An Appraisal of Downside and Upside Risk Spillovers of Exchange Rates, Crude Oil and Gold Prices on Tehran Stock exchange

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Barghi Osguei Mohammad Mehdi; Saghafi Kelvanag Reza

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Journal Paper

Paper Information

Journal: JOURNAL OF APPLIED THEORIES OF ECONOMICS Year:2019 | Volume:5 | Issue:4 Page(s): 143-172

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Information Journal Paper

Title

An Appraisal of Downside and Upside Risk Spillovers of Exchange Rates, Crude Oil and Gold Prices on Tehran Stock exchange

Author(s)

Barghi Osguei Mohammad Mehdi | Saghafi Kelvanag Reza | Issue Writer Certificate

Keywords

Financial MarketsQ1

Spillover EffectsQ1

VaRQ1

CoVaRQ1

CopulaeQ1

Abstract

In this Paper, we examined the upside and downside Spillover Effects between exchange rates, crude oil prices, gold prices and Tehran Stock Exchange. Due to special charachteristics of financial data, we used copula methods to assess correlation between returns of the markets and using VaR and CoVaR approachs we examined the risk spillovers between markets. Our data spans from 2006-07-19 to 2017-03-21. Results show that the correlations between returns of the exchange rates with the stock market and the crude oil prices with the exchange rates were symmetric but the correlations between returns of the gold prices with the stock market and crude oil prices with stock market were asymmetric and strong in the upper tails. CoVaR analysis shows that risk Spillover Effects between stock market and gold prices are stronger than the other VaRiables. The relationship between exchange rates and oil prices with stock market are considered to be mostly between returns but there are some risk spillovers too. In most cases upper risk spillovers are stronger than lower ones.

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APA: Copy

Barghi Osguei, Mohammad Mehdi, & Saghafi Kelvanag, Reza. (2019). An Appraisal of Downside and Upside Risk Spillovers of Exchange Rates, Crude Oil and Gold Prices on Tehran Stock exchange. JOURNAL OF APPLIED THEORIES OF ECONOMICS, 5(4 ), 143-172. SID. https://sid.ir/paper/391602/en

Vancouver: Copy

Barghi Osguei Mohammad Mehdi, Saghafi Kelvanag Reza. An Appraisal of Downside and Upside Risk Spillovers of Exchange Rates, Crude Oil and Gold Prices on Tehran Stock exchange. JOURNAL OF APPLIED THEORIES OF ECONOMICS[Internet]. 2019;5(4 ):143-172. Available from: https://sid.ir/paper/391602/en

IEEE: Copy

Mohammad Mehdi Barghi Osguei, and Reza Saghafi Kelvanag, “An Appraisal of Downside and Upside Risk Spillovers of Exchange Rates, Crude Oil and Gold Prices on Tehran Stock exchange,” JOURNAL OF APPLIED THEORIES OF ECONOMICS, vol. 5, no. 4 , pp. 143–172, 2019, [Online]. Available: https://sid.ir/paper/391602/en

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