In this paper we investigate the return relations between major asset classes using daily data for Iran from 17nd
December 2012 to 20th February 2014. Three markets consist of stock; gold and exchange rate are considered.
Toda–Yamamoto version of Granger causality test was used as well to examine the causality relationship.
Furthermore, the study examines error variance decomposition of variables thanks to various shocks in the Such
information provides insight into the transmission links between the Irani an precious metals, foreign exchange
and capital markets. These have the potential for significant impact in further research, portfolio management
and central bank policy design.
