A DYNAMIC INVESTIGATION TO INDEXES SPILLOVERS IN TEHRAN STOCK EXCHANGE USING A MULTIVARIATE DYNAMIC MODEL

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ZAMANI SHIVA; MANSOURI DAVOOD; SANAEI ALAM MOHSEN

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Journal: Journal of Economic Research Year:2011 | Volume:45 | Issue:93 Page(s): 29-54

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Title

A DYNAMIC INVESTIGATION TO INDEXES SPILLOVERS IN TEHRAN STOCK EXCHANGE USING A MULTIVARIATE DYNAMIC MODEL

Author(s)

ZAMANI SHIVA | MANSOURI DAVOOD | SANAEI ALAM MOHSEN | Issue Writer Certificate

Keywords

RETURN AND VOLATILITY SPILLOVERSQ3

MULTIVARIATE GARCHQ3

PREDICTABILITYQ3

LEAD-LAG EFFECTQ3

VAR-BEKKQ3

Abstract

RETURN AND VOLATILITY SPILLOVERS are important for portfolio selection, asset valuation and market efficiency investigation. Using a VAR-BEKK framework model, this paper investigates return and volatility spillover effects between three size-sorted equity indices in Tehran Stock Exchange (TSE). Although daily return of large stocks leads small stocks (lead-lag effect), there wasn’t any spillover effect in monthly and seasonal returns and volatilities. These results are against evidence of volatility spillovers in many stock markets that may be due to trading limits such as price limit and existence of base volume in TSE.

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APA: Copy

ZAMANI, SHIVA, MANSOURI, DAVOOD, & SANAEI ALAM, MOHSEN. (2011). A DYNAMIC INVESTIGATION TO INDEXES SPILLOVERS IN TEHRAN STOCK EXCHANGE USING A MULTIVARIATE DYNAMIC MODEL. TAHGHIGHAT-E-EGHTESADI, 45(93), 29-54. SID. https://sid.ir/paper/11782/en

Vancouver: Copy

ZAMANI SHIVA, MANSOURI DAVOOD, SANAEI ALAM MOHSEN. A DYNAMIC INVESTIGATION TO INDEXES SPILLOVERS IN TEHRAN STOCK EXCHANGE USING A MULTIVARIATE DYNAMIC MODEL. TAHGHIGHAT-E-EGHTESADI[Internet]. 2011;45(93):29-54. Available from: https://sid.ir/paper/11782/en

IEEE: Copy

SHIVA ZAMANI, DAVOOD MANSOURI, and MOHSEN SANAEI ALAM, “A DYNAMIC INVESTIGATION TO INDEXES SPILLOVERS IN TEHRAN STOCK EXCHANGE USING A MULTIVARIATE DYNAMIC MODEL,” TAHGHIGHAT-E-EGHTESADI, vol. 45, no. 93, pp. 29–54, 2011, [Online]. Available: https://sid.ir/paper/11782/en

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