International Journal of Finance & Managerial Accounting

International Journal of Finance & Managerial Accounting

Evaluating volatility of markets parallel to the money market on return of the capital market banking industry

Document Type : Original Article

Authors
rahman doostian 1
seyede zahra mirashrafi 2
1 Assistant Professor Department of Accounting, Khorramabad Branch, Islamic Azad University, Khorramabad, Iran.
2 Lecturer, Department of accounting, Payamenoor University, Tehran, Iran.
10.30495/ijfma.2024.52819.1438
Abstract
In this study, we attempt to investigate the effect of volatility or turbulence of parallel markets of gold, currency and oil on stock bank shares. The existing relationships between financial markets indicate the process of information transmission between financial markets, and these markets are, in a way, regarded as each other's competitors. In this research, the impressibility of stock banks by parallel markets of currency and gold, as well as the oil market as an independent influential market, have been individually evaluated. To do so, the vector autoregression (VAR) analysis and the conditional multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model have been used. Research data have been collected and evaluated from the beginning of June 2012 to the end of September 2017. The research method is of the correlation type and research categorizations regarding method, nature and direction are considered descriptive, applicable and post-event, respectively. Results of the present study confirm a significant relationship between impressibility of stock banks and parallel markets of currency, gold and oil. According to hypotheses of this research, the impressibility of stock bank shares in the capital market, from parallel markets, has the potential of forecasting using the multivariate GARCH model.
Keywords
impressibility of financial markets
multivariate GARCH model
parallel markets
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