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Analyzing the Relationship Between Tehran and Dubai Stock Exchange

Jafar Abdi, Akbar | 2010

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 40790 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Keshavarz Haddad, Gholamreza
  7. Abstract:
  8. 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 volatility of the financial markets by a multivariate FIGARCH technique. Both the FIVECM and MFIGARCH use the gold prices to capture the effects of global financial fluctuations on the Tehran and Dubai Exchange Markets which are assumed to be affected simultaneously by gold prices. Our findings reveal that there is not a significant return transmission from Dubai toward Tehran Exchange Market, but it confirms presence of volatility of spillover from gold market toward Dubai Stock Exchange and then from Dubai toward Tehran, in turn
  9. Keywords:
  10. Stock Market ; Long Memeory ; Contagion ; Volatility Spillover Effect ; Return Spillover Effect ; Multivariate FIGARCH Model ; Fractionally Integrated Vector Error Correction Model

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