Journal of Intelligent Strategic Management

Journal of Intelligent Strategic Management

Investigating the Existence of Spillover Effects and Risk Hedging Between Industries of the Tehran Stock Exchange and Gold, Oil, and Currency Markets, with Emphasis on Periods of Financial Crisis

Document Type : Original Article

Authors
Mirjamal Maghsoudi 1
Vahid Mahmoudi 2
Ezatollah Abbasian 3
1 PhD student in Financial Engineering, Aras International Campus, University of Tehran, Jolfa, Iran.
2 Department of Financial Markets and Institutions, Faculty of Management, University of Tehran, Tehran, Iran.
3 Department of Financial Engineering, Faculty of Management, University of Tehran, Tehran, Iran.
10.87453/bumara.2026.372301.4811
Abstract
The objective of this study is to investigate the existence of spillover effects and risk hedging between the industries of the Tehran Stock Exchange and the gold, oil, and currency markets, with emphasis on periods of financial crisis. For this purpose, after data collection, the stationarity of the research variables was assessed using the Dickey-Fuller test. Subsequently, using the Diebold and Yilmaz spillover index, a multivariate GARCH approach, and panel data regression, the spillover effects and risk hedging between the industries of the Tehran Stock Exchange and the gold, oil, and currency markets were analyzed, with emphasis on periods of financial crisis. Finally, the effects of these variables, considering the financial crisis, were estimated within a panel data model, and the results are discussed.
Based on the presented results, it can be argued that at a 95% confidence level, during periods of financial crisis, the exchange rate variable had a negative and significant effect on the returns of the studied industries. This means that from March 2011 to May 2024, during periods when the Iranian stock market was in an unfavorable situation, an increase in the exchange rate led to a decrease in the returns of the studied industries. On the other hand, an increase in the exchange rate during periods when the overall Iranian stock market was in a normal state (non-crisis) did not have a significant effect on the returns of the studied industries. Similarly, the results show that at a 95% confidence level, in both crisis and non-crisis periods, the gold price variable had a positive and significant effect on the returns of the studied industries. Based on the obtained results, it can be argued that at a 95% confidence level, during periods of financial crisis, the oil price variable had a negative and significant effect on the returns of the studied industries; meaning that from March 2011 to May 2024, during periods when the Iranian stock market was in an unfavorable situation, an increase in oil prices led to a decrease in the returns of the studied industries. Conversely, an increase in oil prices during periods when the overall Iranian stock market was in a normal state (non-crisis) did not have a significant effect on the returns of the studied industries.
Keywords
Spillover Effects
Risk Hedging
Diebold and Yilmaz Spillover Index
Financial Markets
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Journal of Intelligent Strategic Management
Volume 5, Issue 1 - Serial Number 13
Spring 2026
Pages 141-172