THE STUDY OF VOLATILITY SPILLOVER EFFECTS BETWEEN STOCK, GOLD, OIL AND CURRENCY MARKETS

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JAHANGIRI KHALIL; HEKMATI FARID SAMAD

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Journal: ECONOMIC RESEARCH REVIEW Year:2015 | Volume:15 | Issue:56 Page(s): 159-192

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Information Journal Paper

Title

THE STUDY OF VOLATILITY SPILLOVER EFFECTS BETWEEN STOCK, GOLD, OIL AND CURRENCY MARKETS

Author(s)

JAHANGIRI KHALIL | HEKMATI FARID SAMAD | Issue Writer Certificate

Keywords

STOCK MARKETQ2

EXCHANGE RATEQ2

GOLDQ2

OILQ1

VOLATILITY SPILLOVERQ1

Abstract

The aim of this paper is to investigate the relationship between Stock, GOLD coin and currency markets (as domestic markets), as well as, OIL and GOLD markets and the U.S.A and European STOCK MARKETs (as international markets) over the period of April 2001 to September 2013 using the Markov Regime Switching model and VOLATILITY SPILLOVER analysis. The empirical results in domestic markets showed that in low return regime, there is no significant spillover between markets so; the estimated value of spillover index is about 7.8 percent. In contrast, the value of spillover index in high return states is about 42 percent. Also, the results showed that when the world equity markets are in regime zero (low return regime), the GOLD market acts as an intermediary for the transmission of shocks from global markets to asset markets in Iran. In contrast, when the world equity markets are in regime one (high return regime), the OIL market acts as a transmission channel of shocks.

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APA: Copy

JAHANGIRI, KHALIL, & HEKMATI FARID, SAMAD. (2015). THE STUDY OF VOLATILITY SPILLOVER EFFECTS BETWEEN STOCK, GOLD, OIL AND CURRENCY MARKETS. ECONOMIC RESEARCH REVIEW, 15(56), 159-192. SID. https://sid.ir/paper/67181/en

Vancouver: Copy

JAHANGIRI KHALIL, HEKMATI FARID SAMAD. THE STUDY OF VOLATILITY SPILLOVER EFFECTS BETWEEN STOCK, GOLD, OIL AND CURRENCY MARKETS. ECONOMIC RESEARCH REVIEW[Internet]. 2015;15(56):159-192. Available from: https://sid.ir/paper/67181/en

IEEE: Copy

KHALIL JAHANGIRI, and SAMAD HEKMATI FARID, “THE STUDY OF VOLATILITY SPILLOVER EFFECTS BETWEEN STOCK, GOLD, OIL AND CURRENCY MARKETS,” ECONOMIC RESEARCH REVIEW, vol. 15, no. 56, pp. 159–192, 2015, [Online]. Available: https://sid.ir/paper/67181/en

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