The Dependence of Returns in Stock Exchange Returns and Gold Markets with Spread of Covid-19 Virus in Iran: The Copula Functions Approach

Document Type : Original Article

Authors

1 Associate Professor of Economics, Faculty of Social Sciences, Razi University, Kermanshah, Iran

2 MA in Economics, Department of Economics, Payame Noor University of Hamedan, Hamedan, Iran.

Abstract

The spread of covid19 virus has become an integral part of the world's economies. In this regard, its impact as an effective indicator on financial markets is important. The purpose of this study is modelling the relationship between the returns of stock and gold markets with the corona virus in Iran. Hence in this study, the relationship between stock market and gold market returns and corona virus are analyzed using the copula functions method and Monte Carlo simulation with Markov chain in the period 2020 with daily data by MATLAB software. According to the results of this study, there is a similar sequence between stock market returns and corona virus for highest and lowest sequences, and their dependence will increase at the time of strong positive and negative returns. In other words, there is transmission. Also, there is a symmetrical tail dependence between the gold market and corona virus. Thus, the return of the gold market has remained stable during the spread of corona virus.

Keywords

References

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Journal of Economics and Modelling
Volume 11, Issue 2 - Serial Number 42
September 2020
Pages 181-221

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