The transmission mechanism of 2008 global financial crisis to Tehran Stock Exchange
After financial crisis in 2008, the effect of crisis spread in the world. Many countries were affected quickly and others slowed in a particular mechanism. Using data of TEPIX from Tehran Stock Exchange and DJI from New York stock Exchange as the main indexes of these two markets, this paper reporte...
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| Format: | Article |
| Language: | English |
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Growing Science
2014-10-01
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| Series: | Management Science Letters |
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| Online Access: | http://www.growingscience.com/msl/msl_2014_285.pdf |
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| _version_ | 1850215088455155712 |
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| author | Seyed Gholamreza Jalali Naini Ahmad Makui Ehsan Mohebi |
| author_facet | Seyed Gholamreza Jalali Naini Ahmad Makui Ehsan Mohebi |
| author_sort | Seyed Gholamreza Jalali Naini |
| collection | DOAJ |
| description | After financial crisis in 2008, the effect of crisis spread in the world. Many countries were affected quickly and others slowed in a particular mechanism. Using data of TEPIX from Tehran Stock Exchange and DJI from New York stock Exchange as the main indexes of these two markets, this paper reported strong evidence of TEPIX’s dependency on DJI after the crisis in a four-week delay. The index level series were non-stationary; therefore, we employed cointegration analysis and error correction vector autoregressions (VAR) techniques to model the interdependencies. To find the best lag time we used a heuristic method and the results surprisingly were the same as the result of applying a VAR model. The results support the hypothesis that financial stress was transmitted from the U.S to Iran primarily through trade and price channels. |
| format | Article |
| id | doaj-art-7f80e2e158b64a39b55eb25c96b37b40 |
| institution | OA Journals |
| issn | 1923-2934 1923-9343 |
| language | English |
| publishDate | 2014-10-01 |
| publisher | Growing Science |
| record_format | Article |
| series | Management Science Letters |
| spelling | doaj-art-7f80e2e158b64a39b55eb25c96b37b402025-08-20T02:08:43ZengGrowing ScienceManagement Science Letters1923-29341923-93432014-10-014102229224010.5267/j.msl.2014.9.013The transmission mechanism of 2008 global financial crisis to Tehran Stock ExchangeSeyed Gholamreza Jalali NainiAhmad Makui Ehsan MohebiAfter financial crisis in 2008, the effect of crisis spread in the world. Many countries were affected quickly and others slowed in a particular mechanism. Using data of TEPIX from Tehran Stock Exchange and DJI from New York stock Exchange as the main indexes of these two markets, this paper reported strong evidence of TEPIX’s dependency on DJI after the crisis in a four-week delay. The index level series were non-stationary; therefore, we employed cointegration analysis and error correction vector autoregressions (VAR) techniques to model the interdependencies. To find the best lag time we used a heuristic method and the results surprisingly were the same as the result of applying a VAR model. The results support the hypothesis that financial stress was transmitted from the U.S to Iran primarily through trade and price channels.http://www.growingscience.com/msl/msl_2014_285.pdfFinancial CrisisTransmission MechanismVAR modelLag-correlationSliding trend |
| spellingShingle | Seyed Gholamreza Jalali Naini Ahmad Makui Ehsan Mohebi The transmission mechanism of 2008 global financial crisis to Tehran Stock Exchange Management Science Letters Financial Crisis Transmission Mechanism VAR model Lag-correlation Sliding trend |
| title | The transmission mechanism of 2008 global financial crisis to Tehran Stock Exchange |
| title_full | The transmission mechanism of 2008 global financial crisis to Tehran Stock Exchange |
| title_fullStr | The transmission mechanism of 2008 global financial crisis to Tehran Stock Exchange |
| title_full_unstemmed | The transmission mechanism of 2008 global financial crisis to Tehran Stock Exchange |
| title_short | The transmission mechanism of 2008 global financial crisis to Tehran Stock Exchange |
| title_sort | transmission mechanism of 2008 global financial crisis to tehran stock exchange |
| topic | Financial Crisis Transmission Mechanism VAR model Lag-correlation Sliding trend |
| url | http://www.growingscience.com/msl/msl_2014_285.pdf |
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