The relationship between financial and commodities markets is a challenging issue among regulators and investors, where the volatility of a market could affect other markets. This article’s goal is analyzing the long-term relationship between six-year daily returns of alternative markets such as crude oil, dollar, gold and Tehran stock market index. We take advantage of VAR-GARCH to model markets returns and subsequently to show relationship between these markets and using impulse response functions to describe the reaction of a market in response to a pulse in other markets. The results express that Tehran stock market total return index (TEDPIX) return respectively is depend on its previous lag, crude oil, gold and dollar returns and they are more sensitive to their shocks than market news.response to a pulse in other markets. The results express that Tehran stock market total return index (TEDPIX) return respectively is depend on its previous lag, crude oil, gold and dollar returns and they are more sensitive to their shocks than market news.
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hakimian,H and Ahmadi,Z . (2019). Long-Term Relationship between Tehran Stock Market Total Return Index, Crude Oil, Dollar and Gold. Quarterly Journal of Securities Exchange, 12(45), 68-94. doi: 10.22034/jse.2019.11149
MLA
hakimian,H , and Ahmadi,Z . "Long-Term Relationship between Tehran Stock Market Total Return Index, Crude Oil, Dollar and Gold", Quarterly Journal of Securities Exchange, 12, 45, 2019, 68-94. doi: 10.22034/jse.2019.11149
HARVARD
hakimian H, Ahmadi Z. (2019). 'Long-Term Relationship between Tehran Stock Market Total Return Index, Crude Oil, Dollar and Gold', Quarterly Journal of Securities Exchange, 12(45), pp. 68-94. doi: 10.22034/jse.2019.11149
CHICAGO
H hakimian and Z Ahmadi, "Long-Term Relationship between Tehran Stock Market Total Return Index, Crude Oil, Dollar and Gold," Quarterly Journal of Securities Exchange, 12 45 (2019): 68-94, doi: 10.22034/jse.2019.11149
VANCOUVER
hakimian H, Ahmadi Z. Long-Term Relationship between Tehran Stock Market Total Return Index, Crude Oil, Dollar and Gold. Quarterly Journal of Securities Exchange. 2019;12(45):68-94 (In Persian). doi: 10.22034/jse.2019.11149
