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Management Science Letters

ISSN 1923-9343 (Online) - ISSN 1923-9335 (Print)
Quarterly Publication
Volume 4 Issue 10 pp. 2229-2240 , 2014

The transmission mechanism of 2008 global financial crisis to Tehran Stock Exchange Pages 2229-2240 Right click to download the paper Download PDF

Authors: Seyed Gholamreza Jalali Naini, Ahmad Makui, Ehsan Mohebi

Keywords: Financial Crisis, Lag-correlation, Sliding trend, Transmission Mechanism, VAR model

Abstract: 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.

How to cite this paper
Naini, S., Makui, A & Mohebi, E. (2014). The transmission mechanism of 2008 global financial crisis to Tehran Stock Exchange.Management Science Letters , 4(10), 2229-2240.

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Journal: Management Science Letters | Year: 2014 | Volume: 4 | Issue: 10 | Views: 2597 | Reviews: 0

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