Document Type : Original Article

Author

• mohammadbagher mohammadinejad

Shahid Beheshti

Abstract

Identification and quantification of spillover effect in financial market is one of the most important topics of financial knowledge. by knowing the spillover channel and measuring spillover effect in financial market could help us to prevent disorder and disruption in markets and by settling stable situation in markets will provide economic growth and welfare. At present situation of country and separate economic sanction from western countries now this question arises how is spillover effect at different situation of economic sanction? So, to answer this question this paper investigates spillover effect at different economic sanction periods. In this order we collect daily data of sock, currency and gold coin markets for the periods of 2009 to 2021 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 4 sub periods included 2 periods of harsh sanction and 2 periods of no harsh sanction. Result present direct and positive relation between intensity of sanction and return spillover effect in markets that causes unstable and disorder in markets by capital shifts in different markets. so we conclude that sanction has very important role in return spillover for different periods of research.

Keywords

• Economic Sanction
• return spillover
• Currency market
• gold coin market

Main Subjects

• Financial