CONTAGION EFFECTS OF GLOBAL FINANCIAL CRISIS ON TEHRAN STOCK EXCHANGE

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KESHAVARZ HADDAD GHOLAMREZA; MAGHAREH ABED SEPEHR

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Journal: Journal of Economic Research Year:2013 | Volume:48 | Issue:2 Page(s): 179-199

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Title

CONTAGION EFFECTS OF GLOBAL FINANCIAL CRISIS ON TEHRAN STOCK EXCHANGE

Author(s)

KESHAVARZ HADDAD GHOLAMREZA | MAGHAREH ABED SEPEHR | Issue Writer Certificate

Keywords

STOCK MARKETSQ1

FINANCIAL CRISISQ1

DFGM CONTAGION TESTQ2

LATENT FACTORS TESTQ2

GENERALIZED METHODS OF MOMENTSQ1

Abstract

US 2008 FINANCIAL CRISIS, spreaded out across the international STOCK MARKETS in the second half of the year 2008. The crisis decreased the returns and increased the volatilities of almost all of the stock indices; however, its effects on Iran's STOCK MARKETS were unexplored. Financial limitations create an exclusive situation in Iran's stock market. Using weekly data on the stock indices from July 2006 through August 2009, this study aims to exam in the contagion effects of the global FINANCIAL CRISIS through the main indices such as S&P500 and FfSE100 on Tehran Stock Exchange indices: industrial and financial intermediary indices and The First and the Second indices of Tehran's Stock Exchange. The DFGM2 contagion test model is employed to identify the contagion effects. Our findings reveal that the crisis has been transmitted to Tehran Stock Exchange index and has decreased the index. Moreover, the industrial and the First indices are affected by the crisis negatively, however, the results shows that the crisis did not have any significant effects on TSE's financial intermediary and the Second indices.

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APA: Copy

KESHAVARZ HADDAD, GHOLAMREZA, & MAGHAREH ABED, SEPEHR. (2013). CONTAGION EFFECTS OF GLOBAL FINANCIAL CRISIS ON TEHRAN STOCK EXCHANGE. TAHGHIGHAT-E-EGHTESADI, 48(2), 179-199. SID. https://sid.ir/paper/12016/en

Vancouver: Copy

KESHAVARZ HADDAD GHOLAMREZA, MAGHAREH ABED SEPEHR. CONTAGION EFFECTS OF GLOBAL FINANCIAL CRISIS ON TEHRAN STOCK EXCHANGE. TAHGHIGHAT-E-EGHTESADI[Internet]. 2013;48(2):179-199. Available from: https://sid.ir/paper/12016/en

IEEE: Copy

GHOLAMREZA KESHAVARZ HADDAD, and SEPEHR MAGHAREH ABED, “CONTAGION EFFECTS OF GLOBAL FINANCIAL CRISIS ON TEHRAN STOCK EXCHANGE,” TAHGHIGHAT-E-EGHTESADI, vol. 48, no. 2, pp. 179–199, 2013, [Online]. Available: https://sid.ir/paper/12016/en

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