Testing of Reciprocal Transfer of Bubble in Stock Exchange, Currency and Gold Markets (A case study: in Iran Using Copula Functions)

The main goal of this research is to investigate the formation and spread of bubbles in the financial markets of the stock exchange, currency and gold markets using semi-experimental studies, considering that previous studies in this field mostly study the effect of volatility transmission or the effect of the return of one asset on the return of another market. Therefore, no study has been done in this field or it is limited; In this study, the data was collected in the period from 1389 to 1400 and was analyzed by descriptive and econometric statistical methods. The results of the analysis of the right-sequence unit root test show the existence of bubbles in all three markets under study. It shows the results of the analysis of vector auto-regression tests and copula (joint) functions. The structure of dependence between the three financial markets is quite dynamic and this dependence is greater when the market is in a developing situation than in a recession. Also, the sequential dependence between the gold coin and the exchange rate is much stronger than the dependence between the stock market and gold.