Department of Economics, Faculty of Administrative and Economic Sciences, Ferdowsi University of Mashhad, Mashhad, Iran.
10.22059/ier.2025.394270.1008230
Abstract
This study investigates dynamic return spillovers in base metals, crude oil, gold, and the Tehran Stock Exchange. The TVP-VAR framework is employed to analyze June 2014 to March 2025 daily data, where cross-market dynamics substantially interact and alter with the world economy and political conflicts. Copper is the main return shock transmitter, especially during the COVID-19 pandemic and the Russia–Ukraine war. Gold is mostly a net receiver but transmits during systemic stress, playing as a hedge and warning signal. Crude oil reacts to industrial metals like aluminum and copper. The TSE remains primarily inactive, exhibiting weak connectedness with global commodity markets. The average Total Connectedness Index (TCI) is 47.33%, with significant increases during global crises. A set of robustness checks reinforce the stability of these findings. In addition to replacing Brent with WTI, the model was re-estimated using alternative forecast horizons and a three-lag specification, with all configurations yielding the same core transmission patterns. Policy implications of results exist for policymakers and investors. Copper must be monitored closely as a leading indicator of return spillovers. Gold's changing role in times of uncertainty also highlights its strategic value above and beyond traditional hedging. For oil analysts, the passive nature of oil calls for closer examination of its industrial ties. For Iranian market regulators, the sidelining of the TSE highlights the need to develop domestic market immunity, synchronize trading hours, boost transparency, and diversify hedging tools so as to absorb external shocks more effectively.
Esmaeilpour Moghadam, H. and Sharifbagheri, E. (2025). Cross-Market return Transmission between Base Metals, Crude Oil, Gold, and the Tehran Stock Exchange. Iranian Economic Review, (), -. doi: 10.22059/ier.2025.394270.1008230
MLA
Esmaeilpour Moghadam, H. , and Sharifbagheri, E. . "Cross-Market return Transmission between Base Metals, Crude Oil, Gold, and the Tehran Stock Exchange", Iranian Economic Review, , , 2025, -. doi: 10.22059/ier.2025.394270.1008230
HARVARD
Esmaeilpour Moghadam, H., Sharifbagheri, E. (2025). 'Cross-Market return Transmission between Base Metals, Crude Oil, Gold, and the Tehran Stock Exchange', Iranian Economic Review, (), pp. -. doi: 10.22059/ier.2025.394270.1008230
CHICAGO
H. Esmaeilpour Moghadam and E. Sharifbagheri, "Cross-Market return Transmission between Base Metals, Crude Oil, Gold, and the Tehran Stock Exchange," Iranian Economic Review, (2025): -, doi: 10.22059/ier.2025.394270.1008230
VANCOUVER
Esmaeilpour Moghadam, H., Sharifbagheri, E. Cross-Market return Transmission between Base Metals, Crude Oil, Gold, and the Tehran Stock Exchange. Iranian Economic Review, 2025; (): -. doi: 10.22059/ier.2025.394270.1008230
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