Proposing a model for transmitting oil market fluctuations to parallel financial markets (DCC-GARCH approach)
A major factor in the Iranian stock market is the risk-taking of the economy. The stock index falls when the economy is at higher risk, either by protests or the possibility of war. The present study was conducted to investigate the existence of fluctuations in the currency, stock, gold, and oil mar...
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2022-09-01
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| Series: | Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān |
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| Online Access: | https://jiee.atu.ac.ir/article_15523_e1c3ad13623ed80bfe6186a61caa3c5d.pdf |
| _version_ | 1797369153498120192 |
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| author | AHMAD FARHADI Mehrzad Minoei Gholamreza Zomoridain |
| author_facet | AHMAD FARHADI Mehrzad Minoei Gholamreza Zomoridain |
| author_sort | AHMAD FARHADI |
| collection | DOAJ |
| description | A major factor in the Iranian stock market is the risk-taking of the economy. The stock index falls when the economy is at higher risk, either by protests or the possibility of war. The present study was conducted to investigate the existence of fluctuations in the currency, stock, gold, and oil markets during the period 2017-2021 using the common t-test and the DCC-GARCH approach. The statistical population includes all companies listed in the Tehran Stock Exchange during the period 2017 to the end of 2021. The period was chosen due to significant fluctuations in exchange rates, coins, oil, and stocks. To achieve the purpose of the study, first, a descriptive study of coin price trends, exchange rates, and stock and oil indices in the Iranian economy was presented and then the conditional correlation between the returns of these assets was estimated using the dynamic DCC-GARCH conditional correlation method. Conditional correlation between currency and stock markets as well as coins and stock exchanges has increased significantly from a period of calm to a period of turmoil. These results are consistent with the results of the transfer test using t-test statistics. The results showed the existence of transitions between the markets and transitions between the foreign exchange and gold markets. The results also showed that the oil market, because it is the most important source of Iran's income, has a major impact on the gold, currency, and stock markets. |
| first_indexed | 2024-03-08T17:43:37Z |
| format | Article |
| id | doaj.art-335e09f90aca426db048b6871a0df876 |
| institution | Directory Open Access Journal |
| issn | 2423-5954 2476-6437 |
| language | fas |
| last_indexed | 2024-03-08T17:43:37Z |
| publishDate | 2022-09-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān |
| spelling | doaj.art-335e09f90aca426db048b6871a0df8762024-01-02T10:50:09ZfasAllameh Tabataba'i University PressPizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān2423-59542476-64372022-09-01114410512810.22054/jiee.2023.67944.192415523Proposing a model for transmitting oil market fluctuations to parallel financial markets (DCC-GARCH approach)AHMAD FARHADI0Mehrzad Minoei1Gholamreza Zomoridain2Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, IranDepartment of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, IranDepartment of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, IranA major factor in the Iranian stock market is the risk-taking of the economy. The stock index falls when the economy is at higher risk, either by protests or the possibility of war. The present study was conducted to investigate the existence of fluctuations in the currency, stock, gold, and oil markets during the period 2017-2021 using the common t-test and the DCC-GARCH approach. The statistical population includes all companies listed in the Tehran Stock Exchange during the period 2017 to the end of 2021. The period was chosen due to significant fluctuations in exchange rates, coins, oil, and stocks. To achieve the purpose of the study, first, a descriptive study of coin price trends, exchange rates, and stock and oil indices in the Iranian economy was presented and then the conditional correlation between the returns of these assets was estimated using the dynamic DCC-GARCH conditional correlation method. Conditional correlation between currency and stock markets as well as coins and stock exchanges has increased significantly from a period of calm to a period of turmoil. These results are consistent with the results of the transfer test using t-test statistics. The results showed the existence of transitions between the markets and transitions between the foreign exchange and gold markets. The results also showed that the oil market, because it is the most important source of Iran's income, has a major impact on the gold, currency, and stock markets.https://jiee.atu.ac.ir/article_15523_e1c3ad13623ed80bfe6186a61caa3c5d.pdfoscillation transmissionoil marketfinancial marketdcc-garch |
| spellingShingle | AHMAD FARHADI Mehrzad Minoei Gholamreza Zomoridain Proposing a model for transmitting oil market fluctuations to parallel financial markets (DCC-GARCH approach) Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān oscillation transmission oil market financial market dcc-garch |
| title | Proposing a model for transmitting oil market fluctuations to parallel financial markets (DCC-GARCH approach) |
| title_full | Proposing a model for transmitting oil market fluctuations to parallel financial markets (DCC-GARCH approach) |
| title_fullStr | Proposing a model for transmitting oil market fluctuations to parallel financial markets (DCC-GARCH approach) |
| title_full_unstemmed | Proposing a model for transmitting oil market fluctuations to parallel financial markets (DCC-GARCH approach) |
| title_short | Proposing a model for transmitting oil market fluctuations to parallel financial markets (DCC-GARCH approach) |
| title_sort | proposing a model for transmitting oil market fluctuations to parallel financial markets dcc garch approach |
| topic | oscillation transmission oil market financial market dcc-garch |
| url | https://jiee.atu.ac.ir/article_15523_e1c3ad13623ed80bfe6186a61caa3c5d.pdf |
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