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

Document Type : ŮŽApplied-Research Paper

Authors

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

10.22034/amfa.2020.1885620.1343

Abstract

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.

Keywords


  • Receive Date: 17 December 2019
  • Revise Date: 19 August 2020
  • Accept Date: 20 August 2020
  • First Publish Date: 01 July 2022