Document Type : Research Paper
Authors
1 Department of Economics , Faculty of Economics and Administrative Sciences , University Of Mazandaran
2 university of Mazandaran
Abstract
Given the intricate nature of financial markets and the pivotal role of their interrelationships in guiding investor and policymaker decisions, this research delves into the interplay between risk and return, as well as their spillover effects, among the stock market and its competing counterparts in Iran, including the foreign exchange, gold, and housing markets, across various market conditions (bearish and bullish). Employing the multivariate GARCH model and utilizing monthly data spanning from 2011 to 2022, this study explores the dynamics between these financial markets. The findings reveal a discernible return spillover and volatility from the foreign exchange market to the stock market during both bearish and bullish conditions of the foreign exchange market. Similarly, a return spillover from the stock market to the foreign exchange market is evident during both bearish and bullish conditions of the stock market, underscoring the interdependence between these two markets. However, contrary to expectations, return spillover from the stock market to the gold market is not substantiated during either bearish or bullish conditions of the stock market. Conversely, return and volatility spillover from the gold market to the stock market is confirmed during both bearish and bullish conditions of the gold market. Moreover, the research does not ascertain the presence of return spillover and volatility from the housing market to the stock market during either bearish or bullish conditions of the housing market. However, return spillover from the housing market to the stock market is observed solely during the bearish condition of the stock market.
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