The Impact of Economic Sanctions on the Amount of Dependence between Oil and Financial Market (Extremal Dependence Approach)

This study tries to examine the contagion between oil and financial markets using a new method of co-volatility. In this survey, identification and measurement of contagion between financial markets, and contagion between oil and financial markets in Iran have been investigated. The daily data for the period 2009-2015 is used which has been extracted from the Central Bank and the OPEC websites. Oil sanction has caused in a reduction in correlation between stock and oil markets fluctuations in short and long-term periods and between gold and oil markets in long-term period. In addition, oil sanction has caused to an increase in correlation among the fluctuations of oil and exchange, gold and exchange, gold and stock, exchange and stock markets during the two periods.