Investigating and analyzing economic sanction roles in return spillover to stock, currency, and gold coin markets

Document Type : Original Article

Author

Department of Financial and Insurance Management, Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran.

Abstract
Purpose: Identification and quantification of spillover effects in financial markets is one of the most important topics in financial knowledge. By understanding the spillover channel and measuring spillover effects in financial markets, we can prevent disorder and disruption in markets and, by stabilizing markets, promote economic growth and welfare. In the present situation of the country and amid separate economic sanctions from Western countries, this question arises: how does the spillover effect differ across different economic sanctions scenarios? The purpose of this paper is to answer this question and investigate the spillover effect across different economic sanction periods.      
Methodology: In this order, we collect daily data on the stock, currency, and gold coin markets for the period 2009 to 2021, applying the VARMA-AGARCH model for analysis and surveying. To provide a more precise survey of the sanction role in return spillover, we divided the research period into 4 subperiods: 2 with harsh sanctions and 2 without.
Findings: Results present a direct, positive relation between the intensity of sanctions and the return spillover effect, causing instability and disorder in markets through capital shifts across markets. So we conclude that sanctions play a very important role in return spillovers across different periods of research.
Originality/Value: Using a new and innovative method, this research examines and measures the return spillover effect under variable sanctions conditions, which can be considered an effective factor in return fluctuations across markets.

Keywords

Subjects


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