چکیده:
Nowadays, measuring the dynamics of relationships regarding the identification of banks' susceptibility to shocks and fluctuations arising from other financial markets is of great interest to many researchers and international financial institutions. This article examines the spillover effects of the US Dollar and Euro exchange rates on the index of banks and financial institutions in order to explain the systemic dimensions of volatility spillover from the foreign exchange market to the country's monetary and financial sector. In line with this importance, using logarithmic returns, dynamic conditional correlation analysis, and volatility spillover is carried out using four famous multivariate GARCH models over a twelve-year period (from the beginning of 2005 to the end of 2016). The goal of this research is to contribute to identifying the impact of significant external fluctuations for use in financial volatility management, policymaking decisions, and risk management of the banking group and credit institutions' stocks. The results of this research confirm the existence of short-term positive conditional correlations of the US Dollar exchange rate, long-term fluctuations of the Euro exchange rate, and the existence of exchange rate spillover effects on the index of banks and credit institutions.
خلاصه ماشینی:
Volatility Spillover and Conditional Dynamic Correlation of Exchange Rates on the Banking Group Stock Index Mohammad Hashem Batshakan * Hussein Mohseni † Received Date: 1396/03/06 Received Date: 1396/09/19 ‡ Abstract Nowadays, measuring the dynamics of relationships regarding the identification of banks' susceptibility to shocks and fluctuations arising from other financial markets is of interest to many researchers and international financial institutions.
The results of this research confirm the existence of short-term positive conditional correlations of the Dollar exchange rate, long-term fluctuations of the Euro exchange rate, and the existence of exchange rate spillover effects on the index of banks and credit institutions.
The goal of this article is to examine the importance of volatility spillover and the asymmetric effects of positive and negative shocks on conditional variances in order to measure the conditional dynamic correlation between exchange rate fluctuations and the market value of banks and credit institutions, so that it maps out the dynamic correlation relationships using trends related to historical data.
The present research confirms the existence of clustered and asymmetric fluctuations in the conditional correlations between the bank index and the Dollar and Euro exchange rates as variables over time.
The estimation results of this model in Table 6 confirm positive relationships and the existence of conditional correlation between the returns of the banking and financial institutions index on the stock exchange with the dollar and euro exchange rates.
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