Asymmetric Volatility Spillovers of Oil Price and Exchange Rate on Chemical Stocks: Fresh Results from a VAR-TBEKK-in-Mean Model for Iran
Publish place: Iranian Economic Review Journal، Vol: 26، Issue: 4
Publish Year: 1401
نوع سند: مقاله ژورنالی
زبان: English
View: 59
This Paper With 21 Page And PDF Format Ready To Download
- Certificate
- من نویسنده این مقاله هستم
استخراج به نرم افزارهای پژوهشی:
شناسه ملی سند علمی:
JR_IER-26-4_012
تاریخ نمایه سازی: 21 مهر 1402
Abstract:
Investigating the dynamic relationship between markets has attracted the interest of many researchers; however; assessing the asymmetric volatility spillovers has been addressed by a few studies. In this regard, this study mainly aims to investigate the asymmetric spillovers of oil price return and exchange rate, as the key variables, on chemical industry stock returns in Iran through the lens of a VAR Triangular BEKK in mean (VAR-TBEKK-in-mean) model. Also, daily data from March ۳۱, ۲۰۰۹, to June ۲۸, ۲۰۱۹, was selected. The chemical industry was selected since attracted a high share of capital in the Tehran Stock Exchange (TSE) and is highly correlated with crude oil prices. The results indicated a significant volatility spillover from oil and exchange markets to the chemical industry stocks. Moreover, the result of the symmetry test indicated that global oil price shocks asymmetrically affect the conditional volatility of chemical industry stock returns. The results additionally indicate that the relationship between these markets and the extent of risk spillover between them is severely affected by the (good and bad) news and volatility of another market (particularly the oil market). Based on the results, investors are better off allocating their portfolios to chemical stocks more carefully, especially when the volatilities in the two markets (exchange and crude oil) are high. Capital market officials are advised to develop the stock market by deepening the capital market and taking into account the risk spillovers of foreign exchange and oil markets to the stock market.
Keywords:
Authors
Mohammad Sayadi
Department of Energy Economics & Resources, Faculty of Economics, Kharazmi University, Tehran, Iran
Meysam Rafei
Department of Energy Economics & Resources, Faculty of Economics, Kharazmi University, Tehran, Iran
Younes Sheykha
Faculty of Economics, Kharazmi University, Tehran, Iran
مراجع و منابع این Paper:
لیست زیر مراجع و منابع استفاده شده در این Paper را نمایش می دهد. این مراجع به صورت کاملا ماشینی و بر اساس هوش مصنوعی استخراج شده اند و لذا ممکن است دارای اشکالاتی باشند که به مرور زمان دقت استخراج این محتوا افزایش می یابد. مراجعی که مقالات مربوط به آنها در سیویلیکا نمایه شده و پیدا شده اند، به خود Paper لینک شده اند :