Identification of Contagion Path of currency Crises in Industries of Tehran Stock Exchange

Subject Areas : Labor and Demographic Economics

Maryam  Bazrayi ¹ (PhD Student in Islamic Economics, Department of Economics, Faculty of Humanities, Firoozkooh Branch, Islamic Azad University, Firoozkooh)
Saleh  Ghavidel ² (Associate Professor, Department of Economics, Firoozkooh Branch, Islamic Azad University, Firoozkooh, Iran)
Ghodratollah  Emamverdi ³ (Assistant Professor, Department of Economics, Central Tehran Branch, Islamic Azad University, Tehran, Iran)

Received: 2021-02-06 Accepted : 2021-07-04 Published : 2021-05-22

Keywords: G15, JEL Classification: C01, Joint Contagion Test, F30, E01. Keywords: Capital market, Currency crisis, Ornstein – Uhlenbeck Process,

Abstract :

This study aims to detect path of currency crisis in different listed industries, in order to manage risk of shareholders in stock market. For this purpose, joint Contagion Test, Joint Coskewness Contagion Test and the Ornstein – Uhlenbeck Process are used. The data used in this study include: stock return of the listed industries and daily exchange rate during 2008 to 2020. The results suggest that currency crises of 2011 and 2018 have transmitted to all export- oriented import- oriented and neutral industries (except mass construction). Moreover, the findings support the fact that starting point of crisis contagion in both currency crises is pharmaceutical industry that attracted currency crises due to its strong correlation with exchange market. The next point of contagion in the first currency crisis is investment industry, and in the second currency crisis, basic metals and oil products. It is suggested that when currency crisis occurred, investors increase weight of basic metals stocks and decrease share of pharmaceutical and computers in their portfolio.

References:

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