Document Type : Research Paper
Authors
1 Assistant Professor, Department of Accounting, Faculty of Economics Sciences and Administrative, University of Qom, Qom, Iran.
2 Economics, Department of economics, Faculty of Economics Sciences and Administrative, University of Qom, Qom, Iran.
Abstract
Considering the impact of global variables on stock market industries, this study examines the effect of geopolitical risk fluctuations on the volatility of the petroleum products, chemical products, metal ores, and basic metals sectors in the Tehran Stock Exchange using two methods: Quantile-on-Quantile Connectedness (QQC) and Structural Vector Auto regression (SVAR) over the period from January 1, 2020, to December 24, 2024. The results obtained from the QQC model indicate that the fluctuations in geopolitical risk and the volatility of the petroleum products industry index have had the highest correlation in extreme deciles, with significant impacts of geopolitical risk fluctuations on the volatility of the petroleum products industry index. For other industries, when their volatility was in the 9th and 10th deciles, they were most affected by geopolitical risk fluctuations. Additionally, the SVAR model results show that the immediate response of the volatility of the studied industries' indices to shocks caused by geopolitical risk fluctuations was positive in all cases, converging to a positive value after 360 periods, indicating the stability of the shock. Furthermore, the cumulative response analysis showed that all industries exhibited an exponential increase, indicating a rising trend in the effect of the shock over time. Specifically, after 360 periods, the volatility of the petroleum products industry index increased by 0.34, chemical products by 0.06, metal ores by 0.03, and basic metals by 0.06.
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