The Research Department of Economics and Management of Tadbir Nikan Business, Marketing, and Finance Open 3092-6238 In Press 2026 11 01 Financial Stability Risk and Determining the Difference in Investment Horizons Between Passive and Active Investors: A Portfolio-Based Leptokurtic Distribution Test Financial Stability Risk and Determining the Difference in Investment Horizons Between Passive and Active Investors: A Portfolio-Based Leptokurtic Distribution Test 1 21 EN Journal Article 2026 01 01 <p>The purpose of this study was to evaluate financial stability risk and determine the difference in investment horizons between passive and active investors through the application of a leptokurtic distribution test and portfolio construction. Using the leptokurtic basis in the empirical distribution of financial returns and quantile regression, the study first examined the normality level of the data and subsequently investigated the difference between the overall stock market index (TEPIX) as the benchmark index and the financial stability index “TEBFS.” In addition to identifying the most influential criterion affecting financial stability risk through Root Mean Square Error (RMSE), Mean Square Error (MSE), and the coefficient of determination (R²), the study also determined the difference between the investment horizons of passive investors based on quantile regression compared with the investment horizons of active investors in constructing the Sortino portfolio (E) and the Markowitz portfolio (F). The study period, in terms of collecting data related to the financial stability risk of banks listed on the Tehran Stock Exchange, covered 2018 to 2022. The results of the leptokurtic distribution function indicated that all coefficients related to the “TEPIX” and “TEBFS” indices were significant within this distribution function. In fact, the significance of the conditional variance coefficient of banking system financial stability returns based on the “TEBFS” index demonstrates that all identified criteria affecting the measurement of financial stability in the banking system possess the required capability for risk determination. Furthermore, the findings revealed that since the Conditional Value at Risk fluctuation “∆CoVaR” calculated for the “TEBFS” index was negative, concentrating on the identified criteria and developing them as an evaluation model provides a more reliable basis than the overall stock market index (TEPIX) within technical analysis processes for investors. Finally, the results demonstrated that the construction of the Sortino portfolio (E) by passive investors, based on a longer-term investment horizon for evaluating banks’ financial stability risk, was more desirable than the construction of the Markowitz portfolio (F) by active investors.</p> https://bmfopen.com/index.php/bmfopen/article/download/442/332