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The Role of Islamic Securities in Multi-Market Portfolio Management in Iran: Analyzing the Inter-Market Dynamics of Currency, Gold, and Stock Markets with the TVP-QVAR Model
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Hamid Mazaheritabar1   , Alireza Pourfaraj *2 , Amir Mansour Tehranchian3 |
1- Faculty of Economic and Administrative Sciences, University of Mazandaran. Mazandaran, Iran
2- Faculty of Economic and Administrative Sciences, University of Mazandaran, Mazandaran, Iran , A.pourfaraj@umz.ac.ir
3- Faculty of Economic and Administrative Sciences, University of Mazandaran, Mazandaran, Iran |
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Abstract: (4 Views) |
Due to the complex economic conditions and high volatility, Iran’s financial markets require a detailed examination of the interactions and transmission of shocks between different markets. This study aims to analyze the behavior and impact of volatility among the currency, gold, stock, and sukuk markets across various levels of economic growth. The research methodology is descriptive-analytical and applied, and in the empirical section, a Time-Varying Parameter Quantile Vector Autoregression (TVP-QVAR) model is employed. The data consist of daily financial market information from Iran spanning the years 2017 to 2023. The results indicate that the currency market plays a central role in transmitting shocks under all economic growth conditions. The gold market acts simultaneously as a safe haven for investment and a source of volatility. The sukuk market, being more stable and less influential, significantly contributes to risk management and portfolio diversification. These findings highlight the importance of understanding market interactions precisely for better decision-making in economic policy and investment management. |
Article number: 6 |
| Keywords: Volatility spillover, Risk management, TVP- QVAR, Portfolio diversification. |
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Full-Text [PDF 1022 kb]
(4 Downloads)
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Article type: Research |
Subject:
Special
Received: 2025/08/26 | Accepted: 2026/01/4 | Published: 2026/08/1
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