Investigating the Conceptual Model Explaining the Contagion Turbulence Influencing Returns in Banks Accepted in the Stock Exchange

Subject Areas : Journal of Investment Knowledge

Rahman  Doostian ¹ (Ph.D. student of financial management, Department of Accounting, Kermanshah Science and Research Branch, Islamic Azad University, Kermanshah, Iran,)
Babak  Jamshidi navid ² (Assistant Professor of Accounting, Department of Accounting, Islamic Azad University, Kermanshah Branch)
Mehrdad  Ghanbari ³ (Assistant Professor, Department of Accounting, Kermanshah Science and Research Branch, Islamic Azad University, Kermanshah, Iran.)
Abdol Majid  Dehghan ⁴ (Assistant Professor, Department of management, Member of Islamic Azad University, Yadgar Imam Khomeini (Ray), Shahrery)

Received: 2018-12-01 Accepted : 2019-05-20 Published : 2019-09-23

Keywords: turbulence Contagion, multivariate garch, parallel markets,

Abstract :

The present study investigates the volatility of parallel markets of capital markets on stocks of Bourse's banks. In this study, the visibility of bank libraries has been measured separately from parallel markets of foreign exchange and gold, as well as the oil market as an influential independent market. In this regard, the method of Vector Auto Regression Model (VAR) and self-regression model is used to predict the heterogeneity of generalized multivariate variances (MGARCH). The data from the beginning of July 2012 to the end of September 2018 were collected and tested. The method of this research is based on the classification of research based on the method, nature and direction are descriptive, applied and post-event respectively, and are correlated in terms of type. The results of this study confirm the relationship between the impact of bourse banks on parallel markets of currency, gold and oil. Based on this, the main hypotheses of the research that the stock markets of stock exchanges are active in the capital market from parallel markets is maintained from two perspectives of return and risk. Finally, in this study, the estimated model, which relates to the daily returns of gold and foreign exchange markets on the returns of the total stock market index, has been conceptually and mathematically explained as the best estimator of the effects of cross-market contagion. Therefore, the results of testing the research hypotheses over the time period under study confirm that the contagion effects of contingent volatility of the yields of banks admitted to the stock market by the MGARCH model are predictable.

References:

رجبی خانقاه، نیکومرام، تقوی، رهنمای رودپشتی و فلاح شمس (1396). طراحی و تبیین الگویی برای پیش بینی شوک‌های نرخ ارز و آزمون استرس ارز در ایران. فصلنامه علمی پژوهشی دانش سرمایه گذاری، 6(24): 274- 252.

عباسی‌نژاد، حسین و ابراهیمی، سجاد (1392). اثر نوسانهای قیمتی بر بازده بورس اوراق بهادار تهران. فصلنامه پژوهشها و سیاستهای اقتصادی، 21(68): 108-83.

کریمی، محمدشریف؛ حیدریان، مریم و دهقان جبارآبادی، شهرام (1397). تحلیل اثرات سرریز بین بازارهای نفت و بورس اوراق بهادار تهران در طول مقیاسهای چندگانه زمانی. فصلنامه اقتصاد مالی، 12(42): 46- 25.

کلانتری، عباس و پاک طینت، نویدخلیل (1393). بررسی تاثر حجم معاملات بر شاخص کل بورس اوراق بهادار تهران در دوره های رکود و رونق: کاربرد مدل انتقال رژیم مارکف. فصلنامه پژوهش های اقتصادی ایران، 19(58): 206- 183.

کشاورزحداد، غلامرضا. صمدی، باقر (1388). برآورد و پیش‏بینی تلاطم بازدهی در بازار سهام تهران و مقایسه دقت روشها در تخمین ارزش در معرض خطر: کاربردی از مدل‏های خانواده FIGARCH دانشگاه تهران، مجله­ی تحقیقات اقتصادی، شماره 86.

کشاورزحداد، غلامرضا و مفتخر دریایی نژاد، کبری (1397). تأثیر سرایت بازده و تلاطم در برآورد ارزش در معرض ریسک سبد دارایی، متشکل از طلا، ارز و سهام. تحقیقات اقتصادی، 53(1): 152- 117.

نیکومرام، هاشم؛ پورزمانی، زهرا، و دهقان، عبدالمجید (1394). بررسی سرایت­ تلاطم بازارهای موازی بازار سرمایه بر صنایع بورسی(صادرات و واردات محور). فصلنامه علمی پژوهشی دانش مالی تحلیل اوراق بهادار، 8(25): 18-1.

Al-Fayoumi, N.A., Khamees, B.A., and Al-Thuneibat, A.A. (2009). Information transmission among stock return indexes: Evidence from the Jordanian stock market. International Research Journal of Finance and Economics, 24, 194-208.

Basher, S.A. and P. Sadorsky (2006), Oil Price Risk and Emerging Stock markets, Global Finance Journal, No.17, pp.224-251.

Bauwens L., Laurent S., V. K. Rombouts J., (2006), Multivariate GARCH Models: a survey, Journal of Applied Econometrics, No.29, pp.79-109.

Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, Vol.31, No.3, pp. 307-327.

Constantinou, E., Kazandjian, A., Kouretas, G., Tahmazian, V. (2008). Cointegration causality and domestic portfolio diversification in the Cyprus stock exchange.Journal of Money, Investment and Banking, 4, 26-41.

Dornbusch , R., Park, Y., & Clae, S. (2000). Contagion: Understanding How It Spreads. The World Bank Research Observer, 15(2), 177-197.

Engle R, Kroner FK. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, No.11, pp.122–150.

Engle, R. F. & Patton, J.A. (2001). What Good is a Volatility Model? NYU Working Paper. No. S-DRP-01-03.

Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation. Econometrica, 50(4), 987-1008.

Forbes, K., & Rigobon, R. (2002). No Contagion, Only Interdependence: Measuring Stock Market Comovements. the Journal of Finance, 57(5), 2223-2261.

Hamao, Y., Masulis, R., & Ng, V. (1990). Correlations in Price Changes and Volatility Across International Stock Markets. Review of Financial Studies, 3(2), 281-307.

Hassan, S. A., & Malik, F. (2007), Multivariate GARCH modeling of sector volatility transmission. Quarterly Review of Economics and Finance, No.47, pp.470-480.

Karolyi, A. G. (Jan., 1995). A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada. Journal of Business & Economic Statistics, 13(1), 11-25.

Karunanayake, I and Valadkhani, A, (2010), Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach, University of Wollongong, Economics Working Paper Series.

Kang, W., Ratti, R.A., Yoon, K.H., 2014. The impact of oil price shocks on US bond market returns. Energy Econ. 44, 248–258.

Koutmos , G., & Booth, G. (December1995). Asymmetric Volatility Transmission in International Stock Markets. Journal of International Money and Finance, 14(6), 747-762.

Lafuente, J. and Ruiz, J. (2004), The New market effect on return and volatility of Spansh stock indexes, Applied Financial Economics, 14, 1343-1350.

Li, H. (2007), International linkages of the Chinese stock exchanges: a Multivariate گارچ Analysis, Applied Financial Economics 17: 285-297.

Longin, F., & Solnik, B. (1995). Is the correlation in international equity returns constant: 1960–1990?. Journal of international money and finance, 14(1), 3-26.

McAleer, M., & da Veiga, B. (2008). Forecasting Value-at-Risk with a Parsimonious Portfolio Spillover GARCH (PS-GARCH) Model. Journal of Forecasting, 27, 1-19.

Moon, G., W. Yu, (2010), “Volatility Spillovers between the U.S. and the China Stock Market: Structural Break Test with Symmetric and Asymmetric GARCH Approach,” Department of Business Administration, Kyonggi University.

Nazlioglu, s., Soytas, U., & Gupta, R. (2015). Oil Prices and Financial Stress: A Volatility Spillover Analysis. Energy Policy 82, 278-288.

Poon S. H., W. J. Granger C. (2003). Forecasting Volatility in Financial Markets: A Review, Journal of Economic Literature, Vol.41, No.2, pp. 478–539.

Sun, W. (2003). Relationship between trading volume and security prices and returns. Area Exam Report, Technical Report, MIT Laboratory for Information and Decision Systems.

Tsay R. S. (2002). Analysis of Financial Time Series, John Wiley & Sons.

Wang, L. J., An, H. Z., Liu, X. J., & Huang, X. (2016). Selecting Dynamic Moving Average Trading Rules in Crude Oil Futures Markets Using a Genetic Approach. Appl. Energy 162, 1608-1618.

Wang, Z., Kutan A., and Yang, J. (2005). Information flows within and across sectors in Chinese stock markets. The Quarterly Review of Economics and Finance, 45, 767-80.

Worthington, A, and Higgs, H. (2004) Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate گارچ analysis, international journal of finance and economics, vol. 9, pp. 71–80.

Yu, J. Hassan, K (2006) Global and regional integration of the Middle East and North African (MENA) stock markets, The Quarterly Review of Economics and Finance, vol. 13, pp. 482–504.