Studying Volatility Risk Transmission in Automatable Supply Chain Companies in the Tehran Stock Exchange

Supply chain companies are one of the most important elements of the economy of each country. These companies play an important role in the expansion and activities of other companies through the provision of capital, customers, credit and even raw materials and technology. Therefore, the main goal of this research was to examine the impact of contagion of return and volatility in the return of the automobile companies supply chain listed in Tehran Stock Exchange. For doing so, Iran Khodro and SAIPA automobile supply chain companies were investigated separately. In addition to the main companies (Iran Khodro and SAIPA), three other supply chain companies were selected for research. The results of the multivariate GARCH model applied for daily data in time interval of ۲۰۱۳/۳/۲۱ to ۲۰۱۷/۳/۲۱ showed that both the return and the volatility of stock returns of SAIPA and Iran Khodro supply chain companies affected the return and volatility of these two companies stock return. This finding confirms the research hypothesis providing that the return and volatility of Iran Khodro and SAIPA companies are affected by these companies supply chain. In this research the risk contagion resulting from fluctuations in return has also been examined. It can be interpreted that the risk is contagious as the same as the different shares return.

Keywords:

Supply chain companies , volatility Risk , Spillover Effects and Multivariate GARCH Models