The Shock Overflow of Parallel Markets In Stock Market Fluctuations; Evidence From OPEC Member Countries

Seyedhashemi, Fatemeh; Haghighat, Jafar; Ranjpour, Reza; Sojoodi, Sakineh

doi:10.22034/jepr.2023.62802

Document Type : Original Article

Authors

¹ Ph. D. Student, Department of Economics, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran.

² Professor, Department of Economics, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran.

³ Associate Professor, Department of Economics, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran.

https://doi.org/10.22034/jepr.2023.62802

Abstract

The purpose of this study is to investigate the shock spillover of parallel markets in stock market fluctuations; in OPEC member countries. For this purpose, the information of the 2010-2020 period and the vector error correction model have been usedThe mid-term results show: the volatility spillover function first decreases and then increases with the increase in oil prices, and also with the increase in the economic growth rate, it remains unchanged and also with the exchange rate shock, it improves first with a moderate slope and then with a gentle slope. Based on the results of variance analysis, the changes in the fluctuation overflow and then the oil price have the most impact compared to other variables in the fluctuation overflow function. Based on the long-term results: the volatility spillover function did not react much to changes in oil prices, and it also did not change to changes in the economic growth rate, first with a high slope and then with a gentle increase, as well as with the shock of the exchange rate. Also, based on the results of variance analysis, volatility spillover has a very high sensitivity to the volatility spillover itself and then economic growth.

Keywords

Main Subjects

Financial Economics

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Economic Policies and Research

The Shock Overflow of Parallel Markets In Stock Market Fluctuations; Evidence From OPEC Member Countries

References

References

Volume 2, Issue 2 - Serial Number 6
July 2023
Pages 1-27

The Shock Overflow of Parallel Markets In Stock Market Fluctuations; Evidence From OPEC Member Countries

References

References

Volume 2, Issue 2 - Serial Number 6July 2023Pages 1-27

Volume 2, Issue 2 - Serial Number 6
July 2023
Pages 1-27