Has Tehran Stock Market Calmed Down after Global Financial Crisis?Markov Switching GARCH Approach

10.22099/ijes.2013.2031

Abstract

We have introduced an early warning system for volatility regimes regarding Tehran Stock Exchange using Markov Switching GARCH approach. We have examined whether Tehran Stock Market has calmed down or more specifically, whether the surge in volatility during 2007-2010 global financial crises still affects stock return volatility in Iran.  Doing so, we have used a regime switching GARCH model.  The data consist of 3067 daily observations of the closing value of the Tehran stock market from 29/09/1997 to 09/09/2010. The results indicate that during the crisis period, Tehran stock exchange was in the high-volatility regime. Smoothed probability plots show that the volatility in 2007-2009 was in high volatility regime but at 2009-2010, Volatility turned to low volatility regime. Also, we have introduced an early warning system for forecasting high volatility in Tehran Stock Exchange

Keywords


Article Title [Persian]

آیا بازار سهام تهران پس از بحران مالی جهانی آرام گرفته است؟ رهیافت مارکف سوییچینگ گارچ

Abstract [Persian]

این مقاله با استفاده از رهیافت مارکوف سوییچینگ گارچ یک سیستم هشدار پیش از وقوع را باتوجه به رژیم‌های تلاطمی بازار سهام تهران معرفی می‌نماید. این تحقیق این مسئله را آزمون می‌کند که آیا بازار سهام تهران به آرامش رسیده است یا با صراحت بیشتر، آیا موج تلاطم بحران مالی جهانی 2007-2010 همچنان بر تلاطم بازدهی بازار ایران اثرگذار می‌باشد. برای انجام این کار، از مدل مارکوف سوییچینگ گارچ استفاده شده است.  داده‌ها شامل 3067 مشاهده آخرین شاخص قیمت روزانه بازار سهام تهران از 29/09/1997 تا 09/09/2010 است. نتایج حاکی از آن است که بازار سهام تهران در دوره بحران در رژیم تلاطم بالا قرار داشته است. نمودار احتمال هموار نشان می‌دهد که تلاطم در 2007-2009 در رژیم تلاطم بالا بود، ولی در 2009-2010 بسوی رژیم تلاطم پایین چرخش نموده است. همچنین، ما سیستم هشدار پیش از وقوعی را برای پیش بینی تلاطم در بازار سهام تهران معرفی نموده‌ایم

Keywords [Persian]

  • بازار سهام تهران
  • بحران‌های مالی جهانی
  • مارکوف سوییچینگ گارچ
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Volume 2, Issue 1
Winter and Spring 2013
Pages 23-48
  • Receive Date: 29 February 2012
  • Revise Date: 23 January 2013
  • Accept Date: 23 February 2013