[Home ] [Archive]   [ فارسی ]  
:: Volume 12, Issue 2 (Spring 2017) ::
J. Mon. Ec. 2017, 12(2): 213-233 Back to browse issues page
Volatility Spillover among Industries in the Capital Market in Iran
Mohamad Hashem Botshekan1, Hosein Mohseni 1
1- Allameh Tabataba’i University
Abstract:   (145 Views)
Measuring the dynamic relationship between banking and industries with systemic importance has attracted much attention after the recent financial crisis. This paper examines the dynamic conditional correlations and volatility spillover using three popular multivariate GARCH models in the twelve-year period (from the beginning of 2005 to the beginning of 2016) among the fourteen systemically important industries in Iran’s capital market. The purpose of this study is to understand and identify the volatility spillover between industries to predict financial fluctuations, as well as policy decisions and risk management. The results of this study confirm the spillover between “Banking” and the five industries of "Basic Metals", "Industrial Multidisciplinary", "Investments", "Computers", and "Transportation & Warehousing". There is also an asymmetric spillover between “Banking” index and the "Chemical Industry", the "Extraction of Metal Ores", "Pharmaceuticals" and "Communications Devices". The results are used for mapping fundamental analysis and risk programming.
Keywords: Volatility Spillover, Dynamic Conditional Correlation, Banking Industries
Full-Text [PDF 377 kb]   (62 Downloads)    
Type of Study: Applicable | Subject: Microeconomics
Received: 2018/07/15 | Accepted: 2018/11/4
Send email to the article author

Add your comments about this article
Your username or Email:


XML   Persian Abstract   Print

Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Botshekan M H, Mohseni H. Volatility Spillover among Industries in the Capital Market in Iran. J. Mon. Ec.. 2017; 12 (2) :213-233
URL: http://jme.mbri.ac.ir/article-1-280-en.html

Volume 12, Issue 2 (Spring 2017) Back to browse issues page
Journal of Money and Economy Journal of Money And Economy
Persian site map - English site map - Created in 0.06 seconds with 31 queries by YEKTAWEB 3937