Financial Economics
Majid Aghaei; amin razinattaj
Abstract
Given the intricate nature of financial markets and the pivotal role of their interrelationships in guiding investor and policymaker decisions, this research delves into the interplay between risk and return, as well as their spillover effects, among the stock market and its competing counterparts in ...
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Given the intricate nature of financial markets and the pivotal role of their interrelationships in guiding investor and policymaker decisions, this research delves into the interplay between risk and return, as well as their spillover effects, among the stock market and its competing counterparts in Iran, including the foreign exchange, gold, and housing markets, across various market conditions (bearish and bullish). Employing the multivariate GARCH model and utilizing monthly data spanning from 2011 to 2022, this study explores the dynamics between these financial markets. The findings reveal a discernible return spillover and volatility from the foreign exchange market to the stock market during both bearish and bullish conditions of the foreign exchange market. Similarly, a return spillover from the stock market to the foreign exchange market is evident during both bearish and bullish conditions of the stock market, underscoring the interdependence between these two markets. However, contrary to expectations, return spillover from the stock market to the gold market is not substantiated during either bearish or bullish conditions of the stock market. Conversely, return and volatility spillover from the gold market to the stock market is confirmed during both bearish and bullish conditions of the gold market. Moreover, the research does not ascertain the presence of return spillover and volatility from the housing market to the stock market during either bearish or bullish conditions of the housing market. However, return spillover from the housing market to the stock market is observed solely during the bearish condition of the stock market.
Majid Aghaei; Mahdieh Rezaghoizadeh
Abstract
The purpose of this study is to measure the effect of consumption of different kinds of energy carriers in Iran, which caused poverty and inequality in the process of economic, social and cultural development of countries. For this purpose, we use annual data from 1984 to 2010 through a simultaneous ...
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The purpose of this study is to measure the effect of consumption of different kinds of energy carriers in Iran, which caused poverty and inequality in the process of economic, social and cultural development of countries. For this purpose, we use annual data from 1984 to 2010 through a simultaneous equations model using Two-Stage Least Square (2SLS) and Three-Stage Least Square (3SLS) estimators. The results indicate that the effect of various energy carriers on inequality is different. Gasoline consumption leads to inequality enhancement but natural gas and electricity consumption lead to inequality reduction. Fuel oil, kerosene and gasoil have the different effects on inequality due to different indexes of inequality. On the other hand, energy carrier consumption leads to poverty reduction and natural gas and electricity are more effective to reduce poverty. Thus, the direct effect of energy consumption on poverty is confirmed. Totally, the results indicate that the indirect effect of all energy carriers on poverty trough inequality reduction is not confirmed, though all energy carriers on economic growth has a positive effect, and the indirect effect of economic growth on poverty reduction is confirmed.
