Dynamic contagion effect of volatility cycle between gold futures market and physical gold market
Subject Areas : Financial engineering
bagher sayari
1
,
Reza Gholami-jamkarani
2
*
,
Mir Feiz Falah
3
,
hosein jahangirnia
4
1 - Department of Financial Management, Qom Branch, Islamic Azad University, Qom, Iran
2 - Department of Accounting, Qom Branch, Islamic Azad University, Qom, Iran
3 - Department of Financial Management, central Tehran Branch, Islamic Azad University. Tehran, Iran and member of Modern Financial Risk Research Group
4 - Department of Accounting, Qom Branch, Islamic Azad University, Qom, Iran
Keywords: Tehran Stock Exchange, dynamic contagion, turbulence cycle, gold futures market, physical gold market,
Abstract :
The interaction between financial derivatives and their underlying physical markets has been the subject of extensive research in finance. This article examines the effect of dynamic contagion between the gold futures market and the physical gold market in financial markets and Tehran Stock Exchange, period of 08/29/2009 and 09/05/2018. It specifically focuses on the oscillating cycle that occurs between these two interconnected domains. Data is collected daily. Using a comprehensive data set covering a significant period, advanced econometric techniques from GARCH-BEKK, Markov-Switching and Structural VAR models to analyze volatility dynamics and contagion between gold futures and We use the physical gold market. Our findings show the existence of a two-way relationship, in which there is a contagion effect of turbulence from the physical gold market to the coin futures market. Also, another result of the research is that the contagion effect of turbulence from the physical gold market to the coin futures market is different in different regimes.
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