Volatility Spillover of Brent Oil Price Return on Return of Iran and USA Financial Markets and Related Industries: A MGARCH Approach
The importance of oil price volatility spillover has significantly increased since the globalization and financial markets’ interaction have expanded. Based on this, the oil price impact on financial markets, as an exogenous variable, is also increased. In this paper, we study the “volatility spillo...
| Published in: | Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān |
|---|---|
| Main Authors: | , , |
| Format: | Article |
| Language: | Persian |
| Published: |
Allameh Tabataba'i University Press
2016-12-01
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| Subjects: | |
| Online Access: | https://jiee.atu.ac.ir/article_7972_8d41be5acc417d0a4272061adee76e25.pdf |
| _version_ | 1850108761306300416 |
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| author | Hossein Tavakolian Seyed Amir Etemadi Reza Tehrani |
| author_facet | Hossein Tavakolian Seyed Amir Etemadi Reza Tehrani |
| author_sort | Hossein Tavakolian |
| collection | DOAJ |
| container_title | Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān |
| description | The importance of oil price volatility spillover has significantly increased since the globalization and financial markets’ interaction have expanded. Based on this, the oil price impact on financial markets, as an exogenous variable, is also increased. In this paper, we study the “volatility spillover of Brent oil price return effects on return of Iran and USA financial markets during 2008-2016 using weekly data. Results show that volatility of Brent oil price return spillovers S&P500 and related industries to oil indexes in USA, so it does not spillover Tehran exchange price index return and related industries to oil indexes in Iran. Also financial market indexes return do not spillover together in short-time. |
| format | Article |
| id | doaj-art-ae8aedabb9904c1a9d287327c2e22a44 |
| institution | Directory of Open Access Journals |
| issn | 2423-5954 2476-6437 |
| language | fas |
| publishDate | 2016-12-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| spelling | doaj-art-ae8aedabb9904c1a9d287327c2e22a442025-08-20T00:01:01ZfasAllameh Tabataba'i University PressPizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān2423-59542476-64372016-12-01621336110.22054/jiee.2017.79727972Volatility Spillover of Brent Oil Price Return on Return of Iran and USA Financial Markets and Related Industries: A MGARCH ApproachHossein Tavakolian0Seyed Amir Etemadi1Reza Tehrani2Assistant Professor, Faculty of Economics, Allameh Tabataba’i UniversityMA in Financial Management, University of TehranAssociate Professor, Faculty of Management, University of TehranThe importance of oil price volatility spillover has significantly increased since the globalization and financial markets’ interaction have expanded. Based on this, the oil price impact on financial markets, as an exogenous variable, is also increased. In this paper, we study the “volatility spillover of Brent oil price return effects on return of Iran and USA financial markets during 2008-2016 using weekly data. Results show that volatility of Brent oil price return spillovers S&P500 and related industries to oil indexes in USA, so it does not spillover Tehran exchange price index return and related industries to oil indexes in Iran. Also financial market indexes return do not spillover together in short-time.https://jiee.atu.ac.ir/article_7972_8d41be5acc417d0a4272061adee76e25.pdfreturnspillovervolatilitymultivariate garch models |
| spellingShingle | Hossein Tavakolian Seyed Amir Etemadi Reza Tehrani Volatility Spillover of Brent Oil Price Return on Return of Iran and USA Financial Markets and Related Industries: A MGARCH Approach return spillover volatility multivariate garch models |
| title | Volatility Spillover of Brent Oil Price Return on Return of Iran and USA Financial Markets and Related Industries: A MGARCH Approach |
| title_full | Volatility Spillover of Brent Oil Price Return on Return of Iran and USA Financial Markets and Related Industries: A MGARCH Approach |
| title_fullStr | Volatility Spillover of Brent Oil Price Return on Return of Iran and USA Financial Markets and Related Industries: A MGARCH Approach |
| title_full_unstemmed | Volatility Spillover of Brent Oil Price Return on Return of Iran and USA Financial Markets and Related Industries: A MGARCH Approach |
| title_short | Volatility Spillover of Brent Oil Price Return on Return of Iran and USA Financial Markets and Related Industries: A MGARCH Approach |
| title_sort | volatility spillover of brent oil price return on return of iran and usa financial markets and related industries a mgarch approach |
| topic | return spillover volatility multivariate garch models |
| url | https://jiee.atu.ac.ir/article_7972_8d41be5acc417d0a4272061adee76e25.pdf |
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