Effect of Risk Spillover between Financial Markets: Approach of Granger Causality in Risk

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Qaedi, Atena | 2015

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 47104 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Keshavarz Haddad, Gholamreza
Abstract:
Volatility of returns in financial markets is a potential source of market risk. The volatility either is originated from fundamentals or transmitted from other financial markets. Present study aims to empirically investigate upward and downward risk spillover between the returns of chemical and pharmaceutical shares over 28/Mar/2009 and 01/Nov/2014. We use Hong et al. (2003) causality test approach as econometric tool. Our findings reveal that the most accurate modeling procedure for return’s volatility is GJR-GARCH with skewed GED distribution for error terms. Also, inferring the causality tests confirm presence of causality from chemical toward pharmaceutical market returns
Keywords:
Risk ; Value at Risk ; Long Position Risk ; Short Position Risk ; Granger Causality ; Granger Casuality in Risk

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