Investigating the Spillover of Oil and Gas Volatilities on the Volume of Transactions in the Capital Market with the GARCH-BEKK approach

Document Type : Original Article

Authors

1 Financial Management, Islamic Azad University, Qeshm, Iran

2 Department of Accounting and Finance, Faculty of Humanities, Bandar Abbas Branch, Islamic Azad University, Bandar Abbas, Iran

3 Business Management-Financial Management, Qeshm Branch, Islamic Azad University, Qeshm, Iran

Abstract

The dependence of countries from an economic point of view in the oil and gas energy sector has caused the fluctuations in the oil and gas energy sector to be transferred to other sectors of the economy as well. However, new methods in the analysis of supply and demand in the market can help in the effective analysis of oil and gas price volatilities. Oil and gas price volatilities are not solely determined by market supply and demand factors, but can also be affected by events such as changes in financial markets, political conflicts, and public emergencies. Therefore, according to the importance of this topic, the current research was conducted with the aim of investigating the effect of spillover oil and gas volatilities on the volume of transactions in the capital market with the GARCH-BEKK approach during the period of 2022-2009. In this regard, the information of the statistical department related to the indicators as a sample size was extracted on a monthly basis during a period of 14 years and was analyzed and analyzed by Eviews 12 software. The results of the analysis in the first hypothesis showed that the spillover effect of oil volatilities can affect the increase in the volume of transactions in the capital market. Also, the result of the second hypothesis indicated that the spillover effect of gas volatilities can affect the increase in the volume of transactions in the capital market.

Keywords

Main Subjects

References

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Budget and Finance Strategic Research
Volume 6, Issue 1 - Serial Number 21
Spring Quarterly
April 2025
Pages 159-185

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History

  • Receive Date: 09 February 2024
  • Revise Date: 15 April 2024
  • Accept Date: 11 February 2025

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