The Investigation of Contagion Unanticipated Shocks in Iranian Financial Markets by DFGM Approach

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Tiemoori Boshra; EMAMVERDI GHODRATOLLAH; Esmaeeilniya Ktabi Aliasghar; NESSABIAN SHAHRIAR

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:11 | Issue:43 Page(s): 30-56

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Title

The Investigation of Contagion Unanticipated Shocks in Iranian Financial Markets by DFGM Approach

Author(s)

Tiemoori Boshra | EMAMVERDI GHODRATOLLAH | Esmaeeilniya Ktabi Aliasghar | NESSABIAN SHAHRIAR | Issue Writer Certificate

Keywords

Financial MarketsQ1

ContagionQ1

CrisisQ1

Unanticipated ShocksQ1

Abstract

In this study, we investigated of Contagion Unanticipated Shocks of oil price, exchange rate and gold price on the stock market in Iran using DFGM model, aiming to explain the dependence of Financial Markets in times of fluctuation Financial Markets in times of volatility. The data includes weekly Tehran Price Index, gold price, oil price and exchange rate from November 2008 to August 2019. The results show that about 99% of the exchange rate fluctuations and the total stock price index in the pre-Crisis period are explained by the specific factor. But after the currency shock in January 2018, it was observed that at the end of the year 2018, 88 and 63 percent of the exchange rate fluctuations and the total price index of Tehran Stock, were explained by Contagion factor, respectively. The results also show that the currency Crisis (currency fluctuations), it has Contagioned to the stock market. In addition, evidence of the impact of oil and gold price shocks on the Tehran Stock Total Price Index and the exchange rate was obtained.

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APA: Copy

Tiemoori, Boshra, EMAMVERDI, GHODRATOLLAH, Esmaeeilniya Ktabi, Aliasghar, & NESSABIAN, SHAHRIAR. (2020). The Investigation of Contagion Unanticipated Shocks in Iranian Financial Markets by DFGM Approach. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 11(43 ), 30-56. SID. https://sid.ir/paper/367658/en

Vancouver: Copy

Tiemoori Boshra, EMAMVERDI GHODRATOLLAH, Esmaeeilniya Ktabi Aliasghar, NESSABIAN SHAHRIAR. The Investigation of Contagion Unanticipated Shocks in Iranian Financial Markets by DFGM Approach. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;11(43 ):30-56. Available from: https://sid.ir/paper/367658/en

IEEE: Copy

Boshra Tiemoori, GHODRATOLLAH EMAMVERDI, Aliasghar Esmaeeilniya Ktabi, and SHAHRIAR NESSABIAN, “The Investigation of Contagion Unanticipated Shocks in Iranian Financial Markets by DFGM Approach,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 11, no. 43 , pp. 30–56, 2020, [Online]. Available: https://sid.ir/paper/367658/en

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