Asian Journal of Research in Banking and Finance
  • Year: 2014
  • Volume: 4
  • Issue: 9

Examination of Financial Contagion between Stock, Exchange Rate and Gold Coin Markets in Iran

aAssociate Prof., Economics, University of Tabriz, Iran

bAssociate Prof., Management, University of Tabriz, Iran

cProf., Economics, University of Tabriz, Iran

dPh.D. Student, Economics, University of Tabriz, Iran

Online published on 23 September, 2014.

Abstract

The aim of this paper is to examine contagion phenomenon between stock market, exchange rate and gold coin market using the DCC-GARCH model and correlations analysis over the period from 27/03/2010 to 21/09/2013 in Iran. Results from the time-varying conditional correlation test for contagion show that only the exchange and gold coin market show evidence of contagion, and there is no contagion evidence between stock-gold coin markets and stock-exchange markets.

Keywords

Financial Contagion, Stock Market, Exchange Rate, Gold Coin, DCC Model