Bubble contagion: A case study of the exchange and stock markets in Tehran

The main objective of the study is to investigate the bubble contagion in two financial markets including the exchange and stock markets of Tehran during the period 2008-2018. First, the bubble occurrence in these two markets was dated by the use of the new methods of GSADF, SADF, and RADF. The results of this section showed that both markets were bubbling. The security markets had five periods of bubbles from 2010 to 2015, of which the fourth and the fifth bubbles were multiple. In the case of the foreign exchange market, the bubble occurred during the periods from 2011 to 2013 and from January to February 2018. Of those bubbles, only the third was multiple. In addition, the results confirmed the contagion of the second bubble in Tehran Stock Market to the foreign exchange market and the contagion of the third bubble of the foreign exchange market to Tehran Stock Market during the period under review. It was also found that the bubble contagion from the foreign exchange market to the stock market was more powerful than that from the stock market to the foreign exchange market.