Khalil Jahangiri; Samad Hekmati Farid
Volume 15, Issue 56 , April 2015, , Pages 161-194
Abstract
The aim of this paper is to investigate the relationship between Stock, gold coin and currency markets (as domestic markets), as well as, oil and gold markets and the U.S.A and European stock markets (as international markets) over the period of April 2001 to September 2013 using the Markov ...
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The aim of this paper is to investigate the relationship between Stock, gold coin and currency markets (as domestic markets), as well as, oil and gold markets and the U.S.A and European stock markets (as international markets) over the period of April 2001 to September 2013 using the Markov Regime Switching model and volatility spillover analysis. The empirical results in domestic markets showed that in low return regime, there is no significant spillover between markets so; the estimated value of spillover index is about 7.8 percent. In contrast, the value of spillover index in high return states is about 42 percent. Also, the results showed that when the world equity markets are in regime zero (low return regime), the gold market acts as an intermediary for the transmission of shocks from global markets to asset markets in Iran. In contrast, when the world equity markets are in regime one (high return regime), the oil market acts as a transmission channel of shocks.
