Systemic Risk Analysis in Selected Industries of Tehran Stock Exchange: A Multivariate Quantile Regression Approach
This study examines the impact of a negative shock-attributed to a systemic risk-on the industrial indexes of the Tehran stock market using daily data form 21 January, 2008 to 22 September, 2017. Using a Vector Autoregressive for Value at Risk (VAR-VaR) and a quantile Impulse-response function that...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2018-12-01
|
| Series: | فصلنامه پژوهشهای اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_10146_206a4bb8685042c7dca2c099d992ee5b.pdf |
| _version_ | 1797369348101242880 |
|---|---|
| author | Naser Khiabani ehsan mohammadian nikpey |
| author_facet | Naser Khiabani ehsan mohammadian nikpey |
| author_sort | Naser Khiabani |
| collection | DOAJ |
| description | This study examines the impact of a negative shock-attributed to a systemic risk-on the industrial indexes of the Tehran stock market using daily data form 21 January, 2008 to 22 September, 2017. Using a Vector Autoregressive for Value at Risk (VAR-VaR) and a quantile Impulse-response function that was newly proposed by White et al 2015, we focus on the tail interdependence between industrial index returns (financial institutions) and the market shock index and show how each industrial stock risks contemporaneously and dynamically response to systemic market shocks. Our finding show that there is a significant volatility spillover from a systemic shock to financial institutions in Tehran stock market. However as expected the magnitude of its impact is not the same for all industrial index risks. For examples, the impact of its shock on the bank and metal industrial volatilities is more sizable compared to its impact on the others. And finally, the stock market index has a strong and persistence tail dependency with the chemical and petroleum product industries. |
| first_indexed | 2024-03-08T17:45:27Z |
| format | Article |
| id | doaj.art-ee49078d34a546dfb38cc85c648339b7 |
| institution | Directory Open Access Journal |
| issn | 1726-0728 2476-6445 |
| language | fas |
| last_indexed | 2024-03-08T17:45:27Z |
| publishDate | 2018-12-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | فصلنامه پژوهشهای اقتصادی ایران |
| spelling | doaj.art-ee49078d34a546dfb38cc85c648339b72024-01-02T10:29:31ZfasAllameh Tabataba'i University Pressفصلنامه پژوهشهای اقتصادی ایران1726-07282476-64452018-12-01237713610.22054/ijer.2018.1014610146Systemic Risk Analysis in Selected Industries of Tehran Stock Exchange: A Multivariate Quantile Regression ApproachNaser Khiabani0ehsan mohammadian nikpey1Associate Professor, Faculty of Economics, Allameh Tabataba'i UniversityPh.D. Student of Financial Economics, Allameh Tabataba'i UniversityThis study examines the impact of a negative shock-attributed to a systemic risk-on the industrial indexes of the Tehran stock market using daily data form 21 January, 2008 to 22 September, 2017. Using a Vector Autoregressive for Value at Risk (VAR-VaR) and a quantile Impulse-response function that was newly proposed by White et al 2015, we focus on the tail interdependence between industrial index returns (financial institutions) and the market shock index and show how each industrial stock risks contemporaneously and dynamically response to systemic market shocks. Our finding show that there is a significant volatility spillover from a systemic shock to financial institutions in Tehran stock market. However as expected the magnitude of its impact is not the same for all industrial index risks. For examples, the impact of its shock on the bank and metal industrial volatilities is more sizable compared to its impact on the others. And finally, the stock market index has a strong and persistence tail dependency with the chemical and petroleum product industries.https://ijer.atu.ac.ir/article_10146_206a4bb8685042c7dca2c099d992ee5b.pdfsystemic risktehran stock exchangetail dependencerisk spillover |
| spellingShingle | Naser Khiabani ehsan mohammadian nikpey Systemic Risk Analysis in Selected Industries of Tehran Stock Exchange: A Multivariate Quantile Regression Approach فصلنامه پژوهشهای اقتصادی ایران systemic risk tehran stock exchange tail dependence risk spillover |
| title | Systemic Risk Analysis in Selected Industries of Tehran Stock Exchange: A Multivariate Quantile Regression Approach |
| title_full | Systemic Risk Analysis in Selected Industries of Tehran Stock Exchange: A Multivariate Quantile Regression Approach |
| title_fullStr | Systemic Risk Analysis in Selected Industries of Tehran Stock Exchange: A Multivariate Quantile Regression Approach |
| title_full_unstemmed | Systemic Risk Analysis in Selected Industries of Tehran Stock Exchange: A Multivariate Quantile Regression Approach |
| title_short | Systemic Risk Analysis in Selected Industries of Tehran Stock Exchange: A Multivariate Quantile Regression Approach |
| title_sort | systemic risk analysis in selected industries of tehran stock exchange a multivariate quantile regression approach |
| topic | systemic risk tehran stock exchange tail dependence risk spillover |
| url | https://ijer.atu.ac.ir/article_10146_206a4bb8685042c7dca2c099d992ee5b.pdf |
| work_keys_str_mv | AT naserkhiabani systemicriskanalysisinselectedindustriesoftehranstockexchangeamultivariatequantileregressionapproach AT ehsanmohammadiannikpey systemicriskanalysisinselectedindustriesoftehranstockexchangeamultivariatequantileregressionapproach |