Document Type : Research Article
Authors
1 Department of Management, Ar.C., Islamic Azad University, Arak, Iran.
2 Department of Finance, Ar.C., Islamic Azad University, Arak, Iran.
Abstract
The expansion of communications between active industries and companies in different industry groups on the Tehran Stock Exchange has caused that, in the event of volatility in an industry index, this volatility can spread like a domino to other industry groups and also to other economic sectors, creating systemic risk. Therefore, it is necessary to identify the index of volatile industries, calculate and evaluate the contribution of each of them to the occurrence of systemic risk, the amount of spillover, and the amount of their influence and impact on each other. The purpose of this research is to prioritize the volatility of time series data of 30 industry indices of Tehran Stock Exchange, from 2008 to 2024 using 6 entropy methods, calculate the systemic risk of the growth of each industry index using the conditional value at risk measure ΔCoVaR, and also evaluate the amount of volatility spillover using the TVP-VAR auto-regressive model to predict and prevent the destructive effects of volatility. The research findings show: The highest volatility is related to 8 indices: other mines, communication equipment, agriculture, leather products, coal, petroleum products, chemicals and cement. Also, the highest contagion is to companies active in the coal industry. In addition, the chemical and cement industries can begin to be a systemic risk to the Iranian capital market. Also, a net examination of the spillover effect shows that the growth of the chemical, cement, and communication equipment industries is injecting spillovers into other industries.
Keywords
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