Investigating the spillover network of volatility of index stocks of 30 companies: The bubble period and the crash of the stock market

Document Type : Research Paper

Authors

1 Ph.D. Student in Economics, Faculty of Economics, Management and Accounting, Yazd University

2 Associate Professor in Economics, Department of Economics, Yazd University.

3 Assistant Professor in Economics, Department of Economics, Yazd University.

4 Associate Professor in Industrial Management, Department of Industrial Management, Yazd University

10.30465/jnet.2024.45484.2038

Abstract

The stock market is one of the important markets for investment, and it is important for investors to know the behavior of stocks during the bubble period and the market crash. This research investigates the volatility spillover in the index stocks of 30 companies as stocks with the highest market value and liquidity in the stock market, using the Diebold-Yilmaz spillover test and complex network theory for the time period of the stock market bubble in 2019 and the crash period. It covers the years 2019 and 2019. According to the results during the market bubble period, Vepasar´stock is the most receiver of turbulence in the market and Kegel´ stock is the most sender of turbulence in the stock market. During the period of market collapse, the stock is the most sender of volatility and the stock of exporters is the most receiver of volatility in the network. During the market bubble period, Vepasar and Jam have the least volatility. During th crach of the stock market, the combination of Mobin and Jam stocks, as well as Jam and Parsan´stock, Shapdis and Jam´stock, Shekhark and Jam stocks, Shatran and Jam stocks in the portfolio have the least integration.

Keywords

References

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History

  • Receive Date: 10 May 2023
  • Revise Date: 18 October 2023
  • Accept Date: 20 November 2023

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