Experimental Study of the Effect of Exchange Rate Volatility Spillover on Capital Market index: A Case Study of Selected Oil-Exporting OPEC Member Countries

Exchange rate fluctuations are always one of the variables affecting economic activities and thereby affecting the behavior of actors in capital markets. Therefore, the study of these relationships is of particular importance. On the other hand, the present study is conducted to study the effect of exchange rate fluctuations’ spillover on capital market indicators of selected oil-exporting OPEC member countries. These countries are similar in terms of economic reliance on oil resources, but different in terms of economic growth rate and capital market characteristics. The research period is from 2016 to 2021 and data related to exchange rates and capital market indicators of Iran, Iraq, UAE, Qatar, Saudi Arabia, Oman and Bahrain are collected from reliable sources and using multivariate GARCH models. Findings from the experimental data show that currency fluctuations in the capital market affect the capital market index of Iran, Iraq, UAE, Qatar, Saudi Arabia, Oman, and Bahrain. This effect is asymmetric only in the Iranian capital market, and is symmetrical in other countries.