Spillover Effect the on Contest Import & Export oriented industries

Subject Areas : Financial Knowledge of Securities Analysis

Hashem  Nikoomaram ¹ (استاد و عضو هیأت علمی، دانشگاه آزاد اسلامی، واحد علوم و تحقیقات تهران)
Zahra  Pourzamani ² (استادیار و عضو هیأت علمی، دانشگاه آزاد اسلامی، واحد تهران مرکزی)
Abdolmajid  Dehghan ³ (دانشجوی دکتری مدیریت مالی، دانشگاه آزاد اسلامی، واحد علوم و تحقیقات تهران)

Received: 2013-11-27 Accepted : 2014-05-05 Published : 2015-04-09

Keywords: spillover effect, multivariate garch, parallel market. Import &amp, Expo,

Abstract :

This research is about Spillover Effect The On Contest Import & Export oriented industries. So the Import & Export oriented industries spillover from parallel markets (currency and gold) has been evaluated. For this purpose 2 methods, VAR and MGARCH were applied. Daily data (from october 2007 to August 2013) and examined using Eviews software. In aspect of model representation, this research is a development research and in aspect of method and nature is correlation.Results confirm spillover of Export oriented industries from currency. In other word main research hypothesis that explains Export oriented industries is affected from parallel markets, but This Results don’t confirm spillover of Export oriented industries from gold market, finally other Results don’t confirm spillover import oriented industries from currency and gold market. Side result of research demonstrates a positive and bilateral relation between currency and gold market in research period