The Investigation of Contagion Unanticipated Shocks in Iranian Financial Markets by DFGM Approach
Subject Areas : Financial engineeringBoshra Tiemoori 1 , Ghodratollah Emamverdi 2 , Aliasghar Esmaeeilniya ktabi 3 , Shahriar Nessabian 4
1 - Department of Economics, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
2 - Department of Economics, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
3 - Department of Economics, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
4 - Department of Economics, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
Keywords: Financial Markets, Crisis, Contagion, Unanticipated Shocks,
Abstract :
In this study, we investigated of contagion unanticipated shocks of oil price, exchange rate and gold price on the stock market in Iran using DFGM model, aiming to explain the dependence of financial markets in times of fluctuation financial markets in times of volatility. The data includes weekly Tehran Price Index, gold price, oil price and exchange rate from November 2008 to August 2019. The results show that about 99% of the exchange rate fluctuations and the total stock price index in the pre-crisis period are explained by the specific factor. But after the currency shock in January 2018, it was observed that at the end of the year 2018, 88 and 63 percent of the exchange rate fluctuations and the total price index of Tehran Stock, were explained by contagion factor, respectively. The results also show that the currency crisis (currency fluctuations), it has contagioned to the stock market. In addition, evidence of the impact of oil and gold price shocks on the Tehran Stock Total Price Index and the exchange rate was obtained.
-تهرانی، رضا، سیدخسروشاهی، سیدعلی، (۱۳۹۶). انتقال نوسان و اثر متقابل بازارهای سهام، ارز و طلا، چشمانداز مدیریت مالی، شماره ۱۸، ۳۱-۹.
-جهانگیری، خلیل و حکمتی فرید، صمد، (۱۳۹۴). مطالعه آثار سرریز تلاطم بازارهای سهام، طلا، نفت و ارز، فصلنامه پژوهشنامه اقتصادی، سال پانزدهم، شماره ۵۵، ۱۹۲-۱۵۹.
-سیدحسینی، سیدمحمد و ابراهیمی سیدبابک، (۱۳۹۲). مدلسازی و سنجش سرایت تلاطم با استفاده از مدلهای GARCH چند متغیره : مطالعه موردی ایران، امارات و شاخص قیمت جهانی نفت، فصلنامه بورس اوراق بهادار، سال ششم، شماره ۲۱، ۱۵۷-۱۳۷.
-فتاحی، شهرام، سهیلی، کیومرث و دهقان جبارآبادی، شهرام، (۱۳۹۶). بررسی سرایت در بازارهای مالی ایران با استفاده از ترکیبی از فرآیند اورنشتاین اولنبک و تبدیل موجک پیوسته، فصلنامه مدلسازی اقتصادسنجی، سال دوم، شماره چهارم. ۵۳-۳۳.
-فلاحی، فیروز و خلیل، جهانگیری ، (۱۳۹۴). آزمون وجود سرایت مالی میان بازار سهام، ارز و سکه طلا در ایران، دو فصلنامه اقتصاد پولی )دانش و توسعه سابق)، سال بیست و دوم، شماره ۱۰، ۸۱-۶۰.
فتاحی، شهرام، سحاب خدامرادی، مرتضی و ایوتوند، میثاق، (۱۳۹۶). بررسی رابطه همبستگی شرطی بین بازارهای مالی ایران با تأکید بر اثر حافظه بلندمدت و عدم تقارن، فصلنامه اقتصاد مالی، سال یازدهم، شماره ۴۰، ۵۱-۲۵.
-علمی، زهرا، ابونوری، اسماعیل، راسخی، سعید و محمد مهدی، شهرازی ، (۱۳۹۳). اثر شکستهای ساختاری در نوسانات بر انتقال تکانه و سرریز نوسانان میان بازارهای طلا و سهام ایران، فصلنامه مدلسازی اقتصادی، سال دوم، شماره ۸، ۷۳-۵۷.
-کشاورز حداد، غلامرضا و مقاره عابد، سپهر، (۱۳۹۱). آیا بحران مالی جهانی به بازار سهام تهران سرایت کرده است؟ فصلنامه تحقیقات اقتصادی، دوره ۴۸، شماره ۲، ۱۹۹-۱۷۹.
-مرادی، مهوش، آهنگری، عبدالمجید، آرمن، سیدعزیز، (۱۳۹۷). همحرکتی و علیت میان بازار داراییها ( بازار مسکن و داراییهای مالی) در اقتصاد ایران: رویکرد آنالیز موجک، فصلنامه علمی پژوهشی مطالعات اقتصادی کاربردی ایران، سال هفتم،شماره ۲۸، ۱۸۱-۱۶۳.
-نادمی، یونس، خوچیانی، رامین ، (۱۳۹۶). همحرکتی بازارهای سهام، ارز و طلا در ایران: یک تحلیل اکنو فیزیک، فصلنامه مهندسی مالی و مدیریت اوراق بهادار، شماره ۳۱، ۱۶۶-۱۴۹.
-نوروزیفر، طاهره، فتاحی، شهرام و سهیلی، کیومرث، (۱۳۹۸). اثر تحریم بر میزان وابستگی بازار نفت و بازار مالی: رویکرد وابستگی اکستریمال، فصلنامه مدلسازی اقتصادی، سال سیزدهم، شماره ۱، (پیاپی ۴۵): ۱۷-۱.
-نیکومرام، هاشم، پورزمانی، زهرا و دهقان، عبدالمجید، (۱۳۹۳). سرایتپذیری تلاطم در بازار سرمایه ایران، فصلنامه علمی پژوهشی دانش سرمایهگذاری، انجمن مهندسی مالی ایران، سال سوم، شماره ۱۵، ۱۹۹-۱۷۹.
-Andrews, D. W. (1993). Tests for parameter instability and structural change with unknown change point. Econometrica: Journal of the Econometric Society, 821-856.
-Arago, V., & Fernandez, M.A. (2007). Influence of structural changes in transmission of information between stock markets: A European Empirical Study. Journal of Multinational Financial Management, 17: 112-124.
-Bekaert, G., Ehrmann, M., Fratzscher, M. & A. Mehl (2014). The global crisis and equity market contagion. The Journal of Finance, 69 (6): 2597-2649.
Bala,D.A., & Takimoto. (2016). Stock Markets Volatility Spillovers During Financial Crises: A DCC-MGARGH with Skewed t- Density Approach. Borsa Istanbu Review,24: 1-32.
-Baur, D. G. (2010). Financial Contagion and the Real Economy. The Australian National University, Financial Research Network, working paper, 1-35.
-Bai, J. (1997). Estimating multiple breaks one at a time. Econometric theory, 315-352.
-Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of applied econometrics, 18: 1-22.
-Baig, T. and I. Goldfajn (1999). Financial market contagion in the Asian crisis. International Monetary Fund, 167-195.
-Białkowski, J., Serwa, D. (2005). Financial Contagion, Spillovers and Causality in The Markov Switching Framework. Quantitative Finance, 5 : 123-131.
-Bussiere, M. and C. Mulder, (1999). External vulnerability in emerging market economies: how high liquidity can weak fundamentals and contagion. International Monetary Fund, 46: 167-195.
-Chang, Ch. L., McAleer, M., & Tansuchat, R. (2013). Conditional correlations and volatility spillovers between crude oil and stock index returns. The North American Journal of Economics and Finance, 25: 116–138.
-Chow, G. C. (1960). Tests of equality between sets of coefficients in two linear regressions. Econometrica: Journal of the Econometric Society, 591-605.
-Darrat, A.F., & Benkato O.M. (2003). Interdependence and volatility spillovers under market liberalization: The case of Istanbul stock exchange. Journal of Business Finance and Accounting, 30 : 1089–1114.
-Diebold, F.X. & K. Yilmaz (2012). Better to Give than to Receive Predictive Directional Measurement of Volatility Spillover. International Journal of Forecasting, 23: 57-66.
-Dungey, M., Fry, R.A., González-Hermosillo, B., & Martin (2005). Empirical modelling of contagion: a review of methodologies. Quantitative Finance, 5 : 9–24.
-Dungey, M., Fry, R.A., González-Hermosillo, B., & Martin, (2006). International contagion effects from the Russian crisis and the LTCM near-collapse. Journal of Financial Stability, 2 : 1-27.
- Filis, G., Stavros, D., & Christos, F. (2011). Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries. International Review of Financial Analysis, 20 ( 3): 152–164.
-Forbes, K. J., & Rigobon, R. (2000). Contagion in Latin America: Definitions, Measurement, and Policy Implications. NBER Working Paper,1-46.
-Fry, McKibbin, R.A., & Hsiao, C.Y. (2015). Extremal dependence test for contagion. Econometric Reviews, published online 25Nov 2015: 1-24.
-Goldstein, M. (1998). The Asian financial crisis: causes, cures and systemic implications, Institute for International Economics. Policy Analysis in International Economics, 55: 124-147.
-Hartmann, P., Straetmans, S., & De Vries, C. G. (2004). Asset market linkages in crisis periods. Review of Economics and Statistics, 86 : 313-326.
-Kaminsky, G. L., & Reinhart, C.M. (1996).The twin crises: the causes of banking and balance-of-payments problems. International Finance Discussion Papers, 10 : 218-229.
-Khalifa A. A., Hammoudeh, & S., Otranto, E.(2014), “Patterns of Volatility Transmissions within Regime Switching across GCC and Global Markets”, International Review of Economics & Finance, 29: 512–524.
-Korniyenko,Y., Patnam,M., Chanona, R.R.M,. & Porter,M.A. (2018). Evolution of the Global Financial Netoek and Contagion: A New Approach. International Monetary Fund, working paper, 1-46.
-Malik, F., & Hammoudeh, S. (2007). Shock and volatility transmission in the oil, US and Gulf equity markets. International Review of Economics and Finance, 16 (3): 357-368.
-Masson, P. R. (1999). Contagion: Monsoonal effects, spillovers, and jumps between multiple equilibria, in Pierre-Richard Agenor, Marcus Miller, David Vines, and Axel Weber, eds.: The Asian Financial Crises: Causes, Con tagion and Consequences. Cambridge University Press and Cambridge, U.K.
-Quandt, R. E. (1960). Tests of the hypothesis that a linear regression system obeys two separate regimes. Journal of the American statistical Association, 55: 324-330.
-Roy, R. P., & Roy, S. S. (2017). Financial contagion and volatility spillover: An exploration into Indian commodity derivative market. Economic Modelling, 67: 368-380.
-Shahrazi, M. M., Elmi, Z. M., Abounoori, E. & S. Rasekhi (2014). The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets. Iranian Economic Review, 18 (2): 73-86.
Valdes, R.,(1996). Emerging Markets Contagion: Evidence and theory. Banco Central de Chile. Documentos de Trabajo del Banco Central.
_||_Tehrani, Reza, Seyed Khosrowshahi, Seyed Ali, (2016). Volatility transmission and mutual effect of stock, currency and gold markets, Persandim of Financial Management, No. 18, 9-31.
- Jehangiri, Khalil and Farid Hekmati, Samad, (2014). A study of spillover effects of stock, gold, oil and currency market turbulence, Economic Research Quarterly, 15th year, number 55, 159-192.
- Seyed Hosseini, Seyed Mohammad and Ebrahimi Seyed Babak, (2012). Modeling and measurement of volatility contagion using multivariate GARCH models: a case study of Iran, the UAE and the global oil price index, Stock Exchange Quarterly, Year 6, No. 21, 137-157.
- Fatahi, Shahram, Sohaili, Kiyomarth and Dehghan Jabarabadi, Shahram, (2016). Investigating contagion in Iran's financial markets using a combination of Orenstein-Ollenbeck process and continuous wavelet transform, Econometric Modeling Quarterly, second year, fourth issue. 33-53.
- Falahi, Firoz and Khalil, Jahangiri, (2014). The test of the existence of financial contagion between the stock market, currency and gold coin in Iran, two quarters of monetary economics (former knowledge and development), year 22, number 10, 60-81.
Fatahi, Shahram, Sahab Khodamoradi, Morteza and Ayotund, Mithaq, (2016). Examining the relationship of conditional correlation between the financial markets of Iran with emphasis on the effect of long-term memory and asymmetry, Financial Economics Quarterly, Year 11, Number 40, 25-51.
- Elami, Zahra, Abunuri, Ismail, Raskhi, Saeed and Mohammad Mahdi, Shahrazi, (2013). The effect of structural failures in volatility on momentum transfer and volatility spillover between gold and stock markets of Iran, Economic Modeling Quarterly, second year, number 8, 57-73.
- Keshavarz Haddad, Gholamreza and Magare Abid, Sepehr, (2019). Has the global financial crisis spread to Tehran's stock market? Economic Research Quarterly, Volume 48, Number 2, 179-199.
- Moradi, Mahosh, Ahangari, Abdul Majid, Armen, Seyyed Aziz, (2017). Co-movement and causality between asset markets (housing market and financial assets) in Iran's economy: a wavelet analysis approach, Iran Applied Economic Studies Quarterly, 7th year, No. 28, 163-181.
- Nadami, Younes, Khochiani, Ramin, (2016). Synergy of stock, currency and gold markets in Iran: an eco-physics analysis, Financial Engineering and Securities Management Quarterly, No. 31, 166-149.
- Nowrozifar, Tahereh, Fatahi, Shahram and Sohaili, Kiyomarth, (2018). The effect of sanctions on the degree of dependence of the oil market and the financial market: the approach of extreme dependence, Economic Modeling Quarterly, 13th year, number 1, (consecutive 45): 1-17.
-Nikomram, Hashem, Pourzmani, Zahra and Dehghan, Abdul Majid, (2013). Contagion of Turbulence in Iran's Capital Market, Investing Science Quarterly, Iranian Financial Engineering Association, third year, number 15, 179-199.
- Andrews, D. W. (1993). Tests for parameter instability and structural change with unknown change point. Econometrica: Journal of the Econometric Society, 821-856.
-Arago, V., & Fernandez, M.A. (2007). Influence of structural changes in transmission of information between stock markets: A European Empirical Study. Journal of Multinational Financial Management, 17: 112-124.
- Bekaert, G., Ehrmann, M., Fratzscher, M. & A. Mehl (2014). The global crisis and equity market contagion. The Journal of Finance, 69 (6): 2597-2649.
Bala, D.A., & Takimoto. (2016). Stock Markets Volatility Spillovers During Financial Crises: A DCC-MGARGH with Skewed t-Density Approach. Borsa Istanbul Review, 24: 1-32.
- Baur, D. G. (2010). Financial Contagion and the Real Economy. The Australian National University, Financial Research Network, working paper, 1-35.
- Bai, J. (1997). Estimating multiple breaks one at a time. Econometric theory, 315-352.
- Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of applied econometrics, 18: 1-22.
- Baig, T. and I. Goldfajn (1999). Financial market contagion in the Asian crisis. International Monetary Fund, 167-195.
- Białkowski, J., Serwa, D. (2005). Financial Contagion, Spillovers and Causality in the Markov Switching Framework. Quantitative Finance, 5: 123-131.
-Bussiere, M. and C. Mulder, (1999). External vulnerability in emerging market economies: how high liquidity can weaken fundamentals and contagion. International Monetary Fund, 46: 167-195.
-Chang, Ch. L., McAleer, M., & Tansuchat, R. (2013). Conditional correlations and volatility spillovers between crude oil and stock index returns. The North American Journal of Economics and Finance, 25: 116–138.
- Chow, G. C. (1960). Tests of equality between sets of coefficients in two linear regressions. Econometrica: Journal of the Econometric Society, 591-605.
-Darrat, A.F., & Benkato O.M. (2003). Interdependence and volatility spillovers under market liberalization: The case of Istanbul stock exchange. Journal of Business Finance and Accounting, 30: 1089–1114.
-Diebold, F.X. & K. Yilmaz (2012). Better to Give than to Receive Predictive Directional Measurement of Volatility Spillover. International Journal of Forecasting, 23: 57-66.
-Dungey, M., Fry, R.A., González-Hermosillo, B., & Martin (2005). Empirical modeling of contagion: a review of methodologies. Quantitative Finance, 5: 9–24.
-Dungey, M., Fry, R.A., González-Hermosillo, B., & Martin, (2006). International contagion effects from the Russian crisis and the LTCM near-collapse. Journal of Financial Stability, 2: 1-27.
- Filis, G., Stavros, D., & ChRistos, F. (2011). Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries. International Review of Financial Analysis, 20 (3): 152–164.
- Forbes, K. J., & Rigobon, R. (2000). Contagion in Latin America: Definitions, Measurement, and Policy Implications. NBER Working Paper, 1-46.
-Fry, McKibbin, R.A., & Hsiao, C.Y. (2015). Extreme dependence test for contagion. Econometric Reviews, published online 25 Nov 2015: 1-24.
- Goldstein, M. (1998). The Asian financial crisis: causes, cures and systemic implications, Institute for International Economics. Policy Analysis in International Economics, 55: 124-147.
- Hartmann, P., Straetmans, S., & De Vries, C. G. (2004). Asset market linkages in crisis periods. Review of Economics and Statistics, 86: 313-326.
-Kaminsky, G. L., & Reinhart, C.M. (1996). The twin crises: the causes of banking and balance-of-payments problems. International Finance Discussion Papers, 10: 218-229.
-Khalifa A. A., Hammoudeh, & S., Otranto, E.(2014), "Patterns of Volatility Transmissions within Regime Switching across GCC and Global Markets", International Review of Economics & Finance, 29: 512-524.
- Korniyenko, Y., Patnam, M., Chanona, R.R.M,. & Porter, M.A. (2018). Evolution of the Global Financial Network and Contagion: A New Approach. International Monetary Fund, working paper, 1-46.
- Malik, F., & Hammoudeh, S. (2007). Shock and volatility transmission in the oil, US and Gulf equity markets. International Review of Economics and Finance, 16 (3): 357-368.
- Masson, P. R. (1999). Contagion: Monsoonal effects, spillovers, and jumps between multiple equilibria, in Pierre-Richard Agenor, Marcus Miller, David Vines, and Axel Weber, eds.: The Asian Financial Crises: Causes, Contagion and Consequences. Cambridge University Press and Cambridge, U.K.
- Quandt, R. E. (1960). Tests of the hypothesis that a linear regression system obeys two separate regimes. Journal of the American statistical association, 55: 324-330.
-Roy, R. P., & Roy, S. S. (2017). Financial contagion and volatility spillover: An exploration into Indian commodity derivative market. Economic Modelling, 67: 368-380.
- Shahrazi, M. M., Elmi, Z. M., Abounoori, E. & S. Rasekhi (2014). The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets. Iranian Economic Review, 18 (2): 73-86.
Valdes, R., (1996). Emerging Markets Contagion: Evidence and theory. Banco Central de Chile. Documentos de Trabajo del Banco Central.