:: 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:   (1157 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
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Type of Study: Original Research - Empirical | Subject: Microeconomics
Received: 15 Jul 2018 | Accepted: 4 Nov 2018 | Published: 22 Sep 2019

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Volume 12, Issue 2 (Spring 2017) Back to browse issues page