The oil and gold global market interaction on the stock market of Iran; the GARCH-Copula approach

Subject Areas : Journal of Investment Knowledge

Seyed Mozaffar Mirbargkar ¹ , Maryam Borzabadi Farahani ²

1 - Assistant Professor in Economy, Department of Management, Rasht Branch, Islamic Azad University Rasht, Iran
2 - P.HD. Student, Financial engineering, Department of Management, Rasht Branch, Islamic Azad University Rasht, Iran (Corresponding author)

Received: 2017-07-18 Accepted : 2017-11-14 Published : 2019-06-22

Keywords: Tehran stock market, gold global market, oil market, GARCH-Copula models, dependence structure,

Abstract :

Studying the countries' stock market and global market interaction has been one of the most important research subjects in the global market. Thus, studying the relationships may have a significant role for the decision making of the investors. An appropriate estimation of the dependence structure has been the significant starting point at an investing period, for the investment risk control. The present research aims to study the interaction between dependence structure at Tehran stock market efficiency and the global price of gold and oil, at the period of 2010-2017, on a daily basis. In doing so, GARCH-Copula approach has been applied. The results show the asymmetric mutual relationship between the studied efficiencies. As it can be seen in the present paper, the t-student Copula functions can have a better recognition than other functions for both efficiencies; 'Tehran stock and gold market', and 'Tehran stock and oil market'. The results indicate that the Tehran stock market has been highly dependent to both oil and gold markets, and their threshold changes may lead to a stronger dependency of the markets together.

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