Investigating the Conceptual Model Explaining the Contagion Turbulence Influencing Returns in Banks Accepted in the Stock Exchange

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Doostian Rahman; JAMSHIDI NAVID BABAK; GHANBARI MEHRDAD; DEHGHAN ABDOLMAJID

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Journal: INVESTMENT KNOWLEDGE Year:2019 | Volume:8 | Issue:31 Page(s): 393-415

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Title

Investigating the Conceptual Model Explaining the Contagion Turbulence Influencing Returns in Banks Accepted in the Stock Exchange

Author(s)

Doostian Rahman | JAMSHIDI NAVID BABAK | GHANBARI MEHRDAD | DEHGHAN ABDOLMAJID | Issue Writer Certificate

Keywords

turbulence ContagionQ1

multivariate garchQ1

parallel marketsQ1

Abstract

The present study investigates the volatility of parallel markets of capital markets on stocks of Bourse's banks. In this study, the visibility of bank libraries has been measured separately from parallel markets of foreign exchange and gold, as well as the oil market as an influential independent market. In this regard, the method of Vector Auto Regression Model (VAR) and self-regression model is used to predict the heterogeneity of generalized multivariate variances (MGARCH). The data from the beginning of July 2012 to the end of September 2018 were collected and tested. The method of this research is based on the classification of research based on the method, nature and direction are descriptive, applied and post-event respectively, and are correlated in terms of type. The results of this study confirm the relationship between the impact of bourse banks on parallel markets of currency, gold and oil. Based on this, the main hypotheses of the research that the stock markets of stock exchanges are active in the capital market from parallel markets is maintained from two perspectives of return and risk. Finally, in this study, the estimated model, which relates to the daily returns of gold and foreign exchange markets on the returns of the total stock market index, has been conceptually and mathematically explained as the best estimator of the effects of cross-market contagion. Therefore, the results of testing the research hypotheses over the time period under study confirm that the contagion effects of contingent volatility of the yields of banks admitted to the stock market by the MGARCH model are predictable.

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APA: Copy

Doostian, Rahman, JAMSHIDI NAVID, BABAK, GHANBARI, MEHRDAD, & DEHGHAN, ABDOLMAJID. (2019). Investigating the Conceptual Model Explaining the Contagion Turbulence Influencing Returns in Banks Accepted in the Stock Exchange. INVESTMENT KNOWLEDGE, 8(31 ), 393-415. SID. https://sid.ir/paper/404885/en

Vancouver: Copy

Doostian Rahman, JAMSHIDI NAVID BABAK, GHANBARI MEHRDAD, DEHGHAN ABDOLMAJID. Investigating the Conceptual Model Explaining the Contagion Turbulence Influencing Returns in Banks Accepted in the Stock Exchange. INVESTMENT KNOWLEDGE[Internet]. 2019;8(31 ):393-415. Available from: https://sid.ir/paper/404885/en

IEEE: Copy

Rahman Doostian, BABAK JAMSHIDI NAVID, MEHRDAD GHANBARI, and ABDOLMAJID DEHGHAN, “Investigating the Conceptual Model Explaining the Contagion Turbulence Influencing Returns in Banks Accepted in the Stock Exchange,” INVESTMENT KNOWLEDGE, vol. 8, no. 31 , pp. 393–415, 2019, [Online]. Available: https://sid.ir/paper/404885/en

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