The Analysis and Test of Spillover and Volatility Models in Tehran Stock Exchange (based on Copula family model)
Subject Areas : Financial engineeringMahsa Banakar 1 , Hashem Nikoomaram 2 , Hasan Ghalibaf Asl 3 , Mehrzad Minouei 4
1 - Department of Financial Management, Science and Research Branch, Islamic Azad university, tehran, iran.
2 - Department of Financial Management, Science and Research Branch, Islamic Azad University, Tehran, Iran
3 - Department of Management, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran
4 - Department of Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
Keywords: Financial Contagion, Volatility Spillover, Copula Functions,
Abstract :
The present research examines the Financial Contagion or Volatility Spillover by financial assets such as exchange rates, gold and global variables on the stock market index. The correlation and Contagion between variables of global prices of gold, oil, and the dollar exchange rate on the index of 8 selected Tehran stock exchange industries over a period of 10 years (2008-2018) was examined. Method of the research is applied in terms of purpose and analytical-descriptive in terms of the nature. To test the research hypotheses using econometric approach based on Copula models, programming was performed in MATLAB software. The results of the show that the effects of volatility spillover of these variables on the index of selected industries are significant but different. The different models of the Copula method show that the Clayton and Gumbel models are most suitable for transmitting spillover effects in the upper and lower distribution of the range. The t-student model is in the next rank. In other words, the overflow effects of macro variables mostly affect one of the high (positive return) and low (negative return) domains, which indicates the existence of asymmetric effects on the return behavior of the selected industries of the stock exchange.
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