The Mechanism Explaining the Volatility Spillover Among Stock Markets; (Case of New York, London, Tokyo and Tehran Stock Markets)

Subject Areas : Bi-quarterly Journal of development economics and planning

A. Talebpour Abasabad ¹ , A. Satari ²

1 - M.A. student, Department of industrial manageme, Islamic Azad University, Tabriz Branch, Tabriz, Iran
2 - Assistant Professor, Nabi Akram Institution, Tabriz Branch, Tabriz, Iran

Received: 2016-06-29 Accepted : 2016-06-29 Published : 2014-03-21

Keywords: Tehran, Stock market, New York, London, Tokyo,

Abstract :

Markets are not limited to a specific geographic location. This leads to better decisions marketing by active economic indiviuals. World markets are valuable for guiding local markets. In this paper, the effect of the interaction among stock matkets of New York, London and Tokyo on Tehran stock market in January 15, 1999 to January 15, 2015 will be investigated. For the analysis, multivariable asymmetric variances model was used. The result showed that the effects of New York, Tokyo and London stock market on Tehran stock market were statistically significant. Also, all of the stock markets under study were affected by their lagged volatilities

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