Design a Model for Measuring the Dynamics Volatility Connectedness of Tehran Stock Exchange and Global Markets

Subject Areas : Labor and Demographic Economics

Nasser Gholami ¹ , Teymor Mohammadi ² , abdolrasoul ghasemi ³

1 - PhD student in Oil and Gas Economics, Allameh Tabatabai University, Tehran, Iran
2 - Associate Professor, Department of Energy Economics, Allameh Tabatabai University, Tehran, Iran
3 - Associate Professor, Department of Theoretical Economics, Allameh Tabatabai University, Tehran, Iran

Received: 2020-03-21 Accepted : 2020-05-31 Published : 2020-07-26

Keywords: Financial Markets, D53, dynamics connectedness, Keywords: Tehran Stock Exchange, variance decomposition approach. JEL:C58,

Abstract :

The aim of this article is to measure the dynamics connectedness of Tehran stock market with stock exchanges of selected countries from the Middle East and China, oil and gold markets, the dollar index and the euro-dollar and yuan-dollar. To this end, a variance decomposition approach has been used to measure connectedness of markets between January 2008 and the end of July 2019. The findings show that the variance of forecast errors in most of markets are due to the shocks of those markets themselves. The Qatari Stock Exchange has a significant impact on Saudi and UAE stock exchanges. As the time horizon increases, Brent's oil market will be more influential than other markets, and this market will be more affected by the stock exchanges of the Arab countries and the Shanghai Composite. According to the results, investing in the Tehran Stock Exchange and the yuan-dollar exchange rate due to insignificant dynamics connectedness with other markets is recommended to hedge risk.

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