The contagion effects of global financial crisis on Tehran Stock Exchange

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Moghareh Abed, Sepehr | 2010

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 40791 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Keshavarz Haddad, Gholamreza
Abstract:
US 2008 financial crisis, spread across the international stock markets in the second half of the year 2008. The crisis decreased the returns and increased the volatilities of almost all of the stock indices, however, its effects on Iran’s stock markets were unexplored. Financial limitations create an exclusive situation in Iran’s stock market. Using weekly data on the stock indices from July 2006 through August 2009, this study aims to exam in the contagion effects of the global financial crisis through the main indices such as S&P500 and FTSE100 on Tehran Stock Exchange indices: industrial and financial intermediary indices and The First and the Second indices of Tehran’s Stock Exchange. The DFGM85 contagion test model is employed to identify the contagion effects. Our findings reveal that the crisis has been transmitted to Tehran Stock Exchange index and has decreased the index. Moreover, the industrial and the First indices are affected by the crisis negatively, however, the results shows that the crisis did not have any significant effects on TSE’s financial intermediary and the Second indices
Keywords:
Stock Market ; Financial Crisis ; Dungey, Fry, Gonzalez-Hermosillo and Martin (DFGM)Contagion Test ; Latent Factors Test ; Generalized Moments Methods

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