Approach. QEER. 2016; 12 (49) :71-101
URL: http://iiesj.ir/article-1-572-en.html


Volume 12, Issue 49 (Summer 1395 2016) Back to browse issues page
فصلنامه مطالعات اقتصاد انرژی Quarterly Energy Economics Review
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