Design a Model for Measuring the Dynamics Volatility Connectedness of Tehran Stock Exchange and Global Markets

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Gholami Nasser; MOHAMMADI TEYMOR; GHASEMI ABDOLRASOUL

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Journal: Journal of Economic Modelling Year:2020 | Volume:14 | Issue:1 (49) Page(s): 49-71

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Title

Design a Model for Measuring the Dynamics Volatility Connectedness of Tehran Stock Exchange and Global Markets

Author(s)

Gholami Nasser | MOHAMMADI TEYMOR | GHASEMI ABDOLRASOUL | Issue Writer Certificate

Keywords

Tehran Stock ExchangeQ2

dynamics connectednessQ1

financial marketsQ2

variance decomposition approach.JEL:C58Q3

D53Q3

Abstract

The aim of this article is to measure the dynamics connectedness of Tehran stock market with stock exchanges of selected countries from the Middle East and China, oil and gold markets, the dollar index and the euro-dollar and yuan-dollar. To this end, a variance decomposition approach has been used to measure connectedness of markets between January 2008 and the end of July 2019. The findings show that the variance of forecast errors in most of markets are due to the shocks of those markets themselves. The Qatari Stock Exchange has a significant impact on Saudi and UAE stock exchanges. As the time horizon increases, Brent's oil market will be more influential than other markets, and this market will be more affected by the stock exchanges of the Arab countries and the Shanghai Composite. According to the results, investing in the Tehran Stock Exchange and the yuan-dollar exchange rate due to insignificant dynamics connectedness with other markets is recommended to hedge risk.

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APA: Copy

Gholami, Nasser, MOHAMMADI, TEYMOR, & GHASEMI, ABDOLRASOUL. (2020). Design a Model for Measuring the Dynamics Volatility Connectedness of Tehran Stock Exchange and Global Markets. ECONOMIC MODELLING, 14(1 (49) ), 49-71. SID. https://sid.ir/paper/390228/en

Vancouver: Copy

Gholami Nasser, MOHAMMADI TEYMOR, GHASEMI ABDOLRASOUL. Design a Model for Measuring the Dynamics Volatility Connectedness of Tehran Stock Exchange and Global Markets. ECONOMIC MODELLING[Internet]. 2020;14(1 (49) ):49-71. Available from: https://sid.ir/paper/390228/en

IEEE: Copy

Nasser Gholami, TEYMOR MOHAMMADI, and ABDOLRASOUL GHASEMI, “Design a Model for Measuring the Dynamics Volatility Connectedness of Tehran Stock Exchange and Global Markets,” ECONOMIC MODELLING, vol. 14, no. 1 (49) , pp. 49–71, 2020, [Online]. Available: https://sid.ir/paper/390228/en

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