The Relationship among Gold, Stock and Foreign Exchange Markets: Evidence from Iran

In this paper we investigate the return relations between major asset classes using daily data for Iran from 17nd December 2012 to 20th February 2014. Three markets consist of stock; gold and exchange rate are considered. Toda–Yamamoto version of Granger causality test was used as well to examine the causality relationship. Furthermore, the study examines error variance decomposition of variables thanks to various shocks in the Such information provides insight into the transmission links between the Iranian precious metals, foreign exchange and capital markets. These have the potential for significant impact in further research, portfolio management and central bank policy design.