Analyzing the structural breaks and the exchange market turbulence on volatility spillovers between exchange rates and Tehran Stock Exchange

Subject Areas : Financial Knowledge of Securities Analysis

alireza Erfani ¹ , Mohammadmehdi Gholizadeh ²

1 - economics department, faculty if economics< management and administrative science, semnan university
2 - Economic and Investment Analyst, Economic Affairs Research Institute

Received: 2021-09-25 Accepted : 2021-09-25 Published : 2021-08-23

Keywords: Market Turbulence, Volatility Spillover, Currency Exchanege Rate, Tehran Stock Exchange Performa, Multiple Structural Breaks,

Abstract :

This article has studied several fluctuations in the Iranian currency market and multiple turmoils in the economy that have not only wiped out Iranians private savings but also affected financial market activists to provide a better understanding of fluctuations' movement between markets. To doing so, we used the exchange rate in the open market (in some periods, the black market) as one variable and the Tehran Stock Exchange Index (TEDPIX) as a second in the form of multivariate conditional heterogeneity variance (MGarch) model. According to the results, the time series suggests multiple structural breaks from Dec. 2018 to Jan. 2020. Using the so-called GLS-Based unit root test, we observed five structural breaks that produced stationary problems at the level and no evidence of stationary problems at the return of the data. Also, by using DCC and FDCC models we confirm that there is a fluctuation between the two markets during the period. This overflow shows a different performance if structural failures are considered.

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