A comparative study on value at risk versus TEFIX 30: Evidence from Tehran Stock Exchange

The aim of this study is to learn the effects of the value at risk (VaR) and the index of 30 largest companies (TEFIX 30) on the index of 30 large firms’ prices listed on Tehran Stock Exchange (TSE). This research study is based on analysis of libraries and analytical panel data and proposes a regression function where the index of 30 large companies’ prices is a linear function of VaR and TEFIX 30. The study collects the information of 90 publicly traded TSE firms over the period 2011-2013. The results have indicated that while the index of 30 large companies’ prices had a meaningful relationship with VaR but it had no meaningful relationship with TEFIX 30.