The Mechanism of Volatility Spillover and Noise Trading Among Financial Markets and The Oil Market: Evidence from Iran
الموضوعات :
Sharareh Taheri
1
,
Abdolmajid Abdolbaghi Ataabadi
2
,
Mohammad Hossein Arman
3
,
Majid Vaziri Sarashk
4
1 - Department of Management, Najafabad Branch, Islamic Azad University, Najafabad, Iran
2 - Department of management,Faculty of Industrial Engineering and Management , Shahrood university of technology, shahrood . iran
3 - Department of Management, Najafabad Branch, Islamic Azad University, Najafabad, Iran
4 - Department of industrial engineering, Najafabad Branch, Islamic Azad University, Najafabad, Iran.
الکلمات المفتاحية: noise trading, Financial Markets, Volatility Spillover, volatility, GARCH Model,
ملخص المقالة :
Financial markets are currently experiencing sharp volatility. Studying how the returns and volatility in one market affect other markets has always been one issue that helps investors and policymakers to make optimal decisions. Given the importance of volatility spillovers in the Iranian financial market, this study aimed to investigate the mechanisms behind the volatility spillovers in the foreign exchange, gold, and stock markets to the oil market in Iran. This descriptive study was conducted using the daily and monthly data from the oil, foreign exchange, gold, and capital markets from 2010 to 2019 and to analyze the data, ARCH and GARCH models have been used. The results of this study showed that the abnormal volatility of the foreign exchange and gold in the previous day positively affects the abnormal volatility of the oil market today, this indicates that money flows in the currency market, spilling over the fluctuations into the oil market. hey also found that the abnormal volatility of the capital market in the previous day negative affects the abnormal volatility of the oil market today, indicating that if money flows in the capital market, which indicates the flow of money in the capital market from yesterday, increasing the transfer of emotions to the current capital market but does not spillover into the oil market and volatility is not transferred into the oil market. Overall, the findings of this study confirmed the positive impact of the foreign exchange and gold markets on the abnormal volatility in the oil market in the short term (daily) and long term (monthly), but did not confirm the positive impact of the capital market on the abnormal volatility in the oil market.
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