Investigating the effect of financial crisis transfer mechanism (with emphasis on 2008 financial crisis and oil prices) and Markov switching causality on selected indices of Iran Stock Exchange

Subject Areas : Financial Economics

سمیرا نجفی استمال ¹ , سید شمس الدین حسینی ² , عباس معمارنژاد ³ , فرهاد غفاری ⁴

1 - گروه اقتصاد واحد علوم تحقیقات، دانشگاه آزاداسلامی، تهران، ایران.
2 - گروه اقتصاد، دانشکده اقتصاد، دانشگاه علامه طباطبایی، تهران، ایران
3 - گروه اقتصاد واحد علوم تحقیقات، دانشگاه آزاداسلامی، تهران، ایران
4 - گروه اقتصاد واحد علوم تحقیقات، دانشگاه آزاداسلامی، تهران، ایران.

Received: 2021-06-27 Accepted : 2021-09-03 Published : 2021-11-21

Keywords: Q43, Q41, C68, JEL Classification: E44,

Abstract :

In this study, the effect of the crisis transfer mechanism (with emphasis on the 2008 financial crisis and oil prices) is first investigated. Representative of the effect of this mechanism (oil price known as a factor in the mechanism for transmitting crisis) Identify and how it affects the selected index of the stock exchange, including banks, petroleum products, metal ores, cars with daily data from 2003- 07-05 to 2021-03-17 Modeling with the possibility of regime change (MS-VAR) has been modeled using the common probability distribution of the yield of selected indices and the self-regression vector model. Then, using the causality method, despite the regime change, we examine the oil causality on the selected indices of the stock exchange, whether the causality is one-way or two-way. The results show that the zero regime is more stable than the one regime and the tendency to stay in this regime is higher and the causality is from the oil side to the selected indicators and not vice versa.

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