01 The spillover effect of natural gas, crude oil, and currency markets on the electricity utilities sector index in Iran

Production, supply and price of energy play a decisive role in economic activities. In particular, natural gas produces less greenhouse gases than fossil fuels, and this has caused the importance of natural gas in the global energy market. On the other hand, crude oil is also used as an important material for electricity production, and both sources are priced in dollars. Therefore, in the current research, we will investigate the effect of yield spillover and market fluctuations of crude oil, natural gas, and exchange rate on the index of joint-stock companies of electricity production in Iran. Investigating the effect of these variables is done with the aim of investigating the interaction of different markets with each other and can explain the dynamic fluctuating transitions between efficiency and volatility in the capital and energy markets. In this research, with weekly data and using the method of Dibold and Yilmaz (2012) to measure the overflow in a generalized vector autoregression framework. The results show the effect of the yield spillover in the existing markets from confirming the volatility spillover between the markets, which shows that most of the spillover is internal. Also, the total volatility spillover values are higher than the total yield spillover, which means that the total volatility spillover reacts more strongly to extreme events. The results of the research confirm the significant relationship between the circles of energy resource prices, exchange rates and stock prices of electricity production companies in Iran.