The Mechanism of Volatility Spillover and Noise Trading Among Financial Markets and The Oil Market: Evidence from Iran

Journal of System Management

مقاله 1، دوره 9، شماره 1 - شماره پیاپی 33، فروردین 2023، صفحه 1-13   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.30495/jsm.2022.1960629.1656

نویسندگان

Sharareh Taheri¹؛ Abdolmajid Abdolbaghi Ataabadi²؛ Mohammad Hossein Arman^{* 1}؛ Majid Vaziri Sarashk³

¹Department of Management, Najafabad Branch, Islamic Azad University, Najafabad, Iran

²Department of management,Faculty of Industrial Engineering and Management , Shahrood university of technology, shahrood . iran

³Department of industrial engineering, Najafabad Branch, Islamic Azad University, Najafabad, Iran.

چکیده

Financial markets are currently experiencing sharp volatility. Studying how the returns and volatility in one market affect other markets has always been one issue that helps investors and policymakers to make optimal decisions. Given the importance of volatility spillovers in the Iranian financial market, this study aimed to investigate the mechanisms behind the volatility spillovers in the foreign exchange, gold, and stock markets to the oil market in Iran. This descriptive study was conducted using the daily and monthly data from the oil, foreign exchange, gold, and capital markets from 2010 to 2019 and to analyze the data, ARCH and GARCH models have been used. The results of this study showed that the abnormal volatility of the foreign exchange and gold in the previous day positively affects the abnormal volatility of the oil market today, this indicates that money flows in the currency market, spilling over the fluctuations into the oil market. hey also found that the abnormal volatility of the capital market in the previous day negative affects the abnormal volatility of the oil market today, indicating that if money flows in the capital market, which indicates the flow of money in the capital market from yesterday, increasing the transfer of emotions to the current capital market but does not spillover into the oil market and volatility is not transferred into the oil market. Overall, the findings of this study confirmed the positive impact of the foreign exchange and gold markets on the abnormal volatility in the oil market in the short term (daily) and long term (monthly), but did not confirm the positive impact of the capital market on the abnormal volatility in the oil market.

کلیدواژه‌ها

Volatility spillover؛ Volatility؛ Noise Trading؛ Financial Markets؛ GARCH Model

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