Correlation between Stock Exchange, Dollar, and Gold Coins Returns in the Iranian Economy: A Hilbert- Huang Transform Approach

Document Type : Research Paper

Authors

1 Associate Professor in Economics, University of Tabriz

2 MA in Economics, University of Tabriz

Abstract

Investors usually are challenged in an environment marked by uncertainty caused by the financial markets operation. Therefore, it is essential that information to investors in the field of financial risk and return and correlation is to take advantage of the opportunities available. The aim of this study was to investigate the correlation between the returns on financial assets pairs (gold coins, dollar, and stock) using the new approach of Hilbert - Huang transform in the period from 25/03 / 2001- 21/12/2015. The results of this study show that correlation is not constant over time. During the 25/03/2001-22/9/2013 period between two sets of coins and dollar, coin is the leading factor; between coins and stock, again the coin is the leading factor; however, between the dollar and stocks, the dollar has been the leading factor. And in the period 23/09/2013 -21/12/2015 between two sets of coins and dollar, dollar was a leader; between the coins and stocks, the leading factor was the stock; and between the dollar and stocks, the dollar has been the leading factor.
JEL Classification: G11, G01, C32

Keywords

References

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Journal of Economic Research (Tahghighat- E- Eghtesadi)
Volume 52, Issue 4 - Serial Number 121
January 2018
Pages 905-934

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History

  • Receive Date: 04 January 2017
  • Revise Date: 04 May 2017
  • Accept Date: 07 October 2017

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