نوشین باقری زمانی

The return of the stock market is affected by several factors; although some of which are not economic, they strongly affect the financial markets. The Covid-19 epidemic is also among these factors that has severely affected the global economy, empathetically the financial markets. Therefore, considering the importance of this epidemic in the stock market, the current study evaluates the effects of the Covid-19 epidemic crisis on the stock return index of the financial markets of China, America, and France; besides, it examines its spillover effects on Iran. To investigate the contagion of turbulence and the direction of spillover from the mentioned countries to Iran, the weekly data of the stock return index available on the websites of the Iranian Stock Exchange have been used. Moreover, the stock exchange of foreign countries during two periods: before the outbreak of the Covid-19 epidemic (January 2018 to December 2019) and the time of the outbreak of the Covid-19 epidemic (January 2020 to December 2021) have been examined. Then Oxmetrics software was used to check the conditional correlation, and SPSS software was used to measure the stationarity and unconditional correlation.

The present research evaluates the spillover effects of the covid-19 epidemic on the stock return index of the financial markets of China, America, and France and examines the mutual relationship between the aforementioned countries and Iran using the weekly stock return data of Iran and foreign countries. It has been analyzed using (DCC-GARCH) and (CCC-GARCH) models.

In this article, αii represents the effects of arch in each of the variables' past period turbulences, and αij represents the effects of the shock of variable i on the current shock of variable j. This spillover effect is calculated as the square of the residuals arising from the forecasted yield patterns. Garch effects are considered as βii. In other words, βii shows the stability of the shock in each of the series.
ρij also expresses the conditional correlation between two variables, which provides a representation of their simultaneous movement. Of course, both terms αij and β can indicate the overflow between indicators, because the shock overflow effect is determined by non-diagonal values. In the constant conditional correlation model, coefficients αii and βii are significant. In other words, they represent the amount of shock transmission in the conditional shocks of countries' returns.

The results indicate that in the post-epidemic period, the Iranian stock market experienced a decrease in stock returns, which can be caused by factors such as the imposition of sanctions and the stagnation of economic activities in addition to the spread of Covid-19. Also, the collapse of the Iranian stock market, which occurred in August 2019, led to the confusion and pessimism of more and more investors and finally led to the withdrawal of capital from the stock market. In such an uncertain and chaotic atmosphere, the spread of Covid-19 also aggravated the existing conditions due to the restrictions and also the implementation of government quarantines. Also, the results show that at the moment of the outbreak of the Covid-19 virus, all the sample countries have faced a decrease in stock returns. During the covid-19 epidemic, the impact of the Iranian stock market on China has been greater than that of other studied countries, which is important because China and Iran are each other's trading partners. It should be mentioned that during this period due to restrictions on the borders, the relationship between Iran and China became prominent. Also, Iran's stock market is not strong enough to influence global financial markets including China, America and France.
The growth of the stock return index has been increasing during the four-year period (2018-2021) in China, America and France, however the stock return index of Iran has been decreasing. The growth of China's stock returns during this period has been higher than that in the other studied countries. Also, the stock return index of all sample countries has faced a decrease in the stock returns during the outbreak of Covid-19.