Explain the Spillover Effect of International Capital Markets on the Tehran Stock Exchange

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Zahedi Tehrani Parivash

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Journal Paper

Paper Information

Journal: JOURNAL OF STRATEGIC MANAGEMENT STUDIES Year:2012 | Volume:3 | Issue:11 Page(s): 43-65

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Title

Explain the Spillover Effect of International Capital Markets on the Tehran Stock Exchange

Author(s)

Zahedi Tehrani Parivash | Issue Writer Certificate

Keywords

S&P 500 IndexQ2

FTSE 100 IndexQ2

GFMS Base Metal IndexQ2

TEPIXQ2

Spillover EffectQ3

Abstract

This paper aims to identify and explain the impact pattern of global exchange on the Tehran Stock Exchange, Several factors such as commodity trading, portfolio investment and psychological effects can develop the relationship between financial markets in other word the effectiveness of global securities markets on the domestic securities market. Apart from the impact of internal variables, Fluctuations in world markets, including the S & P 500 index, FTSE 100 Index, On the other hand, given that the stock prices of companies operating in the field of basic metals may be affected by global prices of basic metals, Base Metals Index also can be effective on the Tehran stock market volatility. By the way, the relevant weekly data of TEPIX, S&P 500, FTSE 100, and also Base Metals Indices were gathered from January 2005 to June 2012 Unit Root Disckey-Fuller test showed that the variables are I(1) therefore variables on level can’ t be used in Garch models. Logarithm of the differential variables was unit-root results show. In order to use dissimilar models of conditional variance, ARCH LM test results indicates Heteroskedasticity in the return series. Multivariate GARCH Model Note that the dynamics within the periods and estimated for each period by OX-Metrics software was used. The results showed a significant conditional correlation (0. 35) between the Tehran Stock Exchange Price Index an S&P 500 Index. Meanwhile no significant effect was known between TEPIX and FTSE 100 and GFMS Base Metal Index.

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APA: Copy

Zahedi Tehrani, Parivash. (2012). Explain the Spillover Effect of International Capital Markets on the Tehran Stock Exchange. JOURNAL OF STRATEGIC MANAGEMENT STUDIES, 3(11 ), 43-65. SID. https://sid.ir/paper/181580/en

Vancouver: Copy

Zahedi Tehrani Parivash. Explain the Spillover Effect of International Capital Markets on the Tehran Stock Exchange. JOURNAL OF STRATEGIC MANAGEMENT STUDIES[Internet]. 2012;3(11 ):43-65. Available from: https://sid.ir/paper/181580/en

IEEE: Copy

Parivash Zahedi Tehrani, “Explain the Spillover Effect of International Capital Markets on the Tehran Stock Exchange,” JOURNAL OF STRATEGIC MANAGEMENT STUDIES, vol. 3, no. 11 , pp. 43–65, 2012, [Online]. Available: https://sid.ir/paper/181580/en

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