Impact of the Selected Domestic and Foreign Markets Returns on Stock Price in Iran

摘要: One of the features a financial market, stock in particular, is market sentiment which overall attitude investors toward particular security or market. Investors always seek to create portfolio with minimum risk while maintaining expected return level. Therefore, perceiving relationship between returns and markets can be helpful for an optimal portfolio. On this basis, present study aims at investigating Dynamic Conditional Correlation (DCC) on domestic (industry exchange rate) foreign using monthly data oil base metals including total metals, copper, steel price index Iran during March 2001 April 2017 Fractionally Integrated Asymmetric Power ARCH (DCC-FIAPARCH) approach. The obtained results indicate statistically significant positive DCC coefficient industrial products, copper stocks returns. Consequently, it not possible put each these assets identical situation (purchase sale), but instead they should situations control. However, connection other markets, significant; accordingly, placed investment together stocks.