علی صادقین

In this study, we employed the CGARCH model, the vector auto-regression and graph analysis, to analyze permanent and temporary fluctuations of Brent oil, gold, currency, petrochemical and petroleum industries index and Tehran stock exchange index. Data of this study includes the daily and weekly observations of the above variables from 2008 to 2018. The results showed that the fluctuations of Brent oil prices, oil and petrochemical industries were the most affected. Therefore, in the short term, these fluctuations in oil and related industries have the greatest impact on fluctuations in the stock market, currency and gold in Iran. However, according to daily and weekly data, permanent gold fluctuations and Tehran Stock Exchange index have the most impact on the volatility of other variables. In addition, based on daily data, the fluctuations of the oil products index, exchange rate and gold are the most important given the criteria presented.

In this paper we study the effect of volatility in Brent oil prices on the important indices of financial markets in Iran, as well as the return on gold, from 2008 to 2018 using the Multivariate Exponential GARCH Model (MVEGARCH). We also use the ADCC-FIGARCH model to examine the asymmetric dynamic conditional correlation between Brent oil prices and financial markets in Iran. The results of this study indicate significant volatility spillovers and dynamic correlation between Brent oil volatility and financial markets and oil and petrochemical industries in Iran. In addition, portfolio diversification is effective in reducing risk, and the optimal asset weight and hedging are entirely dependent on financial market conditions. The experimental results of this study reveal that adding the Brent index to the model increases portfolio yields and decreases their risk.  We find the addition of Brent prices to be most helpful in risk management during periods of financial crisis. In addition, the dynamic correlation coefficient between Brent oil and gold fluctuations is about 0.26 and this coefficient for Brent oil and Tehran stock exchange index is about 0.08.