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Dynamic Correlation between Oil Markets and Financial Markets and Oil and Petrochemical Industries in Iran
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Abdolrasoul Ghasemi *   1, Teymour Mohammadi , Hossein Tavakolian , Ali Sadeghin |
| 1- , ghasemi.a@hotmail.com |
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Abstract: (3844 Views) |
In this paper we study the effect of volatility in Brent oil prices on the important indices of financial markets in Iran, as well as the return on gold, from 2008 to 2018 using the Multivariate Exponential GARCH Model (MVEGARCH). We also use the ADCC-FIGARCH model to examine the asymmetric dynamic conditional correlation between Brent oil prices and financial markets in Iran. The results of this study indicate significant volatility spillovers and dynamic correlation between Brent oil volatility and financial markets and oil and petrochemical industries in Iran. In addition, portfolio diversification is effective in reducing risk, and the optimal asset weight and hedging are entirely dependent on financial market conditions. The experimental results of this study reveal that adding the Brent index to the model increases portfolio yields and decreases their risk. We find the addition of Brent prices to be most helpful in risk management during periods of financial crisis. In addition, the dynamic correlation coefficient between Brent oil and gold fluctuations is about 0.26 and this coefficient for Brent oil and Tehran stock exchange index is about 0.08.
JEL Classification: G10, G11, G32
Keywords: Brent Oil, Financial Markets, Portfolio, Risk Management, volatility spillovers. |
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| Keywords: Brent Oil, Financial Markets, Portfolio, Risk Management, volatility spillovers. |
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Full-Text [PDF 1367 kb]
(1437 Downloads)
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Type of Study: Thesis(PhD.) |
Subject:
Oil-Market
Received: 2019/07/14 | Accepted: 2020/09/27 | Published: 2020/09/28 | ePublished: 2020/09/28
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