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A Study on the Impact of the “Commodities’ Returns"on the Related “Firms’ Stock Returns” in Tehran Stock Exchange

Bigham, Mostafa | 2011

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 41822 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Barakchian, Mahdi
  7. Abstract:
  8. Are the returns of the mineral companies in Tehran Stock Exchange affected by the changes in the commodity price at the Iran Mercantile Exchange? By implementing a Multi-Factor Model we will calculate the firms’ value elasticity to the commodity price changes. We try to explain the estimated elasticities on the basis of the firm’s fundamental variables using a discounted cash flow valuation model. An unbalanced panel data estimation is employed for this purpose. Afterwards, we will suggest a novel model on the ground of the assumption that the commodity prices and firm values follow the Geometric Brownian Motion. The result of the model is that the elasticity can be explained by commodity price volatility and firms’ value volatility. These volatilities are estimated by different common regression methods (ARCH, GARCH, EGARCH models and unconditional volatility). Using these estimated volatilities, the proposed model is examined statically. The fact that the commodity return distribution is not normal is another result of the thesis. We also find that the firms’ returns move with some lags or leads following the changes in the related commodity prices
  9. Keywords:
  10. General Autoregressive Conditional Heteroskedastic (GARCH) ; Tehran Stock Exchange ; Panel Data ; Regression Analysis ; Assessment Model ; Stock Price Exposure ; Commodity Price ; Multifactor Model ; Geometric Brownian Motion

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