Loading...

Dynamic Volatility Spillover and Asymmetric Effects of TSE Stock Sectors; Enterprise-Level Data Based on High-Dimensional Social Network Models

Maghsoodi, Mohammad | 2025

40 Viewed
  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 58716 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Zamani, Shiva
  7. Abstract:
  8. In this study, the dynamics of volatility spillovers in Iran’s stock market are examined at both the firm and industry levels, with an emphasis on the asymmetric nature of spillovers and their sensitivity to politico-economic events. To this end, transaction data from the Tehran Stock Exchange over the period Mehr 1397 to Mehr 1403 were extracted and aggregated into 5-minute intervals. Accordingly, realized volatility and positive and negative semi-variances were computed for a set of large and liquid stocks across 10 major industries accounting for more than 80% of market capitalization. Then, using a network framework based on forecast error variance decomposition within a rolling window in line with the Diebold and Yilmaz (2012) model, aggregate, directional, and asymmetric spillover indices at the firm and industry levels were extracted and analyzed. The results indicate that the market volatility spillover index exhibited an upward trend during the 1398–1399 boom period and experienced statistically meaningful turning points around event episodes; notably, the jump in Ordibehesht 1400, which is mainly associated with a strengthening of positive spillovers, and the sharp decline in Aban 1400, which leads to weaker and more dispersed spillovers. Contrary to the prevailing narrative in parts of the literature, the positive spillover component dominates in many periods and the asymmetry index tends toward positive values. Nevertheless, during stress periods, sensitivity to negative spillovers and asymmetry on the receiving side become more pronounced. The stock network structure is of a core–periphery and multi-industry type. Regarding the role of firm size, smaller stocks are more likely to be net transmitters, whereas larger stocks are predominantly net receivers of volatility; however, due to their economic importance, they exhibit a greater overall volatility transmission index to other stocks within their industry and play a more prominent role with a larger number of statistically significant linkages. At the industry level, transmission pathways differ across positive and negative regimes, and simultaneous network monitoring of transmitter clusters, central nodes, and predominantly transmitting industries is recommended for risk management
  9. Keywords:
  10. Volatility Spillover Effect ; Stock Market ; Unsymmetric Weir ; High-Dimensional Network ; Tehran Stock Exchange

 Digital Object List

 Bookmark

No TOC