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Investigating the Synchronization between the Return of Mutual Funds and Tehran Stock Exchange

    Authors

    • sohrab osta 1
    • Behrang Parsafard 2
    • hadi Sheikhi 3

    1 Assistant Professor, Accounting, Ilam University, Ilam, Iran.

    2 Doctoral student of accounting, Faculty of Management and Accounting, Allameh Tabatabai University of Tehran, Tehran, Iran

    3 phd student of Alameh Tabatabaei uni

,

Document Type : Research Paper

10.30479/jfak.2024.20477.3212
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Abstract

Purpose: The purpose of this research is to examine the dynamics of conditional correlation between the returns of mutual investment funds (4 selected funds) and the return of the total index of the Tehran Stock Exchange during the period from the beginning of September 2013 to the end of Faroudin 1400.
Method: In order to achieve this goal, dynamic conditional correlation (DCC) and asymmetric dynamic conditional correlation (ADCC) econometric techniques, which are multivariate conditional heterogeneous variance (MGARCH) models, have been used.
Results: The results of the estimation of EGARCH models for conditional variances indicate that there is asymmetry in the conditional variance equation for all the return series (other than the output of the Export Development Fund), so that bad news more than well news cause to further increased the turbulence of returns. The results of the DCC and ADCC models showed that the asymmetric parameter is only significant between the total returns of the market and the return on the brokerage business, and in other models, in the conventional level of knowledge, there is evidence of asymmetry in conditional correlations Does not exist.
Conclusion: The results of the current research indicate that bad news has a greater impact than good news on the status of funds; In fact, funds are conservative in the face of good news and relatively passive in the face of bad news.
Contribution: The lack of sufficient strength in facing the market with bad news can be considered as the major problem of investment funds.

Keywords

  • Mutual funds
  • Tehran stock exchange
  • Synchronization
  • Conditional variance
  • Conditional correlation

Main Subjects

  • Financial Accounting
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Financial Accounting Knowledge
Volume 11, Issue 3 - Serial Number 42
September 2024
Pages 111-127
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  • Article View: 471
  • PDF Download: 181

APA

osta, S. , Parsafard, B. and Sheikhi, H. (2024). Investigating the Synchronization between the Return of Mutual Funds and Tehran Stock Exchange. Financial Accounting Knowledge, 11(3), 111-127. doi: 10.30479/jfak.2024.20477.3212

MLA

osta, S. , , Parsafard, B. , and Sheikhi, H. . "Investigating the Synchronization between the Return of Mutual Funds and Tehran Stock Exchange", Financial Accounting Knowledge, 11, 3, 2024, 111-127. doi: 10.30479/jfak.2024.20477.3212

HARVARD

osta, S., Parsafard, B., Sheikhi, H. (2024). 'Investigating the Synchronization between the Return of Mutual Funds and Tehran Stock Exchange', Financial Accounting Knowledge, 11(3), pp. 111-127. doi: 10.30479/jfak.2024.20477.3212

CHICAGO

S. osta , B. Parsafard and H. Sheikhi, "Investigating the Synchronization between the Return of Mutual Funds and Tehran Stock Exchange," Financial Accounting Knowledge, 11 3 (2024): 111-127, doi: 10.30479/jfak.2024.20477.3212

VANCOUVER

osta, S., Parsafard, B., Sheikhi, H. Investigating the Synchronization between the Return of Mutual Funds and Tehran Stock Exchange. Financial Accounting Knowledge, 2024; 11(3): 111-127. doi: 10.30479/jfak.2024.20477.3212

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