The Analysis and Test of Spillover and Volatility of Global Markets for Petrochemical Products and Base Metals (Based on Copula family models)

Subject Areas : Journal of Investment Knowledge

Mahsa Banakar ¹ , Hashem nikoomaram ² , Hasan Ghalibaf Asl ³ , Mehrzad Minouie ⁴

1 - Department of Finance, Science and Research Branch, Islamic Azad university, Tehran, Iran
2 - Department of Finance, Science and Research Branch, Islamic Azad University, Tehran, Iran
3 - Department of Management, Alzahra University, Tehran, Iran
4 - Department of Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran

Received: 2022-01-20 Accepted : 2022-02-02 Published : 2023-06-22

Keywords: Volatility Spillover, Copula Functions, financial contagion, Global Markets,

Abstract :

Fluctuations in commodity prices in global markets have always influenced the behavior and decisions of investors in financial markets. In this research, using the Copula family models, financial contagion or volatility spillover on global price of petrochemical products and base metals on the on the stock price index of eight selected industries of Tehran Stock Exchange listed companies during a period of 10 years (2008-2018) has been reviewed. The research method is descriptive-analytical in nature and applied in terms of purpose. The research hypotheses were tested using an econometric approach based on Copula models and programming in MATLAB software. The results show that the effects of overflow of these variables on the index of selected industries are significant but different.Examination of different models of Copula method showed that T-Student model is most suitable for transmitting spillover effects, which indicates the symmetrical effects of price variables in global markets of petrochemical products and base metals on the index performance of selected industries. And then Clayton and Gumble models are in the next rank.

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