VOLATILITY TRANSMISSION OF THE RATE OF RETURNS IN IRANIAN STOCK, GOLD AND FOREIGN CURRENCY MARKETS

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HOSSEINIOUN NILOUFAR SADAT; BEHNAME MEHDI; EBRAHIMI SALARI TAGHI

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: Iranian Journal of Economic Research Year:2016 | Volume:21 | Issue:66 Page(s): 123-150

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Title

VOLATILITY TRANSMISSION OF THE RATE OF RETURNS IN IRANIAN STOCK, GOLD AND FOREIGN CURRENCY MARKETS

Author(s)

HOSSEINIOUN NILOUFAR SADAT | BEHNAME MEHDI | EBRAHIMI SALARI TAGHI | Issue Writer Certificate

Keywords

VOLATILITY TRANSITIONQ1

SHOCKQ1

VAR- MGARCH MODELQ1

Abstract

The aim of this paper is to study volatility spillovers among stock, gold and exchange rate markets. A "VAR- MGARCH" model was applied for Iranian financial markets for the period of March 21, 2011 to September 22, 2014. The data used are daily price of Bahar Azadi Coin, Tehran price stock index and nominal exchange rate (Dollar in terms of Rials).The results indicate that there are bidirectional SHOCK transitions between gold and exchange markets and between gold and stock markets and there is a unidirectional SHOCK transition from stock market to exchange market. Also, the results show that there are bidirectional VOLATILITY TRANSITIONs between exchange and gold markets and gold and stock markets.

Cites

THE EFFECT OF GOLD COIN FUTURES ON THE SPOT MARKET VOLATILITY IN IRAN

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APA: Copy

HOSSEINIOUN, NILOUFAR SADAT, BEHNAME, MEHDI, & EBRAHIMI SALARI, TAGHI. (2016). VOLATILITY TRANSMISSION OF THE RATE OF RETURNS IN IRANIAN STOCK, GOLD AND FOREIGN CURRENCY MARKETS. IRANIAN ECONOMIC RESEARCH, 21(66 ), 123-150. SID. https://sid.ir/paper/2604/en

Vancouver: Copy

HOSSEINIOUN NILOUFAR SADAT, BEHNAME MEHDI, EBRAHIMI SALARI TAGHI. VOLATILITY TRANSMISSION OF THE RATE OF RETURNS IN IRANIAN STOCK, GOLD AND FOREIGN CURRENCY MARKETS. IRANIAN ECONOMIC RESEARCH[Internet]. 2016;21(66 ):123-150. Available from: https://sid.ir/paper/2604/en

IEEE: Copy

NILOUFAR SADAT HOSSEINIOUN, MEHDI BEHNAME, and TAGHI EBRAHIMI SALARI, “VOLATILITY TRANSMISSION OF THE RATE OF RETURNS IN IRANIAN STOCK, GOLD AND FOREIGN CURRENCY MARKETS,” IRANIAN ECONOMIC RESEARCH, vol. 21, no. 66 , pp. 123–150, 2016, [Online]. Available: https://sid.ir/paper/2604/en

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