Analysis of the Interaction of Stock, Currencies and Debt Markets with the Variance Analysis Approach

Today, increasing convergence between markets increases the transmission of information and shocks between them, and any shock from a market may spread to other markets and affect them. Meanwhile, financial markets are heavily influenced by each other. Swing in any of the financial markets can quickly affect other markets. Hence, examining the impact of each of these markets on other financial markets is an important issue for investment. A correlation method is used to examine the relationship between markets, but one of the important points in this method is that the correlation analysis cannot explain the interaction. Therefore, researchers focused on understanding the dynamics of market volatility and their impact on each other.In this study, we seek to investigate the interaction between stock, debt and currency markets on the basis of the variance analysis method. The results indicate that these three markets are affected by each other, and with a shock, other markets can be positively or negatively affected and investors make either profit or loss. On the other hand, according to the results, it ought to be noted that there is a simultaneous transfer of fluctuations between the debt market and the stock market as well as currency and debt markets, but there is no simultaneous swing between the foreign exchange market and the stock market.

Analysis of the Interaction of Stock, Currencies and Debt Markets with the Variance Analysis Approach Keywords:

Analysis of variance , foreign exchange market , stock market , debt market