Analyzing relationship between stock price index of Iranian insurance industry and stock price index of other industries in stock market (CCC-GARCH and GJR-GARCH approach)

Shahiki Tash, M.N.; Mirbagherijam, M.

doi:10.22056/ijir.2015.03.01

Document Type : Original Research Paper

Authors

Department of Economic Sciences, Faculty of Management and Economics, University of Sistan and Baluchestan, Zahedan, Iran

https://doi.org/10.22056/ijir.2015.03.01

Abstract

The current paper aims to determine the influence of the stock price index of other industries on the stock price index of the Iranian insurance industry. The research method is utilizing both bivariate CCC-GARCH and GJR-GARCH models, which is estimated through the maximum likelihood approach by the quantitative software R 3.0.2. The results of estimation model approved any competition among the industries to attract the capitals of investors at the capital market, and indicated that the stock returns of the insurance industries and other industries has a negative impact on each other. The volatility of the insurance industry stock returns in Iran due to the risky nature of its activities is greater than the volatility of other industries stock returns in the stock market. There is a weak correlation between the stock return volatility of the insurance industry and other industries which is about 7 percent. Market shocks and bad news have no influence on the volatility return of the Iranian insurance industry, but they don’t affect the volatility return of other stock industries.

Keywords

Letters to Editor

IJIR Journal welcomes letters to the editor for the post-publication discussions and corrections which allows debate post publication on its site, through the Letters to Editor. Letters pertaining to manuscript published in IJIR should be sent to the editorial office of IJIR within three months of either online publication or before printed publication, except for critiques of original research. Following points are to be considering before sending the letters (comments) to the editor.

[1] Letters that include statements of statistics, facts, research, or theories should include appropriate references, although more than three are discouraged.

[2] Letters that are personal attacks on an author rather than thoughtful criticism of the author’s ideas will not be considered for publication.

[3] Letters can be no more than 300 words in length.

[4] Letter writers should include a statement at the beginning of the letter stating that it is being submitted either for publication or not.

[5] Anonymous letters will not be considered.

[6] Letter writers must include their city and state of residence or work.

[7] Letters will be edited for clarity and length.

Name *

Email Address *

Affiliation *

Comments *

Security Code *

Iranian Journal of Insurance Research

Analyzing relationship between stock price index of Iranian insurance industry and stock price index of other industries in stock market (CCC-GARCH and GJR-GARCH approach)

Letters to Editor

Send comment about this article

Volume 4, Issue 3 - Serial Number 13
July 2015
Pages 312-324

Analyzing relationship between stock price index of Iranian insurance industry and stock price index of other industries in stock market (CCC-GARCH and GJR-GARCH approach)

Letters to Editor

Send comment about this article

Volume 4, Issue 3 - Serial Number 13July 2015Pages 312-324

Volume 4, Issue 3 - Serial Number 13
July 2015
Pages 312-324