Modeling the measurement of volatility connectedness at the time of the corona outbreak in the structure of the Tehran Stock Exchange industries

Document Type : Original Article

Author

management faculty,payamenoor university,tehran,iran

Abstract

The present study has examined the relationship between the turbulence of the structures of important industries of the Tehran Stock Exchange during the last twelve years using the daily turbulence of the index values of each industry. Using the volatility model based on the analysis of variance approach, the effects of risk spillover due to the occurrence of corona on the stability of twenty important and major industries in the Iranian stock market were measured and evaluated.

Empirical findings showed that the twenty industries studied had little dependence before the corona and the occurrence of Covid 19 had significant effects on the dynamics of turbulence in the industrial structure and the correlation of turbulence reached its maximum during the corona. The most important industries of the Iranian capital market, including chemicals, basic metals, and cement, have the highest impact during this period, and the important role of large industries in propagating turbulence shocks is significant due to their strong internal dependence during extreme events.

Medium and small industries have also increased system turbulence at the time of the corona. Overall, in the pre-Covid 19 era, there were ten risk-taking industries and ten risk-issuing industries, while in the Corona era, thirteen were the risk-issuing industries and seven were the turbulent industries.

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References

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Budget and Finance Strategic Research
Volume 3, Issue 4 - Serial Number 12
Winter Quarterly
January 2023
Pages 185-216

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History

  • Receive Date: 12 September 2022
  • Revise Date: 06 December 2022
  • Accept Date: 24 December 2022

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