بررسي وجود سرايت بين سهام شركت‎ها در بورس اوراق بهادار تهران با استفاده از يك مدل ديناميك چندمتغيره

A Dynamic Investigation to Indexes Spillovers in Tehran Stock Exchange Using a Multivariate Dynamic Model

Return and volatility spillovers are important for portfolio selection, asset valuation and market efficiency investigation. Using a VAR-BEKK framework model, this paper investigates return and volatility spillover effects between three size-sorted equity indices in Tehran Stock Exchange (TSE). Although daily return of large stocks leads small stocks (lead-lag effect), there wasnʹt any spillover effect in monthly and seasonal returns and volatilities. These results are against evidence of volatility spillovers in many stock markets that may be due to trading limits such as price limit and existence of base volume in TSE. JEL Classification: C30, C32, G10 Keywords: return and volatility spillovers, Multivariate GARCH, predictability, lead-lag effect, VAR-BEKK