Portfolio Management in the Refining Industry: Investigating Conditions with Positive and Negative Returns: An Asymmetric TVP-VAR Approach

The refining industry is one of the most important industries in the Tehran Stock Exchange, and it has a significant impact on the behavior of the existing shares in it due to fluctuations in global oil prices. These effects are in such a way that they also affect the relationship between each share and the others. Therefore, in order to address the impossibility of examining all the shares available in the stock market, the formation of an optimal portfolio of various industries requires the identification of leading shares in this industry. To this end, in this study, using daily data in the period from August 30, 2016, to May 21, 2023, and employing the Asymmetric TVP-VAR method, the relationship between refining industry shares in three states of positive returns, negative returns, and general returns has been examined. The results of this study indicate that there is an asymmetrical relationship between negative and positive returns, with a stronger relationship observed in positive returns. Additionally, Shabna, Shabriz in negative returns, and Shebandar in positive returns are the leading shares in the refining industry.