Systemic Risk Analysis in Selected Industries of Tehran Stock Exchange: A Multivariate Quantile Regression Approach

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KHIABANI NASER; MOHAMMADIAN NIKPEY EHSAN

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

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Journal: Iranian Journal of Economic Research Year:2019 | Volume:23 | Issue:77 Page(s): 1-36

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Title

Systemic Risk Analysis in Selected Industries of Tehran Stock Exchange: A Multivariate Quantile Regression Approach

Author(s)

KHIABANI NASER | MOHAMMADIAN NIKPEY EHSAN | Issue Writer Certificate

Keywords

Systemic RiskQ1

Tehran Stock ExchangeQ2

Tail DependenceQ1

Risk SpilloverQ1

Abstract

This study examines the impact of a negative shock-attributed to a Systemic Risk-on the industrial indexes of the Tehran stock market using daily data form 21 January, 2008 to 22 September, 2017. Using a Vector Autoregressive for Value at Risk (VAR-VaR) and a quantile Impulse-response function that was newly proposed by White et al 2015, we focus on the tail interdependence between industrial index returns (financial institutions) and the market shock index and show how each industrial stock risks contemporaneously and dynamically response to systemic market shocks. Our finding show that there is a significant volatility spillover from a systemic shock to financial institutions in Tehran stock market. However as expected the magnitude of its impact is not the same for all industrial index risks. For examples, the impact of its shock on the bank and metal industrial volatilities is more sizable compared to its impact on the others. And finally, the stock market index has a strong and persistence tail dependency with the chemical and petroleum product industries.

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APA: Copy

KHIABANI, NASER, & MOHAMMADIAN NIKPEY, EHSAN. (2019). Systemic Risk Analysis in Selected Industries of Tehran Stock Exchange: A Multivariate Quantile Regression Approach. IRANIAN ECONOMIC RESEARCH, 23(77 ), 1-36. SID. https://sid.ir/paper/406041/en

Vancouver: Copy

KHIABANI NASER, MOHAMMADIAN NIKPEY EHSAN. Systemic Risk Analysis in Selected Industries of Tehran Stock Exchange: A Multivariate Quantile Regression Approach. IRANIAN ECONOMIC RESEARCH[Internet]. 2019;23(77 ):1-36. Available from: https://sid.ir/paper/406041/en

IEEE: Copy

NASER KHIABANI, and EHSAN MOHAMMADIAN NIKPEY, “Systemic Risk Analysis in Selected Industries of Tehran Stock Exchange: A Multivariate Quantile Regression Approach,” IRANIAN ECONOMIC RESEARCH, vol. 23, no. 77 , pp. 1–36, 2019, [Online]. Available: https://sid.ir/paper/406041/en

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