An Appraisal of Downside and Upside Risk Spillovers of Exchange Rates, Crude Oil and Gold Prices on Tehran Stock exchange

In this Paper, we examined the upside and downside spillover effects between exchange rates, crude oil prices, gold prices and Tehran Stock Exchange. Due to special charachteristics of financial data, we used copula methods to assess correlation between returns of the markets and using VaR and CoVaR approachs we examined the risk spillovers between markets. Our data spans from 2006-07-19 to 2017-03-21.Results show that the correlations between returns of the exchange rates with the stock market and the crude oil prices with the exchange rates were symmetric but the correlations between returns of the gold prices with the stock market and crude oil prices with stock market were asymmetric and strong in the upper tails.CoVaR analysis shows that risk spillover effects between stock market and gold prices are stronger than the other variables. The relationship between exchange rates and oil prices with stock market are considered to be mostly between returns but there are some risk spillovers too. In most cases upper risk spillovers are stronger than lower ones.