Designing the financial stress index based on the turbulence of global variables and its relationship with the index of the Tehran Stock Exchange and the exchange rate
Designing the financial stress index based on the turbulence of global variables and its relationship with the index of the Tehran Stock Exchange and the exchange rate
Subject Areas : Financial Knowledge of Securities Analysis
hamidreza reisizadeh
1
(
Department of Financial Management, Central Tehran Branch, Islamic Azad University of Tehran, Iran.
)
میرفیض فلاح شمس
2
(
ندارد
)
Gholamreza Zomorodian
3
(
Assistant Professor, faculty member of Islamic Azad University, Tehran Central Branch
)
Keywords: Financial stress (FSI), economic indicators, volatility in the Tehran Stock Exchange, volatility in exchange rates, financial markets,
Abstract :
Designing a comprehensive financial stress index that includes both domestic and foreign financial indicators and a comprehensive perspective of systemic risks facing an economy in the period from 10-31-2012 to 10-21-2012 2022 is the subject of this study. In this article, 5 important global indices of Brent crude oil price, price per ounce of gold, US dollar index, Nasdaq stock index and the price of the euro-dollar currency pair have been used to construct the financial stress index. This index combines domestic and Externality represents the mutual and spillover effects in a globalized financial landscape. Then, with appropriate weighting to each index, various methods such as principal component analysis and statistical regression models have been used to determine optimal weights. Therefore, in this research, the open source software R 4.2.1 and Eviews13 were used to perform the final analysis. From the results, we find that there is a significant relationship between the designed financial stress index and the volatility of the Iranian stock market. Also, there is no significant relationship between the designed financial stress index and the volatility of the foreign exchange market in Iran. Also, the result of weighting the research variables based on the hierarchical technique shows that the gold ounce has the highest weight with 0.369, followed by the dollar index with 0.222 in the third place, the euro/dollar currency pair rate with 0.174 and the Brent oil index with 0.170 and the Nasdaq stock exchange. With 0.065, they are ranked fourth and fifth.
