Downside and Upside Price Spillovers and Tail Dependence Between the Financial and Mining Industries: Evidence from Pre‑ and Post‑Crisis Periods in the Tehran Stock Exchange

This study investigates systemic risk spillovers between the financial and mining sectors of the Tehran Stock Exchange before and after a market crisis. Using the Vine Copula model, we analyze tail dependencies extreme co-movements and the impact of trading shocks from institutional and retail investors in amplifying risk transmission. A key finding is that herding behavior, especially during stress periods, intensifies price spillovers and contagion effects. Systemic risk is measured by Conditional Value at Risk (CoVaR), revealing that systemic losses often surpass individual VaR, indicating the amplifying effect of trading shocks. Empirical results show that during stable periods, the mining sector has a stronger influence, but during crises, the financial sector becomes the dominant source of systemic risk. The Vine Copula estimates confirm a structural shift in tail dependence, with increased spillover intensity during and after the crisis. These findings have important implications for policymakers and regulators in developing risk mitigation strategies and effective crisis management frameworks for emerging markets.