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:: Volume 25, Issue 84 (quartery journal of Economic Research and Policies 2018) ::
3 2018, 25(84): 165-189 Back to browse issues page
Volatility Spillovers in the Stock Market
Abstract:   (4522 Views)

After the recent financial crisis,  researchers are interested in studying the dynamics of relationships among the markets and identifying the impact of other markets on the capital market. This paper examines the dynamic conditional correlations and volatility spillovers among capital market and the foreign exchange market, gold, oil and housing market with using the four popular multivariate GARCH models for the period of April 2005 to March 2017. In order to enhance the country's financial resilience in managing financial fluctuations, policy decision making, and risk managing we want to identify volatility spillover to the capital market. The results confirm the volatility spillover from the foreign exchange market, gold market and oil market on the stock market. However, there is not found any evidence for volatility spillover from the housing sector. In addition, the findings indicate there is  a positive conditional correlation between the stock market return, foreign exchange market, and the housing market returns.

Keywords: Fluctuation overflow, Dynamic conditional correlation, Stock market  
Full-Text [PDF 1055 kb]   (873 Downloads)    
Type of Study: Research | Subject: Special
Received: 2017/06/25 | Accepted: 2018/03/11 | Published: 2018/03/11
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Volatility Spillovers in the Stock Market . 3. 2018; 25 (84) :165-189
URL: http://qjerp.ir/article-1-1805-en.html

Volume 25, Issue 84 (quartery journal of Economic Research and Policies 2018) Back to browse issues page
فصلنامه پژوهشها و سیاستهای اقتصادی Journal of Economic Research and Policies
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