The Contagion of the financial crisis to the Iranian stock market: network approach

Document Type : Scientific-research

Authors

1 Ph.D.Student in Economics, Faculty of Economics, Management and Accounting, Yazd University

2 Associate professor of Economics, Faculty of Economics, management and accounting, Yazd University

10.30465/ce.2022.38169.1705

Abstract

Stock markets are one of the most important financial markets of countries, and the effect of financial crises on these markets is very important for investors. The purpose of this research is to investigate the contagion of the financial crisis on the Iranian stock market. Diebold and Yilmaz spillover index was used to check the volatility spillover. The complex network theory was used to investigate the volatility spillover in the stock markets for the period of 8-10-2007 to 10-13-2019. Stock markets include Nazdaq, Shenzhen, NewYork, Iran, Europe and Tokyo stock markets. The time period of the research includes three time periods, the American financial crisis, the European debt crisis and after the financial crisis. During the American financial crisis and the European debt crisis, the Iranian stock market had the least influence in the network. Average path length is at a minimum during financial crises. The density of the network and the weight of the network increased during the financial crisis and it was minimized after the financial crisis, which indicates the increase in the connection between the financial markets and the spillover network during the financial crisis.

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Main Subjects

Journal of Iranian Economic Issues

Articles in Press, Accepted Manuscript
Available Online from 21 March 2023

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History

  • Receive Date: 20 September 2021
  • Revise Date: 13 January 2022
  • Accept Date: 04 February 2022

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