Article


Article Code : 13990313237571

Article Title : Providing a Network for Measuring the Dynamics Volatility Connectedness of Oil and Financial Markets

Journal Number : 31 Summer 2020

Visited : 212

Files : 605 KB


List of Authors

  Full Name Email Grade Degree Corresponding Author
1 Nasser Gholami Gholami.nasser@gmail.com Post Graduate Student M.Sc
2 Hamid Amadeh amadeh@gmail.com Graduate M.Sc
3 Morteza Khorsandi Mkhorsandi57@yahoo.com Graduate M.Sc
4 Teymor Mohammadi atmahamadi@gmail.com Associate Professor PhD

Abstract

Various studies have shown that markets are not separated and that fluctuations in different markets affect each other. Therefore, awareness of connectedness is needed for investors and policymakers for making appropriate decisions. The aim of this paper is to measure the dynamics connectedness of selected stock markets in the Middle East, oil markets, gold, the dollar index, and euro-dollar and pound-dollar exchange rates during the period February 2007 to August 2019 in networks with different weekly horizons. In this paper, we intend to evaluate the pairwise impact of crude oil and the Middle East stock markets, in particular on the Tehran Stock Exchange, and to analyze this variance using different time horizons. The results show that in all time horizons the variance of forecast error in most markets is due to the shocks themselves. The Saudi Arabian Stock Exchange has the most impact on other Middle Eastern stocks. The dynamics connectedness of the oil markets is remarkable, however, as the time horizon increases, dynamic connectedness between the two markets decreases and they are mostly affected by other markets, especially the Middle East stock exchanges except for Iran. Moreover, Iran stock market is an isolated market. About the gold market, there is a significant connectedness with the pound-dollar exchange rate and gold market; however, the dynamics connectedness of this market with other markets are not significant. Therefore, this market and Iran stock exchange can be used as a tool to hedge risk for investors.