آزمون وجود سرایت مالی میان بازار سهام، ارز و سکه طلا در ایران

هدف اصلی مطالعه حاضر، آزمون وجود پدیده سرایت مالی میان بازارهای ارز، سهام و سکه طلا است. در این راستا با استفاده از روش همبستگی شرطی پویا (dcc-garch) ساختار همبستگی برای داده های روزانه بازدهی نرخ ارز، شاخص بازار سهام و قیمت سکه طلا طی دوره زمانی 1389/01/07 تا 1392/06/31 مورد بررسی قرار گرفته است. نتایج انجام آزمون فرضیه، وجود سرایت مالی بین بازارهای مورد مطالعه با استفاده از آزمون رایج t و آزمون نسبت راست نمایی برای مدل همبستگی شرطی پویا بیانگر این بود که شواهد پدیده سرایت فقط میان بازار ارز و سکه وجود دارد.

The Study of Financial Contagion among Stock Market, Exchange and Gold Coin in Iran

Introduction Intertwined structures of modern economies make losses to spread from a sector or a country to other countries or economic sectors. Empirical evidence has shown that markets are not isolated from each other and their movements are not separated. Particularly in recent decade’s development of agencies and international and multinational organizations, developments in information technology (IT), deregulation of financial systems in industrialized countries and immense growth in international capital flows have caused financial markets in the world to have more connections (Bracker Koch, 1999). Volatilities in various asset markets are intensely in linkage. Therefore, it is vital for investors to have the knowledge of the linkages between financial assets to take the appropriate decisions.Since the beginning of the summer of 2011 Iran apos s economy has been through a very special situation as a result of sanctions, targeted subsidies effects, increasing liquidity for many years and other factors. After a long period of exchange rate management in this country, instability gripped the market and consequently, the gold coin market was also experiencing an increase of volatility. Tehran Stock Exchange index began to break the records since 2012. Due to the economic recession and high inflation, entering stock market, coin market or the foreign exchange market as investing alternatives to investors who had hot money in their hands.In such a turmoil that has been created in the aforementioned property market, these questions may be asked that how is the structure of interrelationships of assets such as stocks, gold coin and currency in Iran? Is there any evidence of the occurrence of the phenomenon of financial contagion in currency, gold coin and stock markets in Iran?Theoretical FrameworkMany theoretical explanations are presented about financial contagion in the financial literature. In most studies, financial contagion is considered as highly comovements which is the result of rational behavior of activists in markets with failure (e.g., asymmetric information, riskbearing capacity, imperfect competition, wealth and borrowing constraints, etc. ) or as irrational decisions by the same market activists (e.g., herding behavior) (Choe, et al., 2012). According to Claessens and Forbes (2004), financial contagion causes has been classified into 2 groups as follow: MethodologyFollowing the study of Choe, et al. (2012), our model consists of three parts: first, we use the dynamic conditional correlation (DCC) model proposed by Engle (2002) to capture the timevarying nature of the conditional correlation. Then, inspired by very restrictive definition if contagion provided by World Bank (contagion is defined as a statistically significant change in the correlation dynamics during quot crisis times quot relative to correlations during quot tranquil times quot ), to examine contagion, we specify modified DCC multivariate GARCH model, with a time dummy variable imposed for representing the turmoil periods and performs the likelihood ratio (LR) test. Finally our results from timevarying conditional correlation test are compared with the results of adjusted traditional correlation test.Results DiscussionThe obtained results of using tstudent test for financial contagion hypothesis between markets indicated that the exchange market as the crisis trigger seems to be affected by the gold coin market. Furthermore, the tstudent of their adjusted correlation coefficients during the crisis was significant. This result supports a pure contagion hypothesis after the exchange market shock. Also, the likelihood ratio test results indicated that only linkages between two markets (including exchange market and gold coin market) exhibited contagion evidence. The estimated value of was positive and statistically significant at the 5% level, implying that there was a sudden jump in the conditional correlation dynamics between exchange market and gold coin market. Moreover, the results showed that there is no evidence of financial contagion in the relationship between exchangestock and gold coinstock markets. The estimated value of was insignificant in the modified DCC model of the exchangestock and gold coinstock markets. This implies that there is no significant jump in the conditional correlation dynamics between the exchange market and stock market as well as gold coin market and stock market during the crisis period. This result is consistent with the conventional ttest results.Conclusion SuggestionsFollowing Choe, et al. (2012), we used a timevarying conditional correlation test for financial contagion among exchange, stocks and gold coin markets during the period of 27/03/2010 to 21/09/2013 in Iran. In this timevarying correlation test, contagion is defined as a structural break in the dynamics of conditional correlation during the crisis period. The reason for the selection of this period of time is dramatic fluctuations in the mentioned market (especially in exchange market and gold coin market) whose starting point was 08/2011. Using the dynamic conditional correlation (DCC) model, we found that only the exchange market and gold coin market show evidence of financial contagion.It is rational that the very high correlation and financial contagion between gold coin and exchange market could actually neutralize the benefits of portfolio diversification. In front, low correlation and lack of financial contagion between stockexchange markets and stockgold coin markets nncourages to invest in stock market instead of investing simultaneously in coin and exchange markets in Iran.