واژه‌های کلیدی: سرریز تلاطم ، معاملات اختلال زا ، بازارهای مالی ، مدل آرچ ، مدل گارچ . طبقه بندی JEL : C22.C32.G11,G4

Subject Areas : Financial Economics

Sharara Taheri ¹ , Abdul Majid Abdul Baqi Attaabadi ² , majid vaziri sarashk ³ , Mohammad Hossein Arman ⁴

1 - Department of Management, Najaf Abad Branch, Islamic Azad University, Najaf Abad, Iran
2 - Department of Industries and Management, Shahrood University of Technology, Shahrood, Iran:
3 - department of industrial engineering, najafabad branch, islamic azad university, najafabad, iran
4 - Department of Management, Najaf Abad Branch, Islamic Azad University, Najaf Abad, Iran

Received: 2023-03-29 Accepted : 2023-06-02 Published : 2023-06-22

Keywords: Financial Markets, G4, noise trading, Keywords: Volatility spillover, GARCH model JEL classification: C22.C32.G11,

Abstract :

Abstract Financial markets are currently experiencing sharp volatility. The turbulent environment of financial markets, the close relationship in these markets and the significant impact it has on the country's economy, as well as the urgent need to predict future financial and economic scenarios, have led researchers to explore and analyze these inter-market relationships. 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 effect of the volatility in the foreign exchange, gold markets to the capital market in Iran. In this regard, in this study, the effect of volatility spillover and noise trading of gold and foreign exchange markets on volatility in capital market returns has been investigated. This descriptive study was conducted using the daily and monthly data from the 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 capital market in the previous day positively affects the abnormal volatility of the capital 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. In addition, the abnormal volatility in the of gold and foreign exchange markets in the previous today has a positive effect on the abnormal volatility in the capital market today. The positive effect of this effect indicates the flow of money in the foreign exchange and gold markets and its volatility spillover into the capital market. Overall, the findings of this study confirmed the positive impact of the foreign exchange and gold markets on the abnormal volatility in the capital market in the short term (daily) and long term (monthly).