سرایت‌پذیری

Open Access Article

1 - 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

2 - 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

3 - 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

4 - 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

5 - 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

6 - 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

7 - 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

8 - 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

9 - 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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