Document Type : Original Article
Authors
1 Ph. D Student of Economics, University of Tabriz Tabriz, Iran.
2 Professor of Economics, Faculty of Economics and Management, Tabriz University, Tabriz, Iran
3 Associate Professor of Economics, University of Tabriz, Tabriz, Iran.
4 Associate Professor of Economics, University of Tabriz, Tabriz, Iran
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
)