Financial markets are currently experiencing sharp volatility. The turbulent environment of financial markets, the close relationship in these markets and the significant impact it has on the country's economy, as well as the urgent need to predict future financial and economic scenarios, have led researchers to explore and analyze these inter-market relationships. Studying how the returns and volatility in one market affect other markets has always been one issue that helps investors and policymakers to make optimal decisions. Given the importance of volatility spillovers in the Iranian financial market, this study aimed to investigate the effect of the volatility in the foreign exchange, gold markets to the capital market in Iran. In this regard, in this study, the effect of volatility spillover and noise trading of gold and foreign exchange markets on volatility in capital market returns has been investigated. This descriptive study was conducted using the daily and monthly data from the foreign exchange, gold, and capital markets from 2010 to 2019 and to analyze the data, ARCH and GARCH models have been used. The results of this study showed that the abnormal volatility of the capital market in the previous day positively affects the abnormal volatility of the capital market today, indicating that if money flows in the capital market, which indicates the flow of money in the capital market from yesterday, increasing the transfer of emotions to the current capital market. In addition, the abnormal volatility in the of gold and foreign exchange markets in the previous today has a positive effect on the abnormal volatility in the capital market today. The positive effect of this effect indicates the flow of money in the foreign exchange and gold markets and its volatility spillover into the capital market. Overall, the findings of this study confirmed the positive impact of the foreign exchange and gold markets on the abnormal volatility in the capital market in the short term (daily) and long term (monthly).

The aim of this study is determination of the effect of market volatility on momentum strategy. In recent years, the challenges of economic theories based on common-sense concept have increased financial researchers’ attention to behavioral aspects; Therefore, new approaches in the form of behavioral finance paradigm have been developed. One of the most well-known researches in behavioral finance field is momentum strategy. In fact, momentum is a physical concept that indicates consistency in past performance. In financial sciences it suggests that if we look at the regular behavior of stock in the past, we can forecast the direction of the stock in the future. In the present paper, a sample of 193 companies from listed companies in Tehran Stock Exchange have been investigated from 2012 to 2019. Besides, in order to test the research hypotheses, multivariate time series regression models were used. Findings show that there is no significant relationship between momentum profits and market volatility and default risk. Whereas, results indicate that there is a positive and significant relationship between momentum profit and investor sentiment.

This paper investigates the conditional correlations and volatility spillovers between the dollar exchange rate return, gold coin return and crude oil return to stock index return. Monthly returns in the 144 observations (2005-2017) are analyzed by constant conditional correlation, dynamic conditional correlation, VARMA-GARCH and VARMA-AGARCH models. So this paper presents interdependences in conditional volatilities across returns in each market. The purpose of this study is to identifying volatility spillover on the capital market in order to managing financial volatility, in addition to policy making and risk management. The evidence of this study confirms the asymmetric volatility spillovers of the dollar exchange return and also conditional shocks from gold coin and crude oil returns to the stock index that ignoring the asymmetries effects in in the model will exaggerate the returns and shocks spillover. In addition to these results, dynamic model gives the statistically significant estimates for all returns with most impact shocks from dollar exchange return and gold coin returns.