Study in order to measure nexus and spillover effects from world commodities to Tehran overall stock index: A VAR-BEKK-GARCH Approach

Subject Areas : Financial engineering

mohammadbagher mohammadinejad pashaki ¹ , seyyed jalal sadeghi sharif ² , Mehdi Zolfaghari ³ , Mohammad Eqbalnia ⁴

1 - Department of finance, management and accounting college, Shahid Beheshti university, Tehran, Iran
2 - Department of finance, management and accounting college, Shahid Beheshti university, Tehran, Iran, phone
3 - Department of economy, management and economy college, Tarbiat modares university, Tehran, Iran
4 - Department Financial management, Faculty of Finance, Kharazmi University, Tehran, Iran

Received: 2021-08-17 Accepted : 2021-09-11 Published : 2022-06-22

Keywords: Spillover Effects, commodity, overall stock index, VAR-BEKK-GARCH model,

Abstract :

In recent years increase in the speed of information transfer and market connectedness caused markets to convergence and affect each other. Today every shock or volatility from one market affect the other markets. This paper investigates nexus and spillover effect between commodity and Tehran stock index. Time periods of this paper is 12 years starting from the first of 1388 to the last of 1399. We used VAR-BEKK-GARCH Model to measure correlation and spillover effect from two groups of commodities: the first group includes precious metals (gold, silver, platinum and palladium) and second group includes base metals (copper, aluminum, zinc, tin and nickel) toward Tehran overall stock index. Results for the first group (precious metals) show spillover from gold to Tehran overall stock index and volatility spillover from palladium to Tehran overall index. for the second group (base metals) return spillover from copper, tin and zinc to overall index and volatility spillover from aluminum to overall index was revealed. shock spillover was not seen for any groups of precious metals and base metals to overall index.