Uncertainty in macroeconomic Assets Market: An Approach of Stochastic Portfolio

Subject Areas : Financial Knowledge of Securities Analysis

Hashem Zare ¹ , Zeinab Rezaei Sakha ² , Mohammad Zare ³

1 - Department of Economic, Faculty of Economic and Management, Shiraz Branch, Islamic Azad University
2 - Master's degree in Economics, Bonyad Shahid va Omur Isargaran, Fars, Shiraz
3 - Master's degree in Economics, Young researchers and elite club, Shiraz Branch, Islamic Azad University

Received: 2017-07-25 Accepted : 2017-12-02 Published : 2019-06-22

Keywords: Stock Market, Econophysic, Exchange Market, Gold market, Stochastic Portfolio,

Abstract :

Inferring and inducing among the relations for many of the phenomenas is common in most of sciences. Accordingly, econophysics experts are trying to fill the gap between microeconomics and macroeconomics to explain complex financial systems, using the statistical physics tools. Using a dynamic econometric model, the impact of exchange and gold markets shocks on the stock market is studied. The results show the more significant contribution of the foreign exchange market shocks than the gold market shocks on the fluctuations of stock market. Furthermore, this study forms an assumptive portfolio consisting of three assets including stock, exchange and gold and use random portfolio theory to analyze the risks and uncertainty. The level of uncertainty and risk is studied by using the characteristics of the Castaing, Gagne & Hopfinger distribution functions. The results indicate a high level of uncertainty and risk in the macroeconomic assets portfolio. In other words, the occurrence of financial crises in these markets is expected.

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