Investigating and Analyzing the Economic Sanction Effect in Shock Spillover to Stock, Currency, and Gold Coin Markets

Mohammadinejad, Mohammadbagher; Sadeghi Sharif, Jalal; EQbalnia, Mohammad

doi:10.22054/fiba.2024.74765.1002

Investigating and Analyzing the Economic Sanction Effect in Shock Spillover to Stock, Currency, and Gold Coin Markets

Authors

mohammadbagher mohammadinejad ¹

jalal sadeghi sharif ²

mohammad EQbalnia ³

¹ PhD in Finance, Financial Engineering, Shahid Beheshti University, Tehran, Iran

² ssistant Professor, Department of Financial Management and Insurance, Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran

³ (Assistant Professor, Department of Finance, Faculty of Financial Sciences, Kharazmi University, Tehran, Iran

https://doi.org/10.22054/fiba.2024.74765.1002

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

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