International Journal of Iron & Steel Society of Iran

International Journal of Iron & Steel Society of Iran

The empirical Test of price Volatility and the volatilities Spillover between the Energy(oil and gas) and Steel

Document Type : Research Paper

Authors
Seyed Abdolhamid Bahreini 1
Hossein Badiei 2
Faegh Ahmadi 3
Jahanbakhsh Asadnia 4
1 گروه حسابداری، پردیس دانشکده بین الملل، واحد قشم، دانشگاه آزاد اسلامی
2 گروه حسابداری، دانشکده اقتصاد و حسابداری، واحد تهران جنوب، دانشگاه آزاد اسلامی
3 گروه حسابداری، واحد بندرعباس، دانشگاه آزاد اسلامی
4 مدرس مدعو، دانشگاه آزاد اسلامی واحد قشم
10.22034/ijissi.2023.2003840.1265
Abstract
Interdependence of markets may cause fluctuations in one market to positively or negatively affect another market. Therefore, investigating the behavior of fluctuations in financial markets and their causes in financial asset pricing processes, implementation of global risk hedging strategies and asset portfolio preference decision-making is of great importance. Given the importance of this issue, the current research aims to model energy and steel price volatility and experimentally test the spillover of fluctuations between markets using the GARCH BEKK model, during a 10-year period of 2013-2022. The data of the current research were extracted from daily data from the World Data Bank, Coin and Currency Information Site, and Economic and Financial Data Bank; then, using the Dickey-Fuller and Phillips-Perron tests, the significance of the data was evaluated. After that, the spillover effect of fluctuations between the markets was tested using the univariate GARCH and GARCH BEKK tests. The results of the first hypothesis indicate that the energy market has turbulence during the study period. As a result of the second hypothesis, it was found that the effect of turbulence exists in the price of steel during the study period. Finally, the result of the third hypothesis showed that there is an overflow of fluctuations from the price of oil and gas to the price of steel.
Keywords
Volatility Spillover
Oil Price
Gas Price
Steel Price

Subjects

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International Journal of Iron & Steel Society of Iran
Volume 19, Issue 2
May 2022
Pages 73-83