An Appraisal of Downside and Upside Risk Spillovers of Exchange Rates, Crude Oil and Gold Prices on Tehran Stock Exchange

Mohammad Mehdi Bargi Osguie () and Reza Saghafi Killvana ()
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Mohammad Mehdi Bargi Osguie: Associate Professor of Economics, University of Tabriz
Reza Saghafi Killvana: Ph.D. in Economics, University of Tabriz, Iran

Quarterly Journal of Applied Theories of Economics, 2019, vol. 5, issue 4, 143-172

Abstract: In this Paper, we examined the upside and downside Risk spillovers between exchanges rates, crude oil, gold, and stock prices in Iranian financial markets. Due to special characteristics of financial data, we used copula methods to assess correlation between returns of the markets and using VaR and CoVaR approaches we examined the risk spillovers between markets. Our data spans from 2006-07-19 to 2017-03-21. Results show that the correlations between the exchange rates and the stock prices, as well as the oil prices and the exchange rates were symmetric but the correlations between the gold prices and the stock prices as well as the crude oil prices and stock market were asymmetric and strong in the upper tails. CoVaR analysis shows that risk spillover effects between the stock and gold prices are stronger than the other variables. The relationship between exchange rates and oil prices against stock prices are considered to be mostly between returns but there are some risk spillovers too. In most cases upper risk spillovers are stronger than lower ones

Keywords: Financial markets; Spillover effects; VaR; CoVaR; Copulae (search for similar items in EconPapers)
JEL-codes: D81 E32 F65 G01 G17 G32 (search for similar items in EconPapers)
Date: 2019
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