The gold market bubble and its contagion to the stock market

Document Type : Research Paper


Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran



Gold has always been considered as a strategic commodity in crises. When markets are down, gold acts as a safe haven. Because the price of gold usually does not move with the market prices. The purpose of this research is to investigate the gold market bubble and the possibility of its contagion to the stock exchange. For this purpose, in order to check the existence of a price bubble in the gold market, using (RADF), (SADF) and (GSADF) tests, the price bubble of the gold market was tested and the date of their creation and collapse was determined. To investigate the contagion of the gold market bubble to the stock exchange, a time variable regression model was used. The results indicate the existence of 4 periods of explosive behavior and the existence of multiple price bubbles in the price of gold. Based on this, the bubble periods in the Iranian gold market are related to the periods 1395:07:13-1395:04:13, 1397:09:25-1396:10:17, 1398:06:04-1397:10 09:09 and 1399:12:30–1398:09:19 and the contagion of the price bubble from the gold market to the stock market has also occurred.


Articles in Press, Corrected Proof
Available Online from 30 April 2023
  • Receive Date: 12 December 2022
  • Revise Date: 26 December 2022
  • Accept Date: 16 February 2023
  • First Publish Date: 30 April 2023