Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258031 
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 3 [Article No.:] 78 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-17
Publisher: 
MDPI, Basel
Abstract: 
This paper extends the extreme downside correlation (EDC) and extreme downside hedge (EDH) methodology to model the interdependence in the sensitivity of assets to the downside risk of other financial assets under severe firm-level and market conditions. The model is applied to analyze both systematic and systemic exposures in the Iranian Food Industry. The empirical application investigates (1) which company is the safest for investors to diversify their investment, and (2) which companies are the "transmitters" and "receivers" of downside risk. We study the return series of 11 companies and the Food Industry index publicly listed on the Tehran Stock Exchange. The data covers daily close prices from 2015-2020. The result shows that Mahram Manufacturing is the safest to hedge equity risk, and Glucosan and Behshahr Industries are the riskiest, while Gorji Biscuit is central to risk transmission, and Pegah Fars Diary is the main "receiver" of risk in turbulent times.
Subjects: 
food industry
extreme downside hedge
extreme downside correlation
systematic risk
systemic risk
JEL: 
C31
C58
G01
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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