Financial Economics
Reza Taleblou; Parisa Mohajeri; Abbas Shakeri; teymoor mohammadi; zahra zabihi
Abstract
Achieving the correct insight into the structure of connectedness and the spillover of volatilities between different stock exchange industries plays an important role in risk management and forming an optimal stock portfolio. Also, the analysis of inter-sectoral connectedness helps policy makers in ...
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Achieving the correct insight into the structure of connectedness and the spillover of volatilities between different stock exchange industries plays an important role in risk management and forming an optimal stock portfolio. Also, the analysis of inter-sectoral connectedness helps policy makers in designing policies that stimulate economic growth and implementing preventive measures to curb the propagation of systemic risk. In this regard, this article tries to use the data of 3370 trading days during the period of 1388/07/01 to 1402/06/31, encompassing 20 stock market industries (which constitute more than 80% of the Iranian stock market) and applying the connectedness approach based on the vector autoregression model with time-varying parameters (TVP-VAR), to estimate the systemic risk and volatility connectedness of the stock market network. In addition, we implement the minimum connectedness approach in the optimal stock portfolio and compared its performance with two other conventional approaches. The findings reveal that, first; the systemic risk in Iranian stock market is significant and has reached unprecedented figures of 80% in the last three years. Second, the four major export industries (petrochemicals, metals, mining and refining) experience the strongest pairwise connectedness, and among them, base metals appear as one of the most important transmitters of volatilities to the entire stock network. Thirdly, the stock portfolio based on the minimum connectedness method, compared to the minimum variance and minimum correlation methods, shows a better performance based on the criteria of cumulative return and hedge ratio efficiency.
Econometrics
Abbas Shakeri; Teymor Mohammadi; Zinat Zakeri
Abstract
The expansion of the globalization process has increased the relationships among financial markets in different countries, which itself has motivated investors to move among them to make more profit. Given the situation in Iran after sanctions, the possibility of investing in well-known financial markets ...
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The expansion of the globalization process has increased the relationships among financial markets in different countries, which itself has motivated investors to move among them to make more profit. Given the situation in Iran after sanctions, the possibility of investing in well-known financial markets is facing with the risk of sanctions. The present study aims to evaluate the existence of volatility spillover among the financial markets of Iran and Islamic oil exporters countries. To this aim, a multivariate factor stochastic volatility (SV) model and stock price index data were used with daily frequency for the period 12/05/2008-02/19/2020. Based on the results, the main hypothesis that the volatility spillover among the financial markets of OPEC oil-exporting Islamic countries follows a common and uniform random trend is accepted for the United Arab Emirates, Saudi Arabia, and Qatar, but not for Iran and Nigeria. Therefore, diversifying the portfolio for Iranian investors in the financial markets of OPEC Islamic oil exporters can reduce the investment risk in the long run which make such economies an appropriate investment destination for Iranians due to the conditions of sanctions.
Vahid Dehbashi; Teymour Mohammadi; Abbas Shakeri; Javid Bahrami
Abstract
The aim of this paper is to investigate the responses of stock, gold and foreign exchange markets in Iran, with an emphasis on the spillover volatility effects. For this purpose, the rate of return of variables is calculated by using the daily data of Tehran Stock Exchange price index, exchange rate ...
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The aim of this paper is to investigate the responses of stock, gold and foreign exchange markets in Iran, with an emphasis on the spillover volatility effects. For this purpose, the rate of return of variables is calculated by using the daily data of Tehran Stock Exchange price index, exchange rate and gold price during the period of 25 March 2009 to 18 July 2018. The estimated model investigates volatility spillovers in the markets using the VAR-BEKK-GARCH approach. The impulse-response functions are estimated by including the possibility of the asymmetry of the coefficients of the cross terms of the errors in MGARCH-type equations. The results show two-way volatility spillover between foreign exchange and stock markets, one-way volatility spillover from the foreign exchange to gold markets and one-way volatility spillover from the gold to stock markets. Moreover, the findings obtained from the impulse-response functions confirm the spread of uncertainty among the financial markets in Iran.
