پیوندهای مفید
آمار
| تعداد نشریات | 21 |
| تعداد شماره‌ها | 636 |
| تعداد مقالات | 9,324 |
| تعداد مشاهده مقاله | 67,917,231 |
| تعداد دریافت فایل اصل مقاله | 20,424,659 |
The effect of dynamic contagion of volatility cycles between the future gold market, physical gold market, and exchange rate | ||
| International Journal of Nonlinear Analysis and Applications | ||
| مقالات آماده انتشار، اصلاح شده برای چاپ، انتشار آنلاین از تاریخ 30 فروردین 1404 اصل مقاله (457.33 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2024.32058.4768 | ||
| نویسندگان | ||
| Bagher Sayari1؛ Mir Feiz Fallahshams* 2؛ Reza Gholami-Jamkarani3؛ Hossein Jahangirnia3 | ||
| 1Department of Financial Management, Qom Branch, Islamic Azad University, Qom, Iran | ||
| 2Department of Business Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran | ||
| 3Department of Accounting, Qom Branch, Islamic Azad University, Qom, Iran | ||
| تاریخ دریافت: 28 مهر 1402، تاریخ بازنگری: 04 مهر 1403، تاریخ پذیرش: 05 مهر 1403 | ||
| چکیده | ||
| In the era of globalization, financial markets of both developed and developing countries have become increasingly interconnected, giving rise to the phenomenon known as financial contagion. This contagion can propagate market turbulence across borders, influencing economic prosperity, downturns, and risk-return dynamics. This study aims to investigate the dynamic contagion of volatility cycles between the future gold market, physical gold market, foreign exchange rates (USD), and the Tehran Stock Exchange from August 29, 2009, to September 5, 2018. To explore this, we employ GARCH-BEKK, Markov Switching, and Vector Autoregressive models to test our research hypotheses. Our findings reveal that volatility contagion extends from the physical gold market to the future coin market and from the foreign exchange market to both the future coin market and the physical gold market. Additionally, we observe varying contagion effects of volatility from the physical gold market to the future coin market under different regimes. Furthermore, the contagion effect of volatility from the foreign exchange market to the physical gold market and the future coin market also varies across different regimes. Intriguingly, our results suggest the absence of a volatility contagion effect from the physical gold market and the future coin market to the foreign exchange market. | ||
| کلیدواژه‌ها | ||
| Dynamic contagion؛ Volatility cycles؛ Future gold market؛ Physical gold market Exchange rate؛ Tehran Stock Exchange | ||
| مراجع | ||
|
[1] O.E. Arli and B. Atas, COVID-19 Doneminde hisse senedI pIyasasinda bulasma etkisi, Nisantası Universitesi Sosyal Bilimler Dergisi, 2023. [2] I.U. Badshah, B. Frijns and A. Tourani-Rad, Contemporaneous spill-over among equity, gold, and exchange rate implied volatility indices, J. Futures Mark. 33 (2013), no. 6, 555–572. [3] D.G. Baur and B.M. Lucey, Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold, Financ. Rev. 45 (2010), no. 2, 217–229. [4] X. Dai, Q. Wang, D. Zha, and D. Zhou, Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach, Energy Econ. 88 (2020), 104774. [5] Q. Ding, J. Huang, W. Gao, and H. Zhang, Does political risk matter for gold market fluctuations? A structural VAR analysis, Res. Int. Bus. Finance, 60 (2022), 101618. [6] D. Duffie and J.C. Stein, Reforming LIBOR and other financial market benchmarks, J. Econ. Persp. 29 (2015), no. 2, 191–212. [7] C. Engel, Exchange rate policies, BIS Paper 52 (2010), 229–250. [8] E. Ferry, Speculative substance: ‘physical gold’ in finance, Econ. Soc. 49 (2020), no. 1, 92–115. [9] P. Golitsis, P. Gkasis, and S.K. Bellos, Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables, evidence from the USA, North Amer. J. Econ. Finance 63 (2022), 101785. [10] I. Grigoryeva and D. Ley, The price ripple effect in the Vancouver housing market, Urban Geog. 40 (2019), no. 8, 1168–1190. [11] D.H.B. Phan, S.S. Sharma, and P.K. Narayan, Stock return forecasting: Some new evidence, Int. Rev. Financ. Anal. 40 (2015), 38–51. [12] W. Saijai, P. Maneejuk, and S. Sriboonchitta, Contagion effects among stock markets, treasury bill, petroleum, gold, and cryptocurrency during the COVID-19 pandemic: A dynamic conditional correlation approach, In: N. Ngoc Thach, D.T. Ha, N.D. Trung, and V. Kreinovich, Prediction and causality in econometrics and related topics, ECONVN 2021, Studies in Computational Intelligence, Springer, Cham, 983 (2022). [13] B. Shakeri, A. Beytari, M. Ghorbanian, and R. Javadi, Evaluation of the association between cryptocurrencies with oil and gold prices using the BEKK multivariate GARCH model, Int. J. Nonlinear Anal. Appl. 14 (2023), no. 1, 2061–2078. [14] B.S. Silvestre, Sustainable supply chain management in emerging economies: Environmental turbulence, institutional voids and sustainability trajectories, Int. J. Prod. Econ. 167 (2015), 156–169. [15] B.M. Tabak, I.B.D.R. e Silva, and T.C. Silva, Analysis of connectivity between the world’s banking markets: The COVID-19 global pandemic shock, Quart. Rev. Econ. Finance 84 (2022), 324–336. [16] D. Zivkov, B. Kuzman, and A. Andrejevic-Panic, Nonlinear bidirectional multiscale volatility transmission effect between stocks and exchange rate markets in the selected African countries, Econ. Res. Ekon. Istrazivanja 35 (2021), no. 1, 1623–1650. | ||
|
آمار تعداد مشاهده مقاله: 293 تعداد دریافت فایل اصل مقاله: 48 |
||