International Journal of Finance & Managerial Accounting

International Journal of Finance & Managerial Accounting

Investigating the volatility spillover of macroeconomic variables in the Iranian capital market with the multivariate GARCH approach

Document Type : Original Article

Authors
behnaz noroozi 1
hamidreza kordloee 2
abbas Memar njad 3
1 Department of Economics,SR.C.,Islamic Azad University,Tehran,Iran.
2 Department of Financial Management,SR.C.,Islamic Azad University,Tehran,Iran.
3 Department of Economics,SR.C.,Islamic Azad University,Tehran,Iran
10.22034/ijfma.2025.77910.2184
Abstract
The purpose of this article is to investigate the spillover of volatility of macroeconomic variables in Iran's capital market with the multivariate GARCH approach. Macroeconomic variables include inflation rate, exchange rate, oil price, gold coin price and GDP. Understanding the volatility spillover of macroeconomic variables in the capital market provides important information on the efficiency level of the capital market. In an efficient market, the risk and return of an asset should not be predicted based on the risk and past returns of other assets. For this purpose, monthly data from Farvardin 1386(March 2007) to Esfand 1402 (March 2024) and multivariate GARCH method with BEKK specification have been used to test the hypotheses. The results show that except for the interest rate, there is a significant relationship between the volatility of macroeconomic variables and the total stock market index; Therefore, the spillover of volatility of macroeconomic variables on Iran's capital market is confirmed, which shows the need to pay attention to the stability of economic policies in order to create stability in the capital market.
Keywords
volatility spillover, macroeconomic variables, total stock index, multivariate GARCH approach
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