1
Planning & Comtrol Project Expert/ NECO Industry Management Co.
2
Financial Engineering Department, Tarbiat Modares University
Abstract
Investigating (studying) how return and volatility of one market impacts on other markets is one of the important factors that help portfolio managers to optimize their portfolios and select the best assets. This paper investigates the existence of spillover effect in Tehran Stock Exchange. Specifically, we study the return and volatility spillover effects between 6 indices from August 2011 to March 2016 and Dynamic conditional Correlation model (DCC) has been employed in our study. Based on the results of this research, we reveal that the return and volatility of selected industries are impacting on each other. Some results suggest that the Pharmaceutical Industry has the most impact and the oil products, coke and nuclear fuel industry has the least impact on other industries.
karami, S., & Rastegar, M. (2017). Return and Volatilities Spillover between Different Industries of Tehran Stocks’ Exchange. Journal of Risk modeling and Financial Engineering, (), -.
MLA
sepideh karami; Mohammadali Rastegar. "Return and Volatilities Spillover between Different Industries of Tehran Stocks’ Exchange". Journal of Risk modeling and Financial Engineering, , , 2017, -.
HARVARD
karami, S., Rastegar, M. (2017). 'Return and Volatilities Spillover between Different Industries of Tehran Stocks’ Exchange', Journal of Risk modeling and Financial Engineering, (), pp. -.
VANCOUVER
karami, S., Rastegar, M. Return and Volatilities Spillover between Different Industries of Tehran Stocks’ Exchange. Journal of Risk modeling and Financial Engineering, 2017; (): -.
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