The oil and gold global market interaction on the stock market of Iran; the GARCH-Copula approach

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

Mirbargkar Seyed Mozaffar; Borzabadi Farahani Maryam

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

Journal Paper

Paper Information

Journal: INVESTMENT KNOWLEDGE Year:2019 | Volume:8 | Issue:30 Page(s): 211-227

Download Full-Text

Persian Verion

View:

289

Download:

Cites:

Information Journal Paper

Title

The oil and gold global market interaction on the stock market of Iran; the GARCH-Copula approach

Author(s)

Mirbargkar Seyed Mozaffar | Borzabadi Farahani Maryam | Issue Writer Certificate

Keywords

Tehran stock marketQ1

gold global marketQ1

oil marketQ1

GARCH-Copula modelsQ1

dependence structureQ1

Abstract

Studying the countries' stock market and global market interaction has been one of the most important research subjects in the global market. Thus, studying the relationships may have a significant role for the decision making of the investors. An appropriate estimation of the dependence structure has been the significant starting point at an investing period, for the investment risk control. The present research aims to study the interaction between dependence structure at Tehran stock market efficiency and the global price of gold and oil, at the period of 2010-2017, on a daily basis. In doing so, GARCH-Copula approach has been applied. The results show the asymmetric mutual relationship between the studied efficiencies. As it can be seen in the present paper, the t-student Copula functions can have a better recognition than other functions for both efficiencies; 'Tehran stock and gold market', and 'Tehran stock and oil market'. The results indicate that the Tehran stock market has been highly dependent to both oil and gold markets, and their threshold changes may lead to a stronger dependency of the markets together.

Cites

No record.

References

No record.

Cite

APA: Copy

Mirbargkar, Seyed Mozaffar, & Borzabadi Farahani, Maryam. (2019). The oil and gold global market interaction on the stock market of Iran; the GARCH-Copula approach. INVESTMENT KNOWLEDGE, 8(30 ), 211-227. SID. https://sid.ir/paper/387429/en

Vancouver: Copy

Mirbargkar Seyed Mozaffar, Borzabadi Farahani Maryam. The oil and gold global market interaction on the stock market of Iran; the GARCH-Copula approach. INVESTMENT KNOWLEDGE[Internet]. 2019;8(30 ):211-227. Available from: https://sid.ir/paper/387429/en

IEEE: Copy

Seyed Mozaffar Mirbargkar, and Maryam Borzabadi Farahani, “The oil and gold global market interaction on the stock market of Iran; the GARCH-Copula approach,” INVESTMENT KNOWLEDGE, vol. 8, no. 30 , pp. 211–227, 2019, [Online]. Available: https://sid.ir/paper/387429/en

Related Journal Papers