COI code: IEEM01_007
Paper Language: English
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Authors Analysis of the Interaction of Stock, Currencies and Debt Markets with the Variance Analysis ApproachMoein Kafash Tehrani - Master of financial engineering, Islamic Azad university South Tehran branch, Tehran.
Seyed Ali Posht Mashhadi - Master of financial engineering, Islamic Azad university South Tehran branch,
Ali Nikoogoftar, - PhD. Student of financial management, University of Tehran
Abstract:Today, increasing convergence between markets increases the transmission of information and shocks between them, and any shock from a market may spread to other markets and affect them. Meanwhile, financial markets are heavily influenced by each other. Swing in any of the financial markets can quickly affect other markets. Hence, examining the impact of each of these markets on other financial markets is an important issue for investment. A correlation method is used to examine the relationship between markets, but one of the important points in this method is that the correlation analysis cannot explain the interaction. Therefore, researchers focused on understanding the dynamics of market volatility and their impact on each other.In this study, we seek to investigate the interaction between stock, debt and currency markets on the basis of the variance analysis method. The results indicate that these three markets are affected by each other, and with a shock, other markets can be positively or negatively affected and investors make either profit or loss. On the other hand, according to the results, it ought to be noted that there is a simultaneous transfer of fluctuations between the debt market and the stock market as well as currency and debt markets, but there is no simultaneous swing between the foreign exchange market and the stock market.
Keywords:Analysis of variance, foreign exchange market, stock market, debt market
COI code: IEEM01_007
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Kafash Tehrani, Moein; Seyed Ali Posht Mashhadi & Ali Nikoogoftar,, 2020, Analysis of the Interaction of Stock, Currencies and Debt Markets with the Variance Analysis Approach, Conference on Industrial Engineering, Economics and Management, تركيه شهر استانبول, دبيرخانه دائمي كنفرانس, https://www.civilica.com/Paper-IEEM01-IEEM01_007.htmlInside the text, wherever referred to or an achievement of this article is mentioned, after mentioning the article, inside the parental, the following specifications are written.
First Time: (Kafash Tehrani, Moein; Seyed Ali Posht Mashhadi & Ali Nikoogoftar,, 2020)
Second and more: (Kafash Tehrani; Posht Mashhadi & Nikoogoftar,, 2020)
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The University/Research Center Information:
Type: Azad University
Paper No.: 9074
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