IDEAS home Printed from https://ideas.repec.org/a/mbr/jmbres/v10y2017i31p1-28.html
   My bibliography  Save this article

Volatility Spillover and Dynamic conditional correlation of exchange rate on banks stock index (in Persian)

Author

Listed:
  • Mohseni, Hossein

    (Allameh tabataba'i University)

  • Botshekan, mohammad Hashem

    (Allameh tabataba'i University)

Abstract

Today, many researchers and international financial institutions are interested in measuring and identifying the dynamic interdependency among different financial market and their volatility changes. Index. In order to examine the spillover effect of the foreign currency market on the domestic monetary and financial system in Iran, this paper investigates volatility spillover of foreign currency exchange rates (like dollar and euro to rial) on the banking sector index in the stock market. In this research, we use logarithmic returns and apply them in multivariate GARCH models (in four different methods) for the twelve years periods (from April 2005 to March 2017). This paper is aimed to identify the effect of foreign currency market fluctuations on the banking sector index in order to help to manage financial fluctuations, policy-making and risk management decisions. The results indicate a positive conditional correlation between the short-term volatility of dollar exchange rate and long-run volatility of euro exchange rate with the banking sector index. Moreover, our findings confirm the existence of spillover effects of exchange rate on the banking sector index.

Suggested Citation

  • Mohseni, Hossein & Botshekan, mohammad Hashem, 2017. "Volatility Spillover and Dynamic conditional correlation of exchange rate on banks stock index (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 10(31), pages 1-28, April.
    • Handle: RePEc:mbr:jmbres:v:10:y:2017:i:31:p:1-28
    as

    Download full text from publisher

    File URL: http://jmbr.mbri.ac.ir/article-1-658-en.pdf
    Download Restriction: no
    File URL: http://jmbr.mbri.ac.ir/article-1-658-en.html
    Download Restriction: no
    File URL: http://jmbr.mbri.ac.ir/article-1-658-fa.html
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mbr:jmbres:v:10:y:2017:i:31:p:1-28. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: M. E. (email available below). General contact details of provider: https://edirc.repec.org/data/mbcbiir.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.