- بت شکن، محمد هاشم، و محسنی، حسین (1396). سرریز نوسان و همبستگی پویای شرطی نرخ ارز بر شاخص سهام گروه بانکی. پژوهش‌‌های پولی و بانکی، 10(31)، 28-1.
- برخورداری، فرناز. پورعزیزی گلین قشلاقی، سمیه، و حسینی، ابوالفضل (1396). تأثیر نوسانات نرخ ارز و اثر سرریز آن بر شاخص صنایع منتخب بورس اوراق بهادار تهران. دانش سرمایه گذاری، 6(21)، 14-1.
- دور اندیش، آرش. شریعت، الهام، و ارزنده، ندا (1393). بررسی اثر سرریز نوسانات نرخ ارز بر شاخص صنایع کشاورزی پذیرفته شده در بورس اوراق بهادار. اقتصاد و توسعه کشاورزی، 28(2)، 184-177.
- سفید بخت، الهه، و رنجبر، محمد حسین (1396). سر ریز نوسانات بین قیمت نفت، نرخ ارز، قیمت طلا و بازار سهام تحت فواصل زمانی وشکست ساختاری. مهندسی مالی و مدیریت اوراق بهادار، 8(33)، 87-51.
- نیکومرام، هاشم. پورزمانی، زهرا، و دهقان، عبدالمجید (1394). بررسی سرایت تلاطم بازارهای مالی بازار سرمایه بر صنایع بورسی(صادرات و واردات محور). دانش مالی تحلیل اوراق بهادار، 8(25)، 18-1.
- Adrangi, B. Chatrah, A & Raffiee, K. (2014). Volatility spillovers across major equity markets of America. International journal of business, 19(3), 255-273.
- Ajayi, R. A., Friedman, J., & Mehdian, S. M. (1998). On the relationship between stock returns and exchange rates: tests of Granger causality. Global finance journal, 9(2), 241-251.
- Allegret, J. P., & Benkhodja, M. T. (2015). External shocks and monetary policy in an oil exporting economy (Algeria). Journal of Policy Modeling, 37(4), 652-667.
- Alomari, M. (2015). Market efficiency and volatility spillovers in the Amman Stock Exchange: a sectoral analysis (Doctoral dissertation). University of Dundee.
- Andreou, E., Matsi, M., & Savvides, A. (2013). Stock and foreign exchange market linkages in emerging economies. Journal of International Financial Markets, Institutions and Money, 27, 248-268.
- Barkhordari, F. Pourzazi G,Gh, S,. Hosseini, A. (2017). The effect of exchange rate volatilities and it's spillover effect on the index of Tehran Stock Exchange. Investment Knowledge, 6(21), 1-14 (In Persian).
- Beirne, J., Caporale, G. M., Schulze-Ghattas, M., & Spagnolo, N. (2008).Volatility Spillovers and Contagion from Mature to Emerging Stock Markets. International Monetary Fund(IMF), Working Paper, WP/08/286.
- Bekaert, G., & Harvey, C. R. (1995). Time varying world market integration. The Journal of Finance, 50(2), 403-444.
- Botshekan, M.H., Mohseni, H. (2017). Volatility Spillover and Dynamic conditional correlation of exchange rate on banks stock index. Journal of monetary and banking research, 10(31), 1-28 (In Persian).
- Diebold, F. X., & Yilmaz, K (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57-66.
- Doorandish, A. Shariat, E., Arzandeh, N. (2014). The Study of Volatility Spillover Effects of The Exchange Rate on Agricultural Industry Index Listed on The Stock Exchange. Agriculture Economics and Development, 28(2), 177-184 (In Persian).
- Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339-350.
- Engle, R. F., & Bollerslev, T. (1986). Modelling the persistence of conditional variances. Econometric reviews, 5(1), 1-50.
- Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric theory, 11(1), 122-150.
- Engle, R. F., & Susmel, R. (1993). Common volatility in international equity markets. Journal of Business & Economic Statistics, 11(2), 167-176.
- Fratzscher, M. (2002). Financial market integration in Europe: On the effects of EMU on stock markets. International Journal of Finance & Economics, 7(3), 165-193.
- Gavin, M. (1989). The stock market and exchange rate dynamics. Journal of international money and finance, 8(2), 181-200.
- Ling, S., & McAleer, M. (2003). On adaptive estimation in nonstationary ARMA models with GARCH errors. The Annals of Statistics, 31(2), 642-674.
- Liow, K. H., & Schindler, F. (2011). An assessment of the relationship between public real estate markets and stock markets at the local, regional, and global levels. ZEW discussion papers, no. 11-056, 1-49.
- McAleer, M., Hoti, S., & Chan, F. (2009). Structure and asymptotic theory for multivariate asymmetric conditional volatility. Econometric Reviews, 28(5), 422-440.
- McAleer, M. (2005). Automated inference and learning in modeling financial volatility. Econometric Theory, 21(1), 232-261.
- Morales-Zumaquero, A., & Sosvilla-Rivero, S. (2016). Volatility Spillovers between Foreign-Exchange and Stock Markets.The Quarterly Review of Economics and Finance. Volume 70, Pages 121-136.
- Natarajan, V. K., Singh, A. R. R., & Priya, N. C. (2014). Examining mean-volatility spillovers across national stock markets. Journal of Economics Finance and Administrative Science, 19(36), 55-62.
- Nicomaram, H. Pourzamani, Z. Dehghan, A. (2015). Spillover Effect the on Contest Import & Export oriented industries. Financial Knowledge of Securities Analysis , 8(25), 1-18 (In Persian).
- Dornbusch, R., & Fischer, S. (1980). Exchange rates and the current account. The American Economic Review, 70(5), 960-971.Santamaria, G.S., Gomez-Gonzalez, J. E., Hurtado-Guarin, J. L., & Melo-Velandia, L. F. (2017). Stock market volatility spillovers: Evidence for Latin America. Finance Research Letters, 20, 207-216.
- Sefidbakht, E. Ranjbar, M,H. (2017). Volatility Spillover between Oil Price, Exchange Rates, Gold Price and Stock Market Indexes with Structural Breaks. Financial Engineering and Securities Management, 8(33), 51-87 (In Persian).
- Soriano, Pilar, Climent, F G. (2006). Region versus Industry effects: volatility transmission. Financial Analysts Journal, 62(6), 52-64.
- Xiong, Z. & Han, L. (2015). Volatility spillover effect between financial markets: evidence since the reform of the RMB exchange rate mechanism. Financial Innovation, Volume 1(1).
- Zhang, Y. J., Fan, Y., Tsai, H. T., & Wei, Y. M. (2008). Spillover effect of US dollar exchange rate on oil prices. Journal of Policy Modeling, 30(6), 973-991.
|
