The Study of the Interactions between Gold, Foreign Exchange and Stock Markets in Iran

Abstract

Financial development and attention to stock market and Stock Price Index improve and increase financial power of a country and through this, lead to increased production and economic growth in countries. For this purpose, in the present study by using vector GARCH model (vetch), relationship between three financial markets of gold, stock and foreign exchange in the timeframe of 2001 - 2014 have been studied monthly and for calculation Eviews and Excel were used. Obtained results indicated that currency market fluctuations in Iran affect (p<0.01) fluctuations in gold market and stock market. Also, it was indicated that fluctuations of stock market in Iran affect fluctuation of gold market (p<0.01).