Document Type : Original Article

Authors

• mohammadbagher mohammadinejad ¹
• mohammad EQbalnia ²
• jalal sadeghi sharif ³

¹ Shahid Beheshti university

² kharaaazmi univesity

³ shahid beheshti university

Abstract

Introduction: volatilities and shocks hit to markets have different effect depending on the robustness and flexibility of markets. shocks might adjust in some markets a while after hitting while for some others might cause damage and disorder.
Objective: considering the role of economic sanction in the shock spillover to the markets this study examines and measures shock spillover effect in different time periods of economic sanction.
Methods: In this order we collect daily data of sock, currency and gold coin markets for the periods of 2008 to 2022 by applying the VARMA-AGARCH model for analyzing and surveying. For more precise survey of sanction role in return spillover we divided research periods into four sub periods included two periods of harsh sanction and two periods of no harsh sanction.
Results: Result presented shock spillover from currency and gold coin markets to stock market for second and fourth time periods of research, which are proxy of severe sanction. Any shock spillover effect for first and third time periods of research, which are proxy of no severe sanction was not seen. Also shock spillover from currency market to gold coin market for whole periods was revealed. Beside result showed long term persistence of shock at periods of severe sanction was more than at periods of no severe sanction in comparison.

Keywords

• Economic Sanction
• Shock spillover
• Currency market
• gold coin market
• stock market