Sharif Digital Repository

One of the obvious features of financial markets is the spread of crisis across the markets, which is called contagion and realized in forms of return and volatility spillover. Using the daily data on the stock price from December 2006 through June 2010, this study aims to examine the presence and significance of these spillovers between Tehran and Dubai Stock Exchange, by a FIVECM technique. The FIVECM provides long-run equilibrium relationships between the returns in the markets and short-run dynamics of involved endogenous variables. Furthermore, it takes into account presence of fractionality in the time series’ integration. Our analytical framework, models the spillover effects in... 

Financial distress can propagate through different channels such as bank run, deposit interbank market,networks and asset prices. In this paper, with the assumption of deposit insurance, no linkages between banks, no deposit interbank market and fixed asset prices, we show that asset-side shocks might propagate through both loan interbank market and deposit market. However, when there is aggregate liquidity surplus in the banking system, loan interbank market results in the first best allocation. In contrast, aggregate liquidity shortage does not result in optimum allocation. In the presence of deposit and loan interbank market, not only shocks propagate but also they are magnified with the... 

The Contagion of markets to each other, due to their role in the occurrence of financial crises and the transmission of shocks, is an important topic in the financial literature. In this dissertation, we study this issue by examining the number of positive and negative co-exeedances in the oil market and Tehran Stock Exchange. The data examined are the daily time series of Tehran Stock Market Index and Oil Prices (WTI) in the period of 2009 to 2019.First of all we find the time cut-off rate of the daily returns of the stock indexes of different industries and of oil prices, using the generalized Pareto distribution (GPD). Then we count the number of days when the returns have negative or...