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Noorbakhsh, Asgar, Soltani, Ramin, Asadi Mafi, Mahboubeh. (1400). Supply Chain and Predictability of Return. , 55(4), 323-333. doi: 10.22059/aie.2021.330003.1803
Asgar Noorbakhsh; Ramin Soltani; Mahboubeh Asadi Mafi. "Supply Chain and Predictability of Return". , 55, 4, 1400, 323-333. doi: 10.22059/aie.2021.330003.1803
Noorbakhsh, Asgar, Soltani, Ramin, Asadi Mafi, Mahboubeh. (1400). 'Supply Chain and Predictability of Return', , 55(4), pp. 323-333. doi: 10.22059/aie.2021.330003.1803
Noorbakhsh, Asgar, Soltani, Ramin, Asadi Mafi, Mahboubeh. Supply Chain and Predictability of Return. , 1400; 55(4): 323-333. doi: 10.22059/aie.2021.330003.1803

Supply Chain and Predictability of Return

Advances in Industrial Engineering
دوره 55، شماره 4، دی 2021، صفحه 323-333    اصل مقاله (624.6 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22059/aie.2021.330003.1803
نویسندگان
Asgar Noorbakhsh* ؛ Ramin Soltani؛ Mahboubeh Asadi Mafi
Department of Financial Management, Faculty of Management and Accounting, Farabi Campus of University of Tehran, Qom, Iran.
چکیده
Customer and supplier companies (which form a supply chain) have long-term economic relationships and affect each other. In this study, we answer to the question that “whether past returns of the customer (supplier) company can predict the future return of the supplier (customer) company”. To answer this question, we have investigated the predictability of return (or lead-lag relationship) at the industry-level in 10 supply chains of the Tehran Stock Exchange from March 2015 to March 2020 using the vector autoregression model. We found that a considerable numbers of supply chains, specifically, 6 out of 10 supply chains in our sample show the lead-lag relationship. In 3 supply chains, customer industry returns lead (or predict) supplier industry returns. Whereas, in other 3 supply chains, supplier industry returns lead customer industry returns. These observed lead-lag relationships (or predictable returns) across industries provide some evidence of inefficiency in the Tehran Stock Exchange. In addition, we can use these predictable returns to construct profitable trading strategies.
کلیدواژه‌ها
Predictability of Return؛ Supply Chain؛ Vector Autoregression؛ Market Efficiency؛ Trading Strategy
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