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Investigating the spillover effect of returns between gold, dollar, euro and stocks of selected groups of Tehran Stock Exchange
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Rahim Novin1   , Roya Aleemran 2, Seyyed Ali Paitkhi Eskoi3 |
1- Doctoral student of the Department of Economics, Tabriz Branch, Islamic Azad University of Tabriz; Iran
2- Associate Professor, Department of Economics, Tabriz Branch, Azad University, Tabriz-Iran , Aleemran@iaut.ac.ir
3- Associate Professor, Department of Economics, Tabriz Branch, Azad University, Tabriz-Iran |
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Abstract: (585 Views) |
Having an investment portfolio with minimum risk and maximum return is the Pareto optimum that all investors in the financial markets are looking for. Achieving this goal is not possible due to its idealistic nature, and people can only approach this optimal situation. However, the basic principle in the composition of the investment portfolio is to have financial assets with minimal correlation in the portfolio. This is followed to reduce the yield spillover effect among the portfolio assets. This is the reason for this study to investigate the yield spillover between assets such as gold, dollar, euro and major stock market indices such as automotive, banking and chemical group index for the daily period from 2018 August 26 to 2023 March 15, using the ARCH approach. Results of EGARCH(1,2), EGARCH(1,1), GARCH(1,2), GARCH(2,2) and AR(2) models for banking group index, chemical group index, gold, euro and dollar respectively which are based on the selected information criteria, showed that the spillover effect of the studied assets is different from each other.
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Article number: 3 |
| Keywords: overflow, gold, euro, dollar, EGARCH, GARCH, Tehran Stock Exchange |
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Full-Text [PDF 1121 kb]
(106 Downloads)
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Article type: Research |
Subject:
Special
Received: 2024/03/27 | Accepted: 2024/04/30 | Published: 2024/07/31
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