Examining and Comparing Security of Investment in the Stock, Gold, Exchange and Housing Market of Iran using Value at Risk (VaR) Criteria

Subject Areas : Journal of Investment Knowledge

Gholam Reza Zomorodian ¹ , Mahdi Shabanzadeh. ² , Valiollah . Faryadras ³

1 - Faculty Member of Islamic Azad University Central Tehran Branch
2 - PhD student of Agricultural Economics, Tehran University
3 - PhD student of Agricultural Economics, Tehran University

Received: 2014-07-25 Accepted : 2014-11-08 Published : 2014-11-08

Keywords: Security of Investment, Value at risk, Stock Market, Gold and Exchange Market, Housing Market, TOPSIS method,

Abstract :

Investment in each country is subject to a set of variables that Security of Investment is one of the most them.Official statistics show that in the recent decades, on average, only about 12‌% of the country's real GDP has been allocated to investment in the manufacturing sector, including the production of goods and services and a considerable portion of it has been absorbed into unproductive speculative activities.Accordingly, this study with purpose to examining and comparing security of investing in different markets has evaluated the risk of investing in four market including stocks, gold, currency and Iran's housing using the Value at Risk (VaR) Criteria. Also in this study to providing a more accurate analysis of the security investment based on investors' attitudes TOPSIS method has been used.All information required for the study was collected on a monthly basis for during 2002 - 2013.The result of this study showed based on VaR Criterion, the security of investment in the stock market is much lower than other markets, so investors in this market face higher risk of investments relative to other markets.Also, the result of this study showed based on TOPSIS method (according to risk and return critrias) risk averse and risk neutral Investors have the Similar behavior, So that the two groups prefer The investment in the housing market and then investment in the gold market on the parallel markets including exchange and stock. However, unlike the aforementioned groups, risk-taking investors prefered investing in the stock market and then investing in the housing market on the investment in the gold and currency markets.