threshold cointegration of the stock market returns and currency and gold markets in Iran

Subject Areas : Financial engineering

sayed yahya abtahi ¹ , ali azadineghad ²

1 - department of economics. management faculty. islamic azad university of yazd.
2 - department of economics, hayeri university, mybod, iran

Received: 2018-02-18 Accepted : 2018-06-12 Published : 2019-03-21

Keywords: nonlinear cointegration, financial market returns, threshold models,

Abstract :

Identification of financial market returns requires attention to the dynamics in the process of adjusting to the long-run equilibrium in these markets, and this is of particular importance to policy makers and investors of the capital market in view of the volatility of other markets, such as the foreign exchange market and gold in Iran. Has enjoyed. In this paper, the convergence between the returns of the stock market and the returns of the foreign exchange market, as well as the return on the stock market and the gold market in Iran, are based on daily data of gold prices, foreign currency and stock price index during the period of 10/10/2010 to 31 / The study of 1396/1496. The results of the coherent coherent patterns on the relations between these markets indicate that in the equation of stock returns and gold, a high diet that includes deviations from the equilibrium is greater than the threshold value, Iran is the dominant regime. Also, in the equation of returns of stock markets and currencies, deviations from long-run equilibrium below the threshold and in the low-level diet include more than 90% of the observations. But in the relationship between markets, the moderation rate in both regimes is statistically significant, and this adjustment is made for deviations greater than the threshold value more quickly.