CONSTANT CONDITIONAL CORRELATION VOLATILITY TRANSMISSION MODEL WITH LONG MEMORY EFFECT, EVIDENCE FROM TEHRAN AND DUBAI STOCK MARKET

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SEYEDHOSSEINI S.M.; EBRAHIMI S.B.; BABAKHANI M.

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2013 | Volume:4 | Issue:15 Page(s): 125-145

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Information Journal Paper

Title

CONSTANT CONDITIONAL CORRELATION VOLATILITY TRANSMISSION MODEL WITH LONG MEMORY EFFECT, EVIDENCE FROM TEHRAN AND DUBAI STOCK MARKET

Author(s)

SEYEDHOSSEINI S.M. | EBRAHIMI S.B. | BABAKHANI M. | Issue Writer Certificate

Keywords

RETURNQ2

LONG MEMORYQ2

VOLATILITY TRANSMISSIONQ2

FCCC MODELQ2

Abstract

The expansion of Globalization not only affects developed countries’ financial markets, but also the markets in developing countries. This condition causes investors who diversify their asset portfolio in foreign markets, pay serious attention to links between stock markets. This fact implies that there is an equilibrium relation between financial markets. Global oil price fluctuation is one of the factors that affect the capital markets in countries where the economy is based on oil revenues. Most of these markets have long-run memory characteristic which should be considered in modeling and estimation. In this research the Constant Conditional Correlation (CCC) model is expanded in the way to imply long-term memory effect in the estimation. The data which is used is daily RETURN of stock price and oil price in the period December 2006 to January 2010. The results indicate volatility contagion from global oil market to Dubai stock and Tehran stock market and also there is contagion effect between Dubai and Tehran stock market.

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APA: Copy

SEYEDHOSSEINI, S.M., EBRAHIMI, S.B., & BABAKHANI, M.. (2013). CONSTANT CONDITIONAL CORRELATION VOLATILITY TRANSMISSION MODEL WITH LONG MEMORY EFFECT, EVIDENCE FROM TEHRAN AND DUBAI STOCK MARKET. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 4(15), 125-145. SID. https://sid.ir/paper/197657/en

Vancouver: Copy

SEYEDHOSSEINI S.M., EBRAHIMI S.B., BABAKHANI M.. CONSTANT CONDITIONAL CORRELATION VOLATILITY TRANSMISSION MODEL WITH LONG MEMORY EFFECT, EVIDENCE FROM TEHRAN AND DUBAI STOCK MARKET. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2013;4(15):125-145. Available from: https://sid.ir/paper/197657/en

IEEE: Copy

S.M. SEYEDHOSSEINI, S.B. EBRAHIMI, and M. BABAKHANI, “CONSTANT CONDITIONAL CORRELATION VOLATILITY TRANSMISSION MODEL WITH LONG MEMORY EFFECT, EVIDENCE FROM TEHRAN AND DUBAI STOCK MARKET,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 4, no. 15, pp. 125–145, 2013, [Online]. Available: https://sid.ir/paper/197657/en

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