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Open Access Article

1 - Prediction of Banking Distress and Contagion of Crisis in the Banking Network (With Application of Linear and Non-Linear Hybrid Approach)
Ahmad Bidi Feraydoon Rahnamay Roodposhti Reza Gholami Jamkarani hamidreza kordlouie Morteza Baky Heskouii

The present research aimed at prediction of banking disorder and contagion of crisis in the banking network is conducted by application of linear and non-linear hybrid approach. The present research method is of descriptive-survey, and practical in terms of objective. T More

The present research aimed at prediction of banking disorder and contagion of crisis in the banking network is conducted by application of linear and non-linear hybrid approach. The present research method is of descriptive-survey, and practical in terms of objective. Therefore, in order to attain this objective, firstly, banking system fragility index (BSFI) is reviewed as an early warning system in order to identify banking crisis, in four banking system sectors (specialized, commercial, private and credit institutions), and banking system fragility index is reviewed in the stated four sectors by applying linear and non-linear approaches by making use of data obtained during March 2016 until December 2020. Results of calculation of banking system fragility index in sub-sectors of the banking system indicate periods of high fragility of the banking system, in particular in January, February and March 2017, which might be due to effects of election. Furthermore, in December 2020, high risk-taking was observed in the banking system, arising from creation of a bubble, which represents a strong warning for future problems of the national banking system. Furthermore, during the review period, banking network is noticeably fragile. Notably, results of Granger linear causality test indicate two-sided causality between credit institutions and private banks, a one-sided causal relationship from private banks to specialized and commercial banks and also a one-sided causal relationship from specialized banks to commercial banks. Manuscript profile

Open Access Article

2 - Investigating the mechanism of systemic liquidity risk transmission of corporate stocks in capital market of Iran
Seyed Hamid Reza Sadat Shekarab Fraydoon Ohadi صیقلی seighaly Mirfaze Fallah Shams

This research aims to investigate the mechanism of systemic liquidity risk transmission of corporate stocks in capital market of Iran. For this purpose, 486 listed companies in Tehran stock exchange and OTC from 2011 to 2022 were sampled and the companies were divided More

This research aims to investigate the mechanism of systemic liquidity risk transmission of corporate stocks in capital market of Iran. For this purpose, 486 listed companies in Tehran stock exchange and OTC from 2011 to 2022 were sampled and the companies were divided into ten deciles according to the Amihud illiquidity ratio, Then by using “Diebold & Yilmaz” approach which is based on forcast error variance decomposition in the framework of the generalized VAR model, spillover mechanism and systemic liquidity risk transmission among the formed decimals was investigatd.The preliminary results indicated the existence of spillover effect and systemic liquidity risk among all deciles, with difference intensity and weakness. In such a way that the fifth decile had the highest net transmission of liquidity risk spillover effects to other deciles, and the seventh & third deciles, respectively had the highest net effects of received spillover from other deciles. The general results of the total spillover index (TSI) indicated that risk transmission processes, change and increase after the occurrence of shocks and financial crises. Manuscript profile

Open Access Article

3 - Predicting Financial Contagion from Generating shock in Investment Institutions Activated in Capital Market due to Overlapping Portfolios Risk
Alireza Rayati Shavazi Abbas Rezaei Pandari

The risk of maintaining shared assets or overlapping portfolios risk is one of channels that cause financial contagion. Since a shock in an investor institution can spread to other investment institutions and cause great damage to them and the entire stock market and ev More

The risk of maintaining shared assets or overlapping portfolios risk is one of channels that cause financial contagion. Since a shock in an investor institution can spread to other investment institutions and cause great damage to them and the entire stock market and even cause a crisis in the economy, therefore; The main goal of this research is to provide a model for predicting financial contagion caused by a shock in investor institutions in Tehran Stock Exchange based on overlapping portfolios risk. This research is an analytical survey that was conducted using the statistical method of discriminant analysis. In order to investigate the goal, based on the data related to the stock portfolio of the investing institutions in the Tehran Stock Exchange, a multi-variable discriminant model for predicting financial contagion based on shocks in financial institutions has been presented. The results indicate that "risky assets value of the investment institution", "Debt value of the investment institution" and "Degree of the investing institution portfolio" have been validated as independent variables. Supervision departments can use the models presented in this study to identify industrial groups that have a high risk of overlapping portfolios and maintain the stability of the financial system by taking appropriate decisions. Manuscript profile

Open Access Article

4 - Spillover Effect the on Contest Import & Export oriented industries
Hashem Nikoomaram Zahra Pourzamani Abdolmajid Dehghan

This research is about Spillover Effect The On Contest Import & Export oriented industries. So the Import & Export oriented industries spillover from parallel markets (currency and gold) has been evaluated. For this purpose 2 methods, VAR and MGARCH were applied More

This research is about Spillover Effect The On Contest Import & Export oriented industries. So the Import & Export oriented industries spillover from parallel markets (currency and gold) has been evaluated. For this purpose 2 methods, VAR and MGARCH were applied. Daily data (from october 2007 to August 2013) and examined using Eviews software. In aspect of model representation, this research is a development research and in aspect of method and nature is correlation.Results confirm spillover of Export oriented industries from currency. In other word main research hypothesis that explains Export oriented industries is affected from parallel markets, but This Results don’t confirm spillover of Export oriented industries from gold market, finally other Results don’t confirm spillover import oriented industries from currency and gold market. Side result of research demonstrates a positive and bilateral relation between currency and gold market in research period Manuscript profile

Open Access Article

5 - بررسی سرایت تلاطم بین بازارهای سهام؛ مطالعه موردی بازار سهام ایران، ترکیه و امارات
سید محمد سیدحسینی سید بابک ابراهیمی

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Open Access Article

6 - Investigation of turbulence Contagion and risk dynamics of real and virtual currency with DCC conditional model
ALI BAGHBAN HAMIDREZA KORDLOUIE mirfeyz fallah Reza Gholami Jamkarani

10.30495/jfksa.2022.21086

The foreign exchange market has a very close relationship with other markets and exchange rate changes cause changes in other markets. Contagion means the transfer of fluctuations from one market to another, due to their close relationship. The present study has investi More

The foreign exchange market has a very close relationship with other markets and exchange rate changes cause changes in other markets. Contagion means the transfer of fluctuations from one market to another, due to their close relationship. The present study has investigated the contagious risk of turbulence. In this study, the contagious effect of real and virtual currency fluctuations has been measured. The data used in this study, including the exchange rate of the dollar based on the euro and the price of bitcoin in the period 01/2015 and 2020/01, were collected and examined by the generalized multivariate conditional variance heterogeneity(MGARCH) and DCC method. The present study is based on the classification of research based on method, nature and direction, respectively descriptive survey, applied and post-event. The results of this study confirm the relationship between the volatility of real currency and virtual currency. In other words, the main hypothesis of the research on the contagion of virtual and real exchange rate fluctuations has been confirmed unilaterally from virtual exchange rate to real exchange rate. Manuscript profile

Open Access Article

7 - Dynamic Analysis of Uncertainty Transmission Pattern in Financial, Housing and Macroeconomic Sectors
hamidreza hamidi mirfeiz fallah shams hossein jahangirnia mojgan safa

10.30495/jfksa.2022.20592

The main goal of the current study is to investigate the contagion of uncertainty between sectors (finance, housing and macroeconomics) using a dynamic approach. In this regard, using monthly data in the period from 2008:4 to 2020:3, DCC-GARCH models and generalized for More

The main goal of the current study is to investigate the contagion of uncertainty between sectors (finance, housing and macroeconomics) using a dynamic approach. In this regard, using monthly data in the period from 2008:4 to 2020:3, DCC-GARCH models and generalized forecast error variance decomposition (GFEVD), The overall dynamic relationship as well as the directional pairs dynamic relationship of uncertainty indicators between the mentioned sections are investigated. The results of this study show that the housing sector, with the exception of the beginning of 2017, is a net receiver of uncertainty from the other two sectors. Also, the results of the current research show the dual role of the financial sector in the mechanism of inter-sector uncertainty transfer, so that at some periods it is a net receiver of uncertainty and at some other periods (including the years 2017 and 2018) it is a net source and transmitter of uncertainty in the three indicators system. Inflation uncertainty, as an index of macroeconomic uncertainty, is a major source of uncertainty and a transmitter of uncertainty to the financial and housing sectors. Manuscript profile

Open Access Article

8 - Testing the transmission of price fluctuations of physical assets to selected industries (Application of state space approach and ARDL model)
mahdi shaban habibollah nakhaei ghodratollah talebnia nazanin bashiri manesh

The purpose of this study is to test the transmission of price fluctuations of physical assets to the returns of selected industries including the chemical, pharmaceutical, food, construction and basic metals industries. For this purpose, the data of selected industries More

The purpose of this study is to test the transmission of price fluctuations of physical assets to the returns of selected industries including the chemical, pharmaceutical, food, construction and basic metals industries. For this purpose, the data of selected industries return index, dollar rate, Bahar Azadi coin price (representative of gold market), Iranian crude oil price and housing price from mid-December 2008 to March 2019 were prepared with daily frequency and using conditional heterogeneity variance method and state space approach and Kalman filter, conditional standard deviation of returns is considered as a measure of fluctuations. Then, using the ARDL method, how the fluctuations in the price of physical assets are transmitted to the index of returns of selected industries is described. The results show that the chemical industry from the fluctuations of the foreign exchange market, housing and gold, the pharmaceutical industry from the fluctuations of the oil, foreign exchange and housing markets, the construction materials industry from the fluctuations of the foreign exchange market, the food industry from the fluctuations of the oil market and the basic metals industry from the market fluctuations gold has a contagious linear system that provides evidence of information inefficiency in the Tehran Stock Exchange industry. Manuscript profile

Open Access Article

9 - Systemic risk assessment of the banking system by modeling of the topology of the interbank market network
tayebeh zanganeh Mohammad Ali Rastegar kazem Chavoshi mirfeiz Fallah Shams

The objective of this paper is to analyze the network topology of the Iranian overnight money market through methods of statistical mechanics applied to complex networks in order to assessing systemic risk. We investigate differences in the activities of 33 Iranian bank More

The objective of this paper is to analyze the network topology of the Iranian overnight money market through methods of statistical mechanics applied to complex networks in order to assessing systemic risk. We investigate differences in the activities of 33 Iranian banks dividing into different four types between 2010-2015 by analyzing 66 montly adjacency matrixs. Using degree distribution analysis of the networks, we find that that Iranian interbank market network is scale-free network and cumulative degree, in-degree and out-degree follows the power-law distribution. In terms of the criterion of assortativity, the interbank market network of Iran is assortative and core-periphery with one or more banks as the money center. The results show that the Iranian interbank network is vulnerable to shocks and has high level of systemic risk. Also, in the event of failure, the most vulnerable group is to privatized and specialist governmental banks, and the private banks, due to the high volume of exchanges and net negative flows, can put a considerable systemic risk to the interbank market network. Manuscript profile

Open Access Article

10 - Systemic risk transmission in Iranian financial markets
Sara Vahabzadeh Mirfeiz Fallah Shams Layalestani Mehdi Madanchi Zaj amir reza keyghobadi

The present article is to investigate the contagiousness of systemic risk in Iranian financial markets. In recent years, markets, i Due to the fact that information is not evenly distributed among the players in the market, this asymmetry causes the transmission and tra More

The present article is to investigate the contagiousness of systemic risk in Iranian financial markets. In recent years, markets, i Due to the fact that information is not evenly distributed among the players in the market, this asymmetry causes the transmission and transmission of shock from one market to another In this dissertation, simultaneous multi Garch models and co-variance changes are used, method for identifying seriality and its effects in institutions.each other in the event of various internal and external shocks and creating financial stability, it is necessary to examine the contagiousness of risk between markets.In general, it can be said that the relationship between financial markets can be considered as a strength and can also be explained as the possibility of crisis transmission or systemic riskThe purpose of this study was to investigate the contagiousness of systemic risk in Iranian financial marketsThe variables studied in this study included internal and external shocksexchange rates, oil pricesand information about them during the years 98-97 from the stock exchanges and securities in the target markets and the financial system of the largest oil holding company, Was collected. the variables were calculated and processed using Excel software, and then Ives software was used for statistical analysis of the obtained information and achieving a reliable result.Friedman test, the country's capital market sector with an average rank of 2.9 has the highest share of systemic risk and the banking system with an average rank of 1.8 has the lowest share of systemic risk Manuscript profile

Open Access Article

11 - Spillover Effect On Different industries For Capital Market
hadi pouryaghoubi Yekta Ashrafi

AbstractThe purpose of this paper is to investigate the susceptibility of turbulence in returns between different industries of Iran's capital market for active industries in the Tehran Stock Exchange during the period of 1384-1394. For this purpose, panel data and CCX More

AbstractThe purpose of this paper is to investigate the susceptibility of turbulence in returns between different industries of Iran's capital market for active industries in the Tehran Stock Exchange during the period of 1384-1394. For this purpose, panel data and CCX criteria for risk avatars were used. The results of this study indicate that for the full period of the research sample and for considering the period of recession and crisis in the stock market, the results indicate the effects of overflow in the active industries in the stock market. Estimated coefficients for tipping effects in the sample indicate that in most of the companies surveyed, the effect of overturning is significant. Also, the estimated coefficients for considering the period of the crisis in the stock market indicate that the coefficients are positive for the effect of the outflow in the stock market. Also, in the case study, there is a probability of financial risk fluctuation between the investigated industries. Based on the results, it can be stated that the CCX value and the significant level reported in each section have a negative relation with the amount of direct and value related debt and investment activities. Therefore, the economic sectors that have high debt financing, low value and investment, are in the midst of financial crisis, the initial candidates for fluctuations and declining stock prices. Evidence suggests that those industries that are more competitive will expose the risk sequence more strongly. Manuscript profile

Open Access Article

12 - Contagious topological dynamics in the Iranian stock market
samad sedaghati Ruhollah Farhadi Mir Feyz Fallashams

Contagion in financial markets takes place both because of fundamental or non-fundamental reasons like herd behaviors that can increase market risk levels and even end in inefficient allocation of financial resources. Thus, understanding the contagion and its dynamics w More

Contagion in financial markets takes place both because of fundamental or non-fundamental reasons like herd behaviors that can increase market risk levels and even end in inefficient allocation of financial resources. Thus, understanding the contagion and its dynamics will be critical for the participants of financial market. Hence, using network-based epidemic modeling, the study examined the dynamics of contagion in the Iranian stock market from 2011 to 2019 and short-term and long-term scales. To this end, first the correlation network of 46 Iranian stock market groups was developed and then analyzed using short-term and long-term contagion dynamics simulations. The results showed that the extent and speed of contagion is much higher in the short-term than in long-term and in long-term a significant number of groups can be immune to the contagion. However, in long-term the rate of return to pre-contagion status is shorter than in short-term Manuscript profile

Open Access Article

13 - A study Of the contagion of financial helplessness and credit risk in the country's banking system
Mohsen Shoja Veshvad Gholamreza Zomordian Mohammad Ebrahim Pourzarandi Mehrzad Minouie

Designing and implementing a credit risk measurement model in the country's banking system will play an effective role in increasing the productivity of the country's banks in the optimal allocation of resources. Therefore, credit has an important role in the performanc More

Designing and implementing a credit risk measurement model in the country's banking system will play an effective role in increasing the productivity of the country's banks in the optimal allocation of resources. Therefore, credit has an important role in the performance of the country's banking sector. Therefore, based on this argument, the present study designs and explains a model for the contagiousness of companies' financial distress risk and credit risk in the country's banking system. For this purpose, the limit (limit) theory of Akhtar and Dali (2017) research was used to measure the contagiousness model of financial distress risk. The hypotheses were tested using the statistical method of regression analysis with combined data using the information of 23 banks listed on the Tehran Stock Exchange during the years 2014 to 2019. The findings of the first hypothesis of the study indicate that there is a significant relationship between the risk of financial helplessness of banks and the credit risk of the country's banking system. Also, the result of the second hypothesis showed that the risk of financial helplessness of banks is transmitted to the Iranian banking system in the form of credit risk. Manuscript profile

Open Access Article

14 - Condensed Turbulence Influence of Return on Banks Accepted in the Stock Exchange
rahman doostian babak jamshidi navid mehrdad ghanbary Abdolmajid Dehghan

The present study attempts to investigate the turbulence of parallel markets of capital markets on stocks of Bourse banks. In this study, the visibility of bank metals has been measured separately from parallel markets of foreign currency and gold, as well as oil market More

The present study attempts to investigate the turbulence of parallel markets of capital markets on stocks of Bourse banks. In this study, the visibility of bank metals has been measured separately from parallel markets of foreign currency and gold, as well as oil market as an independent market. In this regard, the method of self-regression vector analysis (VAR) and self-regression model are used to determine the heterogeneity of generalized multivariate variances (MGARCH). The data of this research have been compiled using Eviews software from the beginning of July 2012 to the end of September 2012 and tested. The method of this research is based on the classification of research based on the method, nature and direction are descriptive, applied and post-event respectively, and are considered as a correlation in terms of type. The results of this study confirm the relationship between the impact of bourse banks on parallel markets of currency, gold and oil. Accordingly, the main assumptions of the research that the stock markets of stock exchanges in the capital market are affected by parallel markets is maintained from two perspectives of return and risk. Manuscript profile

Open Access Article

15 - The contagiousness of the risk of financial distress in Iranian banks with a dynamic conditional turbulence approach
Behrouz Barzegar mir feiz Fallah Shams maryam khalili araghi hashem nikoomaram

In the present study, the effect of the spread of financial distress in Iranian banks with a dynamic conditional turbulence approach for the use of economic decision makers and financial managers has been investigated.The statistical population of the study includes Mel More

In the present study, the effect of the spread of financial distress in Iranian banks with a dynamic conditional turbulence approach for the use of economic decision makers and financial managers has been investigated.The statistical population of the study includes Mellat, Tejarat, Saderat and Parsian banks, which have been analyzed in the period of 2016-2016. The present study, using the KMV method and the concept of distance to default, and using the VAR model and the DCC-GARCH method, has investigated the possibility of spreading financial distress to other banks.The results show that there is a significant relationship between the risk of financial helplessness of banks with each other; Bank Mellat has the highest risk of transmission of helplessness and Parsian Bank shows the least effectiveness. According to the results of the model, increasing the operational risks of banks, including credit risk and market risk, has a significant effect on increasing the risk of financial distress and this risk can spread to other banks in the banks' communication network and then the entire economy. Manuscript profile

Open Access Article

16 - Emotional Quotient Impact on Investment Funds Performance in Iran Emphasis on Mental Accounting
Esmaeil Ghasemi fatemeh sarraf Mohsen Hamidian Roya Darabi

The Purpose of this research is the investigation of relation between the investors' behavior and defining the effect of emotional quotient on decision making activity at the time of investing.For this objective, investment biases such as mental accounting, risk aversio More

The Purpose of this research is the investigation of relation between the investors' behavior and defining the effect of emotional quotient on decision making activity at the time of investing.For this objective, investment biases such as mental accounting, risk aversion, spread influence are taken into consideration.From Target and Method view of point, this research can be considered as Applied and Survey -Descriptive research respectively. Data of this research is collected through a questionnaire including 34 questions which distributed between 207 investment fund investors and analysis done via Lissrel software and Structural Equations.By testing the main hypothesis, the results clearly shows that there is a significant relation between emotional quotient, mental accounting and spread influence. Manuscript profile

Open Access Article

17 - Modeling the Liquidity Risk Spillover Between Banks Accepted in the Tehran Stock Exchange Market
abas banisharif mir feyz fallahshams zad fathi

The analysis and examination of the spillover of risks among markets has been emphasized in practice for some decades by the theorists and scholars from different fields. The complex atmosphere of the financial markets and the close relationship between these markets an More

The analysis and examination of the spillover of risks among markets has been emphasized in practice for some decades by the theorists and scholars from different fields. The complex atmosphere of the financial markets and the close relationship between these markets and also the necessity of predicting the future economic changes prompted the financial researchers to take an effective step to attain the goals of the financial and economic system by discovering and analyzing the relationships between those markets. Identifying the financial risks in banking industry and the way they are transferred among different banks is one of the main financial issues that has a significant role in realizing the risk management of the financial institutes and banks. The present research was conducted to examine the spillover of one of the financial risks (liquidity risk) among the banks listed on Tehran Stock Exchange. The liquidity adjusted Value-at-Risk (LaVaR) has been used to evaluate the liquidity risk and the required data has been gathered from 8 banks listed on Tehran Stock Exchange on daily basis from 2011 to Sep. 2020. The method of spillover of the risks to each other has been modeled based on GARCH-DCC model. All obtained coefficients had a significant difference with zero in the estimated model and at 95% confidence level, and the estimated variance equation indicate the existence of spillover of liquidity risk as mutual among the banks Manuscript profile

Open Access Article

18 - The Analysis and Test of Spillover and Volatility of Global Markets for Petrochemical Products and Base Metals (Based on Copula family models)
Mahsa Banakar Hashem nikoomaram Hasan Ghalibaf Asl Mehrzad Minouie

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 product More

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. Manuscript profile

Open Access Article

19 - Constant Conditional Correlation Volatility Transmission Model with Long Memory Effect, evidence from Tehran and Dubai Stock Market
Seyed Mohammad Seyedhosseini Seyed Babak Ebrahimi Masoud Babakhani

The expansion of Globalization not only affects developed countries’ financial markets, but also the markets in developing countries. This condition causes investors who diversify their asset portfolio in foreign markets, pay serious attention to links between sto More

The expansion of Globalization not only affects developed countries’ financial markets, but also the markets in developing countries. This condition causes investors who diversify their asset portfolio in foreign markets, pay serious attention to links between stock markets. This fact implies that there is an equilibrium relation between financial markets.Global oil price fluctuation is one of the factors that affect the capital markets in countries where the economy is based on oil revenues.  Most of these markets have long-run memory characteristic which should be considered in modeling and estimation. In this research the Constant Conditional Correlation (CCC) model is expanded in the way to imply long-term memory effect in the estimation. The data which is used is daily return of stock price and oil price in the period December 2006 to January 2010. The results indicate volatility contagion from global oil market to Dubai stock and Tehran stock market and also there is contagion effect between Dubai and Tehran stock market Manuscript profile

Open Access Article

20 - Spillover Effect On The On Contest Markets For Capital Market
Hashem Nikoomaram Zahra Pourzamani Abdolmajid Dehghan

This research is about effect of volatility spillover in Iran capital market. So the Iran capital market spillover from parallel markets (currency and gold) and oil market as an effective independent market has been evaluated. For this purpose 2 methods, VAR and MGARCH More

This research is about effect of volatility spillover in Iran capital market. So the Iran capital market spillover from parallel markets (currency and gold) and oil market as an effective independent market has been evaluated. For this purpose 2 methods, VAR and MGARCH were applied. Daily data (from November 2011 to August 2013) and weekly data (from April 2003 to August 2013) were gathered and examined using Eviews software. In aspect of model representation, this research is a development research and in aspect of method and nature is correlation. Results confirm spillover of capital market from currency, gold and oil market. In other word main research hypothesis that explains capital market is affected from parallel markets in two aspects of risk and return, remained. Side result of research demonstrates a positive and bilateral relation between currency and gold market in research period. Also this is obtained that the best proxy for evaluating of Iran capital market spilloveris TEDPIX. Finally the model that explains effect of daily return of currency and gold market on return of TEDPIX was detected as the best conceptual and mathematical estimator of intermarket spillover effects. Manuscript profile

Open Access Article

21 - Investigating the Conceptual Model Explaining the Contagion Turbulence Influencing Returns in Banks Accepted in the Stock Exchange
Rahman Doostian Babak Jamshidi navid Mehrdad Ghanbari Abdol Majid Dehghan

The present study investigates the volatility of parallel markets of capital markets on stocks of Bourse's banks. In this study, the visibility of bank libraries has been measured separately from parallel markets of foreign exchange and gold, as well as the oil market a More

The present study investigates the volatility of parallel markets of capital markets on stocks of Bourse's banks. In this study, the visibility of bank libraries has been measured separately from parallel markets of foreign exchange and gold, as well as the oil market as an influential independent market. In this regard, the method of Vector Auto Regression Model (VAR) and self-regression model is used to predict the heterogeneity of generalized multivariate variances (MGARCH). The data from the beginning of July 2012 to the end of September 2018 were collected and tested. The method of this research is based on the classification of research based on the method, nature and direction are descriptive, applied and post-event respectively, and are correlated in terms of type. The results of this study confirm the relationship between the impact of bourse banks on parallel markets of currency, gold and oil. Based on this, the main hypotheses of the research that the stock markets of stock exchanges are active in the capital market from parallel markets is maintained from two perspectives of return and risk. Finally, in this study, the estimated model, which relates to the daily returns of gold and foreign exchange markets on the returns of the total stock market index, has been conceptually and mathematically explained as the best estimator of the effects of cross-market contagion. Therefore, the results of testing the research hypotheses over the time period under study confirm that the contagion effects of contingent volatility of the yields of banks admitted to the stock market by the MGARCH model are predictable. Manuscript profile

Open Access Article

22 - A smart clinical Lab Assistant: From design to build
Saba Sadeghi Bigham Golsa Salari Fatemeh Rezaeian Maryam Davoudi

Introduction: Nowadays, scientific laboratories are moving towards becoming intelligent. However, reading the test steps and recording the findings is often still done by paper note-taking, which can cause the transfer of microbial (parasites, fungi, viruses, bacteria) More

Introduction: Nowadays, scientific laboratories are moving towards becoming intelligent. However, reading the test steps and recording the findings is often still done by paper note-taking, which can cause the transfer of microbial (parasites, fungi, viruses, bacteria) and chemicals (such as acrylamide and radioactive substances) contamination to the researcher's personal devices and notes. This sometimes even leads to the spread of pollution to spaces outside the laboratory. The purpose of this study is to design and implement an intelligent voice-controlled tool that can carry out the testing and recording of findings with voice commands to software designed on the researcher's mobile phone without the need to touch.Method: The proposed design consists of two parts, software, and hardware. Its "hardware" or "remote control" part consists of a PCB board that enables the control to connect to the mobile Wi-Fi through its ESP32 Wi-Fi module. Next to this board, a keyboard is designed which consists of 4 operation keys. For the software part, C Sharp programming language was used and it was developed using the Xamarian framework to design an Android application. This application provides the functionalities to perform an experiment.Findings: First, the correct operation of 4 keys was tested by the computer test, and by pressing each of the keys, the words Next', 'Previous', 'Record', and 'Play/Stop' appeared on the software installed on the laptop, which showed the command It is running correctly. In addition, upon exiting the software on the computer, the control lamp would also turn red, which indicates the correct disconnection. In the following, this test was repeated using a mobile phone with the Android operating system, which showed the correct communication and correct operation of the four operating keys.Discussion: In general, the designed laboratory audio assistant has been able to minimize the problem of transferring contamination to personal devices and researcher's notes when working with laboratory protocols and record findings with a new method. Manuscript profile

Open Access Article

23 - جستاری در مسؤولیّت کیفری ناشی از انتقال بیماری‌ها از طریق رابطه جنسی
یونس مصباح مریم آقایی بجستانی محمد روحانی مقدم

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24 - Modeling of job characteristics and job stress with the mediating role of emotional transmission among female medical staff in Tabriz hospitals during the Covid-19 pandemic
Nasim Saberi Jahangir Yari Omid Ali Hosseinzadeh

10.30495/jwsf.2023.1993289.1884

The aim of this study was to model job characteristics and job stress with the mediating role of emotional contagion among female medical staff in Tabriz hospitals during the Covid-19 pandemic. The method of the present study was descriptive-survey and the correlational More

The aim of this study was to model job characteristics and job stress with the mediating role of emotional contagion among female medical staff in Tabriz hospitals during the Covid-19 pandemic. The method of the present study was descriptive-survey and the correlational research design was structural equation modeling. The statistical population of this study was all female medical staff of Tabriz hospitals in 2021-2022. Among these staff, 262 women medical staff were purposefully selected by voluntary sampling. The research instruments included job characteristics questionnaire (JCHQ), emotional contagion questionnaire (ECQ) and job stress questionnaire (JSQ). Structural equation modeling was used to analyze the data. The results showed that there was a significant relationship between job characteristics with emotional contagion (0.414), emotional contagion with job stress (-0.307) and job characteristics with job stress (-0.146) (P <0.01). Also, the mediating role of emotional contagion between the path of job characteristics and job stress (-0.127) was significant (P <0.01). On the other hand, the reliability and validity of the research model also showed that the research model is at a desirable level. Given the results, the government should consider increasing investment in the health care system to reduce job stress in health care workers who face higher workloads. Manuscript profile

Open Access Article

25 - Feasibility study of "forgiveness" of possible contagion due to crim
Hamid Masjedsaraei Hasan Poorlotfalah Reaz Elhami

10.22034/ijrj.2022.1952056.4105

The Islamic Penal Code has been silent on the possibility of a "pardon" of Johnny by Majniyah against the possible future spread of the crime of intentional assault. Reference to authentic Islamic sources and fatwas indicates that the present issue is the sour More

The Islamic Penal Code has been silent on the possibility of a "pardon" of Johnny by Majniyah against the possible future spread of the crime of intentional assault. Reference to authentic Islamic sources and fatwas indicates that the present issue is the source of disagreement among jurists, so that the well-known jurists, mainly because such an amnesty requires our removal, do not consider it correct and remove the guarantee from They do not know the next infection. The second view considers such an amnesty to be a valid will, which is valid and effective for up to one-third of the diyat, and more than one-third of which is subject to the permission of the heirs. In contrast, some other contemporary jurists, without justifying this pardon by will, have absolutely ruled that such an amnesty is correct, which, in turn, guarantees the removal of any further contagion for Johnny. The present article, with its descriptive-analytical method, while re-reading the jurisprudential principles of the proposed views and using the available documents and approvals, has considered the third promise to be defensible. The proposal of the present article is that the legislature, with the aim of creating the unity of judicial procedure, by adding a legal article, to give legal validity to the "correctness of pardon from contagion and non-guarantee of life Manuscript profile

Open Access Article

26 - Jurisprudential Reflection on the Signified of Article 440 in Islamic Penal statute
Seyyedeh Mahboubeh Hassani Abolhasskolaei Mohammad Mohseni Dehkalany Ali Akbar Jahani

10.22034/ijrj.2018.540066

When a criminal is sentenced to retaliation for crimes less than death, the demand of someone who has been committed a crime against him is sufficient for retaliation. This question may be raised that whether the complete retaliation of an injury of criminal, prior to t More

When a criminal is sentenced to retaliation for crimes less than death, the demand of someone who has been committed a crime against him is sufficient for retaliation. This question may be raised that whether the complete retaliation of an injury of criminal, prior to the establishment of full recovery in the real crime victim is permissible or not? Famous jurists based on the Qur'anic generalities and absolutes, and no-spread principle, made the license of retaliation before recovery of their own principle. In contrast, some jurists have not accepted the license of retaliation before recovery. And some others have divided between the injuries that are typically spreading and injuries which do not spread. It is noteworthy that the legislator has provided and presented in Article 440 of Islamic Penal statute. But before executing a life retaliation, the heir authority should pay the blood money of crime as retaliating perpetrator`s. And if the emerged spread is considered unintentionally, the perpetrator is condemned to pay the blood money which is committed by the spread, and does not diminish the amount of the blood money retaliation. The authors, after reviewing the issue and with great care in its documentation, believe that the lack of retaliation permission has no legal basis. Ultimately, they choose “the divisiveness view” as their choice. Manuscript profile

Open Access Article

27 - The "amnesty" feasibility study is a possible spread of crime
Hamid Masjedsaraei Hasan POurlotollah reza elhami

10.22034/ijrj.2023.700478

The Islamic Penal Code has been silent on the possibility of a "pardon" of Johnny by Majni Alayh against the possible future spread of the crime of intentional assault. Reference to authentic Islamic sources and fatwas indicates that the present issue is the source of d More

The Islamic Penal Code has been silent on the possibility of a "pardon" of Johnny by Majni Alayh against the possible future spread of the crime of intentional assault. Reference to authentic Islamic sources and fatwas indicates that the present issue is the source of disagreement among jurists, so that the well-known jurists, mainly because such an amnesty requires our removal, do not consider it correct and remove the guarantee from They do not know the next infection. The second view considers such an amnesty to be a valid will, which is valid and effective for up to one-third of the diyat, and more than one-third of which is subject to the permission of the heirs. In contrast, some other contemporary jurists, without justifying this pardon by will, have absolutely ruled that such an amnesty is correct, which, in turn, guarantees the removal of any further contagion for Johnny. The present article, with its descriptive-analytical method, while re-reading the jurisprudential principles of the proposed views and using the available documents and approvals, has considered the third promise to be defensible. The proposal of the present article is that the legislature, with the aim of creating the unity of judicial procedure, by adding a legal article, to give legal validity to the "correctness of pardon from contagion and non-guarantee of life". Manuscript profile

Open Access Article

28 - Identification of Contagion Path of currency Crises in Industries of Tehran Stock Exchange
Maryam Bazrayi Saleh Ghavidel Ghodratollah Emamverdi

10.30495/eco.2021.1922778.2483

This study aims to detect path of currency crisis in different listed industries, in order to manage risk of shareholders in stock market. For this purpose, joint Contagion Test, Joint Coskewness Contagion Test and the Ornstein – Uhlenbeck Process are used. The da More

This study aims to detect path of currency crisis in different listed industries, in order to manage risk of shareholders in stock market. For this purpose, joint Contagion Test, Joint Coskewness Contagion Test and the Ornstein – Uhlenbeck Process are used. The data used in this study include: stock return of the listed industries and daily exchange rate during 2008 to 2020. The results suggest that currency crises of 2011 and 2018 have transmitted to all export- oriented import- oriented and neutral industries (except mass construction). Moreover, the findings support the fact that starting point of crisis contagion in both currency crises is pharmaceutical industry that attracted currency crises due to its strong correlation with exchange market. The next point of contagion in the first currency crisis is investment industry, and in the second currency crisis, basic metals and oil products. It is suggested that when currency crisis occurred, investors increase weight of basic metals stocks and decrease share of pharmaceutical and computers in their portfolio. Manuscript profile

Open Access Article

29 - The Impact of Economic Sanctions on the Amount of Dependence between Oil and Financial Market (Extremal Dependence Approach)
Tahereh Nowrouzifar shahram fattahi Kiomars sohaili

Abstract This study tries to examine the contagion between oil and financial markets using a new method of co-volatility. In this survey, identification and measurement of contagion between financial markets, and contagion between oil and financial markets in Iran have More

Abstract This study tries to examine the contagion between oil and financial markets using a new method of co-volatility. In this survey, identification and measurement of contagion between financial markets, and contagion between oil and financial markets in Iran have been investigated. The daily data for the period 2009-2015 is used which has been extracted from the Central Bank and the OPEC websites. Oil sanction has caused in a reduction in correlation between stock and oil markets fluctuations in short and long-term periods and between gold and oil markets in long-term period. In addition, oil sanction has caused to an increase in correlation among the fluctuations of oil and exchange, gold and exchange, gold and stock, exchange and stock markets during the two periods.  Manuscript profile

Open Access Article

30 - Long-run Relationship between the Volatility of Effective Real Exchange Rate and Industrial Return Index in Tehran Stock Exchange Market (Multivariate GARCH Approach)
Esmaeil Aboonouri AmirMansour Tehranchian Mostafa Hamzeh

This paper, empirically, analyzes dynamic relationship between real effective exchange rate and industrial index in Tehran Stock Exchange market using VAR and Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH), by monthly time series data du More

This paper, empirically, analyzes dynamic relationship between real effective exchange rate and industrial index in Tehran Stock Exchange market using VAR and Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH), by monthly time series data during 2001-2011. The results represent that there is no long-term significant relationship between effective real exchange rate and industry index. Furthermore, the paper examines the cross-volatility effects between foreign exchange and stock markets. There is a bidirectional volatility spillovers effects between two markets. This indicates that previous innovations in stock market affects on the future volatility in foreign exchange market, and vice versa. Manuscript profile

Open Access Article

31 - Designing and explaining the dynamic model of comprehensive risk transfer of cryptocurrency in the financial markets of the world
Reza Karimi Mirfeiz Falahshams Shadi Shahverdiani Gholamreza zomorodian

10.30495/ecomag.2023.1979337.1057

The purpose of this article was to provide a dynamic and dynamic model to explain how to transfer the pervasive risk of cryptocurrencies in the world markets. In this regard, the statistical information of the cryptocurrency market index and the data of the Nasdaq, New More

The purpose of this article was to provide a dynamic and dynamic model to explain how to transfer the pervasive risk of cryptocurrencies in the world markets. In this regard, the statistical information of the cryptocurrency market index and the data of the Nasdaq, New York, Toronto, London, Frankfort, Madrid, Shanghai, Hong Kong, Tokyo, and Mumbai stock market indices were used. In this research, the data related to the cryptocurrency market and financial markets from July 2012 to July 2022 have been used. In the first part of this study, using the information of the period 2012-2022, based on the frequency of monthly data for the financial markets, the comprehensive risk criterion has been calculated using the method of value at risk, conditional interval and expected loss. In the second part, using multivariate conditional heteroscedastic variance autocorrelation method (MGARCH), the external effects related to pervasive risk related to cryptocurrency were estimated on financial markets. The obtained results indicate that there are spillover effects between financial markets and an increase in pervasive risk in each of the financial markets leads to an increase in pervasive risk in other financial markets. In the second part, using multivariate conditional heteroscedastic variance autocorrelation method (MGARCH), the external effects related to pervasive risk related to cryptocurrency were estimated on financial markets. The obtained results indicate that there are spillover effects between financial markets and an increase in pervasive risk in each of the financial markets leads to an increase in pervasive risk in other financial Manuscript profile

Open Access Article

32 - Risk Spillover from Financial Sector to Real Sector using the Conditional Coincidence Index (CCX): Case Study of Iranian Capital Market
اسمعیل ابونوری رضا تهرانی حسین صبوری

10.30495/fed.2021.687868

Risk contagion between financial sectors indicates the process of information transfer between markets. Given that financial markets are interlinked, information created in a market can affect other markets. Meanwhile, risk modeling in different markets and the relation More

Risk contagion between financial sectors indicates the process of information transfer between markets. Given that financial markets are interlinked, information created in a market can affect other markets. Meanwhile, risk modeling in different markets and the relationship between these markets with each other in terms of financial science, in terms of its use in forecasting, is an issue of importance. The purpose of this study was to investigate the financial risk appetite from the financial sector to the real sector of the economy using CCX for the active industries in the Tehran Stock Exchange during the period of 1388-1395. For this purpose, we used the Generalized Method of Moments (GMM) and CCX methods. In this study, firstly, the cycles of boom and recession were extracted using the Cristiano-Filzagrande intermediate pass filter. The results of this study indicate that for the full period of the research sample and considering the period of the boom and the recession in the stock market, the results indicate the effects of overflow in the active industries in the stock market. Estimated coefficients for tipping effects in the sample indicate that in most of the companies surveyed, the effect of overturning is significant. Also, the estimated coefficients for considering the period of the crisis and the recession in the stock market indicate that the coefficients are positive for the effect of the outflow in the stock market. Also, in the case study, there is a probability of financial risk fluctuation between the investigated industries. Based on the results, it can be stated that the amount of CCX and the significant level reported in each sector have a negative relationship with the amount of direct and value related debt and investment activities. In addition, the results indicate that the risk and turmoil among the active industries in the stock market and the real sector of the Iranian economy are tangible. Manuscript profile

Open Access Article

33 - همبستگی شرطی پویای نوسانات قیمت نفت و بازار سهام کشورهای حوزه خلیج فارس با تاکید بر سرایت بحران مالی
مجتبی کریمی فاطمه صراف قدرت اله امام وردی علی باغانی

Manuscript profile

Open Access Article

34 - Dynamic spillover between foreign exchange and stock markets in the business cycles of Iranian economy
Mehdi Mozafarnia Mir Faiz Fallah Shams Lialestani Gholamreza Zamardian

10.30495/fed.2023.702198

Abstract The increasing integration of financial markets and recent financial crises has created a new wave of researchers' attention to the issue of spillover and contagion in financial markets, to be able to better choose risk hedging instruments whit predicting mark More

Abstract The increasing integration of financial markets and recent financial crises has created a new wave of researchers' attention to the issue of spillover and contagion in financial markets, to be able to better choose risk hedging instruments whit predicting market trends. Policymakers and market participants are also increasingly paying attention to the spillover effects and how they behave during different periods of economic boom and busts. Therefore, the present study aims to estimate the spillover effects between foreign exchange and stock markets in the Iranian economy and seeks to study how the spillover between these two markets behaves in the business cycles of the Iranian economy. For this purpose, by studying the daily data of 1389-1399 in which the Iranian economy is facing two periods of economic boom and two periods of economic recession, the daily spillover of foreign exchange and stock markets has been estimated and analyzed based on dynamic spillover econometric approach of Diebold and Yilmaz (2012). According to the results, in general, the spillover effect between two markets exists, but the spillover rate from the foreign exchange market to the stock market is higher than the spillover from the stock market to the foreign exchange market. Also, the spillover and, of course, the dependence of the two markets during the recession was time-varying and is more severe than during the boom. These results have important implications for policymakers and market participants and show that it is necessary to consider the relationship between the foreign exchange market and stock market according to the state of the business cycle of the economy in investment policies and decisions. Also, it is not optimal to adopt a fixed and predetermined approach, both for macro policies and for investment strategies, in these markets. Manuscript profile

Open Access Article

35 - Study of Financial Distress Spillover Effect among Automobile Supply Chain Companies Listed in the Tehran Stock Exchange
Bita delnavaz mirfeiz fallah

Multiplicity of the companies experiencing financial distress in different countries and as a consequence, their bankruptcy and the impacts on other companies have necessitated conducting research on methods of prediction of such conditions and also their effects on oth More

Multiplicity of the companies experiencing financial distress in different countries and as a consequence, their bankruptcy and the impacts on other companies have necessitated conducting research on methods of prediction of such conditions and also their effects on other companies in the market. In this regard, this research has investigated the financial distress spillover in the automobile supply chain companies. For doing so, the methods of default probability time series KMV and the distance from default of four supply chain companies of Iran Khodro were calculated. Then, the financial distress spillover in these companies was measured, using multivariate GARCH model. The results of the default probability of Iran Khodro companies showed that the default probability with pause of Khodro on the default probability of supply chain companies was significant and negative in 10% level. Manuscript profile

Open Access Article

36 - The Investigation of Contagion Unanticipated Shocks in Iranian Financial Markets by DFGM Approach
Boshra Tiemoori Ghodratollah Emamverdi Aliasghar Esmaeeilniya ktabi Shahriar Nessabian

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 volatili More

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. Manuscript profile

Open Access Article

37 - The Analysis and Test of Spillover and Volatility Models in Tehran Stock Exchange (based on Copula family model)
Mahsa Banakar Hashem Nikoomaram Hasan Ghalibaf Asl Mehrzad Minouei

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 e More

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. Manuscript profile

Open Access Article

38 - Risk spillover and dynamics between financial markets, commodity markets and digital currencies with the MGARCH method
Hamid Mohammadishad Mahdi Madanchi Zaj Amir Reza Keyghobadi

Risk spillover between financial assets indicates the process of information transfer between markets. Financial markets are related, information created in one market can affect other markets. Risk modeling in different markets and the relationship between these market More

Risk spillover between financial assets indicates the process of information transfer between markets. Financial markets are related, information created in one market can affect other markets. Risk modeling in different markets and the relationship between these markets are important for forecasting. The purpose of this paper was to investigate the spillover and dynamics of risk between commodity markets, financial markets and digital currencies using the multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) method in the period 2020-2014 with the frequency of daily data. The results of this study indicate the spillover of fluctuations between financial markets and the ratio of dollar to euro and bitcoin had a negative and significant relationship with each other, but other financial assets had a positive and significant relationship in terms of returns and fluctuations. Additionally the stability, the trend of changes in oil and gold prices leads to an important relationship between returns and strengthens the transfer of risk between the foreign exchange market, virtual money, oil and gold. Finally, the research model shows the intensity of contagion between financial markets in the context of small and large shocks, which indicates the existence of asymmetric effects on risk overflow between important financial markets. Manuscript profile

Open Access Article

39 - Inclusive Risk Estimation and Its Contagion in the Country's Financial System with the Approach of Dynamic Conditional Correlation Model
Leila Barati Mirfeiz Fallah Farhad Ghafari Alireza Heidarzadeh Hanzaei

The purpose of this paper was to assess the overall risk in various financial sectors, including banking, insurance and investment companies. Pervasive risk in general indicates the possibility of collapse of the entire financial system in a crisis. While in most cases, More

The purpose of this paper was to assess the overall risk in various financial sectors, including banking, insurance and investment companies. Pervasive risk in general indicates the possibility of collapse of the entire financial system in a crisis. While in most cases, investors in different markets worry about losing the value of a stock or commodity and measure the risks involved, the risk is pervasive, focused on the market as a whole and likely to fall. In this study, the method of measuring changes in value at risk based on the returns of financial institutions has been used. In this study, statistical information of banks, investment companies and commercial insurances during the years 1380-1399 has been used. The results show that all three sectors during this time period are significantly involved in hedging risk in Iran and investment companies have the largest share in hedging risk, followed by segments respectively. Banking and insurance are included. Manuscript profile

Open Access Article

40 - Financial Contagion Investigation of the Systemic Risk of Currency and Cryptocurrency in the Global Financial Markets (BEKK Approach)
Ali Baghban Reza Gholami Jamkarani Mir Feyz Fallah Hamidreza Kordlouie

The present study has investigated the contagious risk of turbulence.In this study, the contagious effect of real and virtual currency (Bitcoin) fluctuations has been measured. In this regard, the method of self-regression vector analysis (VAR) and the conditional autor More

The present study has investigated the contagious risk of turbulence.In this study, the contagious effect of real and virtual currency (Bitcoin) fluctuations has been measured. In this regard, the method of self-regression vector analysis (VAR) and the conditional autoregressive model on the heterogeneity of multivariate generalized variances (MGARCH) have been used.The data used in this study, including the exchange rate of the dollar based on the euro and the price of bitcoin in the period 01/2015 and 2020/01, were collected and examined by the generalized multivariate conditional variance heterogeneity (BEKK) method. The present study is based on the classification of research based on method, nature and direction, respectively descriptive survey, applied and post-event. The results of this study confirm the relationship between the volatility of real currency and virtual currency. In other words, the main hypothesis of the research on the contagion of virtual and real exchange rate fluctuations has been confirmed unilaterally from virtual exchange rate to real exchange rate. Manuscript profile

Open Access Article

41 - Establishment of stock portfolio based on network-based epidemic modeling in the Iranian stock market
samad sedaghati Roohollah Farhadi. Mir Feyz Fallah

Due to the importance of transmission in financial markets, in the present study, using network-based epidemic modeling, the Iranian stock market in the period from 2011 to 2020 has been analyzed in three scales: daily, seasonal and annual. For this purpose, the correla More

Due to the importance of transmission in financial markets, in the present study, using network-based epidemic modeling, the Iranian stock market in the period from 2011 to 2020 has been analyzed in three scales: daily, seasonal and annual. For this purpose, the correlation network of 46 Iranian stock market groups has been constructed and by creating daily, seasonal and annual graphs and to identify the topological properties and structure of the Iranian stock market network, the minimum spanning tree has been calculated and transmission dynamics have been analyzed using simulations. The results show that in the daily period, the minimum cover tree has 13 groups on the main branch and in the seasonal period has 19 groups and in the annual period 28 groups are on the main branch of the minimum cover tree. Also, network-based epidemic modeling (with a thousand repetitions) showed that in the short term, the market spread is faster and the changes (for example, due to an information shock) spread to more groups. And almost all market groups are affected by the changes Manuscript profile

Open Access Article

42 - Modeling the spread of risks in the financial network
naser haghi seyfedin Nader Rezaei Rasoul ABDI yagob agdam mazrae

The purpose of this study is to model the spread of risks in the financial network. In this study, using MATLAB software, the interdependencies of claims and liabilities of companies listed on the Tehran Stock Exchange as a financial network are modeled and the spread o More

The purpose of this study is to model the spread of risks in the financial network. In this study, using MATLAB software, the interdependencies of claims and liabilities of companies listed on the Tehran Stock Exchange as a financial network are modeled and the spread of default in it is simulated. This research is among the applied researches. The statistical population of the studied information is 407 companies listed on the Tehran Stock Exchange in the period of 1393-1397. The results of this study emphasize the role of "contagious links" and show that the organizations that have the greatest impact on network instability have more contact with network members or a large proportion of contagious links. In this study, we consider a directional graph with a sequence of degrees and an optional weight distribution. Asymptotic results show that there is good agreement with simulation for networks of realistic size. In this study, we consider a directional graph with a sequence of degrees and an optional weight distribution. Asymptotic results show that there is good agreement with simulation for networks of realistic size. Manuscript profile

Open Access Article

43 - Dynamic contagion effect of volatility cycle between gold futures market and physical gold market
bagher sayari Reza Gholami-jamkarani Mir Feiz Falah hosein jahangirnia

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 mar More

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. Manuscript profile

Open Access Article

44 - Testing of Reciprocal Transfer of Bubble in Stock Exchange, Currency and Gold Markets (A case study: in Iran Using Copula Functions)
Yagoob Zahedi nader rezaei vadoud Najjari

The main goal of this research is to investigate the formation and spread of bubbles in the financial markets of the stock exchange, currency and gold markets using semi-experimental studies, considering that previous studies in this field mostly study the effect of vol More

The main goal of this research is to investigate the formation and spread of bubbles in the financial markets of the stock exchange, currency and gold markets using semi-experimental studies, considering that previous studies in this field mostly study the effect of volatility transmission or the effect of the return of one asset on the return of another market. Therefore, no study has been done in this field or it is limited; In this study, the data was collected in the period from 1389 to 1400 and was analyzed by descriptive and econometric statistical methods. The results of the analysis of the right-sequence unit root test show the existence of bubbles in all three markets under study. It shows the results of the analysis of vector auto-regression tests and copula (joint) functions. The structure of dependence between the three financial markets is quite dynamic and this dependence is greater when the market is in a developing situation than in a recession. Also, the sequential dependence between the gold coin and the exchange rate is much stronger than the dependence between the stock market and gold. Manuscript profile

Open Access Article

45 - The Study of the Price BubbleContagion between the Currency Market and the Stock Exchange
Vahid mohammadi mirfeyz Fallahshams Gholamreza zomorodian

In this paper the price bubble contagion in two currency market and the stocks market in a six year period (2015-2021) is investigated. For this purpose, the price bubble of both markets was examined and the dates of their formation and collapse were determined by using More

In this paper the price bubble contagion in two currency market and the stocks market in a six year period (2015-2021) is investigated. For this purpose, the price bubble of both markets was examined and the dates of their formation and collapse were determined by using (RADF), (SADF),(GSADF) test. Then the contagion of the bubble in the financial market of Iran was investigated using a regression model. The findings of this research showed that there was a bubble in the foreign exchange market during five periods of 2016:10:31-2017:01:21, 2017:10:03-2018:12:16,2018:12:23-2019:07:14, 2020:02:22-2021:01:17 and 2021:01:23-2021:03:19.There were four bubble periods in the stock exchange for the total price index in periods 2016:02:06-2016:04:28,2017:09:04-2017:10:10,2017:10:17-2018:04:19 and 2018:06:10-2021:03:19. Also, the results indicate that the contagion of the price bubble from the currency market to the stock exchange market is statistically significant and the contagion of the bubble has occurred between the currency market and the stock exchange market . Manuscript profile

Open Access Article

46 - Investigating the dynamic contagion effect of the turbulence cycle between the gold futures market and the exchange rate using GARCH-BEKK, markov switching, and structural VAR models
Bagher Sayari Mir Feyz Falah Shams Reza Gholami Jamkarani Hossein Jahangirnia

10.30495/afi.2023.1991865.1244

Objective: With the expansion of globalization, financial markets in both developed and developing countries have become interconnected. In financial discourse, the interconnection between financial markets is referred to as financial contagion. Financial contagion can More

Objective: With the expansion of globalization, financial markets in both developed and developing countries have become interconnected. In financial discourse, the interconnection between financial markets is referred to as financial contagion. Financial contagion can transmit the volatility of one market to another, potentially leading to economic booms, recessions, or varying levels of risk and return. Consequently, given the significance of volatility contagion in markets for investors and decision-makers, the purpose of this study is to examine the effect of dynamic contagion in the volatility cycle between the futures market of gold and the foreign exchange rate in financial markets and the Tehran Stock Exchange.Research Methodology: The data were collected daily over the period from 2009 to 2018. To test the research hypotheses, GARCH-BEKK models, Markov Switching, and Vector Autoregression were employed.Findings: The results of the study indicate that the contagion effect of volatility is from the foreign exchange market to the gold futures market. Moreover, the contagion effect of volatility from the foreign exchange market to the gold futures market varies across different regimes.Originality / Value: The findings of this research could provide new insights that may guide policymaking and decision-making in the financial industry. Manuscript profile

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