Overflow of parallel markets of Tehran Stock Exchange over the trading industries of the stock exchange.

Subject Areas : Journal of Investment Knowledge

hashem mokari ¹ ( Ph.D. student Financial engineering Islamic Azad University Roudehen ، Tehran، Iran. )
seyed alireza mirarab bayigi ² ( Assistant Professor،Islamic Azad University Roudehen، Tehran، Iran. )
Hoda Hemmati ³ ( Assistant Professor،Islamic Azad University Roudehen، Tehran، Iran. )

Received: 2021-04-06 Accepted : 2021-06-28 Published : 2022-12-22

Keywords: Multivariate Cloud, Rebellion Overflow, Commercial Industries, parallel markets,

Abstract :

The present study investigates the prevalence of parallel capital market revolts on stock exchange trading industries. In this study, the overflow of stock exchange industries has been measured separately for export and import-oriented parallel markets of currency and gold. In this regard, the autoregressive vector analysis (VAR) method and the autoregressive model conditional on the heterogeneity of multivariate generalized variances (MGARCH) have been used. The data of this research have been collected and tested using Eviews software from the beginning of September 2015 to the end of August 2016. The method of the present study is based on the classification of research based on the method, nature and direction of descriptive, applied and post-event, respectively, and is considered as a correlation in terms of type.The results of this study confirm the relationship between the effect of the overflow of export-oriented stock exchange industries from the parallel foreign exchange market; However, the research results of this overflow have not been confirmed by the parallel gold market. In this regard, the effect of the overflow of import-oriented industries from the parallel markets of currency and gold has not been confirmed. The side findings of the present study also show that there was a positive and two-way relationship between the two markets of currency and gold in the period under study.

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