PL EN


Preferences help
enabled [disable] Abstract
Number of results
2019 | 137 | 81-95
Article title

Financial risk contagion to real sector in Iran: A VAR-BEKK-GARCH approach

Content
Title variants
Languages of publication
EN
Abstracts
EN
Asset market interconnectedness can give rise to significant contagion risks during periods of financial crises that extend beyond the risks associated with changes in volatilities and correlations. These channels include the transmission of shocks operating through changes in the higher order co-movements of asset returns, including changes in co-skewness arising from changes in the interaction between volatility and average returns across asset markets. These additional contagion channels have nontrivial implications for the pricing of options through changes in the payoff probability structure and more generally, in the management of financial risks. The purpose of this study was to investigate the financial risk contagion from the financial sector to the real sector of the economy using VAR-BEKK-GARCH for the active industries in the Tehran Stock Exchange during the period of 1388-1395. The estimated coefficients for considering the period of the crisis and the recession in the stock market indicate that the coefficients are positive for the effect of the outflow in the stock market. Also, in the case study, there is a probability of financial risk fluctuation between the investigated industries. In addition, the results indicate that the risk and turmoil among the active industries in the stock market and the real sector of the Iranian economy are tangible.
Year
Volume
137
Pages
81-95
Physical description
Contributors
  • Faculty of Economics, Management and Administrative Sciences, Semnan University, Semnan, Iran
  • Department of Economics, Faculty of Economics, Management and Administrative Sciences, Semnan University, Semnan, Iran
author
  • Faculty of Management, Tehran University, Tehran, Iran
References
  • [1] Abunoori, E., & Abdollahi, M. R. (2012). The relationship between Iran, USA, Turkey and Malaysia Stock Markets in a multivariate GARCH model. Quarterly Journal of Securities Exchange, 4 (14), 61-79.
  • [2] Aghasi, S., Aghasi, E., Biglari, S. (2016). Examine the relationship between financial risk tolerance and investment properties (financial intelligence, skills, financial management, wealth) based on native Donald- Case Study of the Tehran Stock Exchange. Financial Knowledge of Securities Analysis, 9(31), 21-33.
  • [3] Agnolucci, P. (2009). Volatility in Crude Oil Futures: a Comparison of the Predictive Ability of GARCH and Implied Volatility Models. Energy Economics, 31, 316–321.
  • [4] Alotaibi, A. R. & Mishra, A. V. (2015), Global and Regional Volatility Spillovers to GCC Stock Markets. Economic Modeling, 45, 38-49.
  • [5] Bastanzad, H., Davoudi, P. (2017). An Evaluation of Risk Transmission over Foreign Exchange, Real Estate and Stock Markets in Iran`s Economy (An Application of Parametric and Non-Parametric Value at Risk Approach). Asset Management and Financing, 5(4), 33-50.
  • [6] Baur, D.G., (2011). Financial contagion and the real economy. Journal of Banking & Finance 36 (10), 2680-2692.
  • [7] Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, Volume 31, Issue 3, 307-327
  • [8] Boubaker, H. and Sghaier, N. (2014) Instability and Dependence Structure between Oil Prices and GCC Stock Markets. Energy Studies Review, 20, 50-65.
  • [9] Chang, C. L., Khamkaew, T., Tansuchat, R. & McAleer, M. (2011). Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations. Tourism Economics, 17 (3), 481-507.
  • [10] Chen, N. F., Roll, R. and Ross, S. A. (1986). Economic Forces and the Stock Market. Journal of Business, 59, 383-403.
  • [11] Chien-Chiang Lee, Chen, Pei-Fen, and Jhih-Hong Zeng. (2014). The relationship between spot and futures oil prices: Do structural breaks matter? Energy Economics, 43, 206-217.
  • [12] Ding, Z.H., Liu, Z.H., Zhang, Y.J., Long, R.Y., (2017). The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment. Applied Energy, 187, 27-36.
  • [13] Dornbusch, R., Fischer, S. (1980). Exchange Rates and the Current Account. American Economic Review, 70(5), 960-971.
  • [14] Engle, R. F. (1982). Autoregressive Conditional Heteroscedadticity with Estimates of the Variance of UK Inflation. Econometrica, 50 (4), 987-1008.
  • [15] Engle, R.-F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, 50(4), 987-1007
  • [16] Fang, S., & Egan, P. (2018). Measuring contagion effects between crude oil and Chinese stock market sectors. The Quarterly Review of Economics and Finance, 68, 31-38.
  • [17] Fenghua Wen, Jihong Xiao, Xiaohua Xia, Bin Chen, Zhengyan Xiao, Jinyi Li. (2019). Oil Prices and Chinese Stock Market: Nonlinear Causality and Volatility Persistence. Emerging Markets Finance and Trade, 55(6), 1247-1263
  • [18] Forbes, K. and R. Rigobon (2002), No contagion, only interdependence. The Journal of Finance Volume 57, Issue 5, 2223-2261
  • [19] Gavin, M. (1989). The Stock Market and Exchange Rate Dynamics. Journal of International Money and Finance, 8(2), 181-200.
  • [20] Ghorbel, A., Abdelhedi, M., & Boujelbene, Y. (2014). Assessing the impact of crude oil price and investor sentiment on Islamic indices: Subprime crisis. Journal of African Business, 15(1), 13-24.
  • [21] Gudarzi Farahani, Yazdan and Dastan, Masood (2013). Analysis of Islamic bank’s financing and economic growth: A panel cointegration approach. International Journal of Islamic and Middle Eastern Finance and Management, 6, 2, 156-172.
  • [22] Hassan, S. A. & Malik, F. (2007). Multivariate GARCH Modeling of Sector Volatility Transmission. The Quarterly Review of Economics and Finance, 47, 470-480.
  • [23] Hosseinioun, N., Behname, M., Ebrahimi Salari, T. (2016). Volatility Transmission of the Rate of Returns in Iranian Stock, Gold and Foreign Currency Markets. Iranian Journal of Economic research, 21(66), 123-150.
  • [24] Hu, C., Liu, X., Pan, B., Chen, B., Xia, X., (2018). Asymmetric impact of oil price shock on stock market in China: a combination analysis based on SVAR model and NARDL model. Emerging Markets Finance and Trade, 54 (8), 1693-1705.
  • [25] Kang, S. H., Kang, S. M. & Yoon, S.M. (2009). Forecasting Volatility of Crude Oil Markets. Energy Economics, 31 (1), 119-125.
  • [26] Mensi, W., Beljid, M., Boubaker, A. & Managi, S. (2013). Correlations and Volatility Spillovers across Commodity and Stock Markets: Linking Energies, Food, and Gold. Economic Modeling, 32, 15-22.
  • [27] Mensi, W., Hammoudeh, S., Nguyen, D. K. & Yoon S. M. (2014). Dynamic Spillovers among Major Energy and Cereal Commodity Prices. Energy Economics, 43, 225-243.
  • [28] Nikoomaram, H., Pourzamani, Z., Dehghan, A. (2015). Spillover Effect the on Contest Import & Export oriented industries. Financial Knowledge of Securities Analysis, 8(25), 1-18.
  • [29] Rajan, R.G., Zingales, L., (1998). Financial dependence and growth. American Economic Review, 88 (3), 559-587.
  • [30] Rezagholizad, M., Aghaei, M. (2017). Transmission of World Oil Price Volatility to Chemical Industry’ Stock Price Index (A VAR-BEKK-GARCH Approach). Quarterly Energy Economics Review, 14(54), 1-32.
  • [31] Soriano, Pilar and F.G. Climent (2006), Region Versus Industry Effects: Volatility Transmission, Financial Analysts Journal, 62(6), 52-64.
  • [32] Wang, K. M., Lee, Y. M. and Nguyen, T. (2011). Time and place where gold acts as an inflation hedge: An application of long-run and short-run threshold model. Economic Modelling, 28, 806-819.
  • [33] Xiao J, Zhou M, Wen F, Wen F (2018). Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index. Energy Economics, 74, 777-786.
  • [34] Zamani, S., Souri, D., Sanaei Alam, M. (2011). A Dynamic Investigation to Indexes Spillovers in Tehran Stock Exchange Using a Multivariate Dynamic Model. Journal of Economic Research, 45(4), 29-54.
Document Type
article
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.psjd-9cb5a496-32f8-4925-9dac-9764e47962ed
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.