Management of Downside risk and Upside risk with exchange rates and stock prices

Subject Areas : Journal of Investment Knowledge

Hosein Rad Kaftroudi ¹ , Mohammadhasan Gholizadeh ² , Mehdi Fadaei Eshkiki ³

1 - PhD student in financial management, Department of Management, Rasht Branch, Islamic Azad University Rasht, Iran.
2 - Associate Professor of Financial Management, Department of Management, University of Guilan, Faculty of Literature and Humanities, Rasht, Iran.
3 - Assistant Professor of industrial management, Department of Management, Rasht Branch, Islamic Azad University Rasht, Iran.

Received: 2019-06-03 Accepted : 2019-08-10 Published : 2021-09-23

Keywords: upside Risk, Stock Price, exchange rate, Vector Regression Model, Downside Risk,

Abstract :

The purpose of this research is to manage downside risks and upside risk with exchange rates and stock prices. This research is descriptive in nature and in terms of its purpose. The statistical population of the research is the companies accepted in the Tehran Stock Exchange and the sample of the companies accepted in the cement and pharmaceutical industry, which can be extracted from the research data. The research period is from 1391 to 1396. This research has a theoretical model and the self-regression model was used to test the hypotheses. In the cement industry, the exchange rate variables are combined with adverse risk combination and optimal risk. But the stock price variable does not have this capability. Also, in the pharmaceutical industry, the exchange rate changes with the combination of undesirable risk and optimal risk of correlation. But the stock price variable does not have this capability.

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