Document Type : Research Paper

Abstract

Today, the food and pharmaceutical industries is as one of the well-known advantages industries in the economy. Invest in this industry is done in form of directly or indirectly (through stock markets). One of the most important components of the decision in the indirectly investment in this industries is awareness to the level of market risk of stock price of the active industries in this area. Due to the limitations of market risk measurement methods, in this paper, we proposed a comprehensive mechanism to measure of the stock market risk for food and pharmaceutical industries. This mechanism in addition to covering the shortcomings of the current methods of the risk measurement can extract the return risk of industries in the states of boom and bust and provide the possibility to compare the industry risk with other industries. Industries in this study include: the food, sugar and drugs for daily period of 1388 to 31.4.1394 by using of GARCH- Markov Consolidated models. The results showed that the return of the sugar and drugs industries follow from regime transfers and have got the asymmetric structure based on abnormal distributions. Also the risks for the medicine, food and sugar industries are respectively lower

Keywords

• Value at Risk
• Markov Chain Process
• food and pharmaceutical industries