Spillover Effect On The On Contest Markets For Capital Market

Subject Areas : Journal of Investment Knowledge

Hashem Nikoomaram ¹ (Professor of Islamic Azad University, Tehran)
Zahra Pourzamani ² (Assistant Professor of Islamic Azad University, Tehran)
Abdolmajid Dehghan ³ (Ph.d student of financial managment)

Received: 2013-08-08 Accepted : 2013-12-24 Published : 2013-12-24

Keywords: spillover effect, multivariate garch, parallel market,

Abstract :

This research is about effect of volatility spillover in Iran capital market. So the Iran capital market spillover from parallel markets (currency and gold) and oil market as an effective independent market has been evaluated. For this purpose 2 methods, VAR and MGARCH were applied. Daily data (from November 2011 to August 2013) and weekly data (from April 2003 to August 2013) were gathered and examined using Eviews software. In aspect of model representation, this research is a development research and in aspect of method and nature is correlation. Results confirm spillover of capital market from currency, gold and oil market. In other word main research hypothesis that explains capital market is affected from parallel markets in two aspects of risk and return, remained. Side result of research demonstrates a positive and bilateral relation between currency and gold market in research period. Also this is obtained that the best proxy for evaluating of Iran capital market spilloveris TEDPIX. Finally the model that explains effect of daily return of currency and gold market on return of TEDPIX was detected as the best conceptual and mathematical estimator of intermarket spillover effects.