Risk Aversion and Value at Risk in Macroeconomic Assets Portfolio: An Approach of Econophysics

Due to the importance of studing the behavior of asset markets, the risk aversion term and its operational calculation has attracted many researchers. The present study intends to examine this issue by considering a portfolio with three assets in the three  markets of stock, currency and gold. Therefore, by examining the fluctuations of previous years in the portfolio consisting of three macroeconomic assets , stocks, currency and gold, we can assess the risk aversion of investors in these markets and the causal relationship between these markets and take steps to construct long-term policy goals.

To investigate the issue, using a mathematical equilibrium model and dynamic econometric methods, the monthly data of stock markets, currency and gold during the period 1995 to 2018 has been analyzed.

Based on the research findings, the amount of risk aversion for the sample size shows that the average risk aversion index of investors in the stock market is higher than the other two markets and this index is the lowest in the gold market. Also, the value-at-risk index of return has a one-way causality and a significant relationship with the degree of risk aversion of investors in all three asset markets.

The results of this study of risk aversion and risk value in these markets can help policymakers to better understand the interactions of these markets, control them and eliminat the destabilizing conditions of these markets. Specifically in the case of the Iranian stock market, it can be said that investors are relatively more risk averse to the both gold and foreign exchange markets in the conditions of economic recession and increasing political instability, in other words, stock market investors have less confidence in  the exchange and gold markets. The reason is the newness of the stock market compared to the global stock markets and also the longer existence of gold and foreign exchange markets than the emerging stock market in Iran. Also since gold assets have an intrinsic value and the dollar market is supported by a large global economy, Therefore to strengthen the support of the Iranian stock market, it seems improving economic infrastructure,  promotion of the conditions of companies in the stock market, increasing government support for competitive condition and prohibition of direct intervention in the stock market are necessary. In addition, due to the complex nature of the stock market and the lack of sufficient public information , the need to inform and increase public awareness for a long-term presence in the stock market seems necessary.