Evaluation of stock, gold and dollar market performance in the period ‎before and after Corona with the quantitative approach of EGARCH ‎model

With the way the corona virus started in March and the closure of many businesses, it created problems for the country's economy. Along with the severe sanctions that have been affecting Iran's economy for a long time, the suspension of trade exchanges with countries that were in contact with Iran despite the sanctions has dealt a heavy blow to the economy. Therefore, the changes in the dollar market in March 2018 were under 15 thousand Tomans and the return of the stock exchange was the highest in 2018. Considering the sanctions issues, it can be seen that many shareholders moved from the stock market to the currency market, which According to the issues, the price of the dollar reached 31 thousand tomans in the early fall of 2019, and at the end of the third peak of the Corona virus, which was controlled to some extent, the price of gold and the dollar worldwide decreased due to political issues. One of the important events of ‎‏2020‏‎ was the spread of the corona virus, ‎whose effect on the financial markets is considered as an effective indicator ‎of the economy, and companies faced unprecedented risks in the crisis of ‎the corona virus, which contributed to instability and There was uncertainty ‎in the financial markets and a significant percentage of the value of assets ‎such as gold and dollars unexpectedly decreased during the Corona period. ‎In this article, the performance of the stock market, gold and dollar is ‎evaluated in two equal time periods, before and after the corona virus, ‎which was before the corona virus from ‎‏2‏‎/‎‏19‏‎/‎‏1397‏‎ to ‎‏12‏‎/‎‏29‏‎/‎‏1398‏‎ and the ‎time period during The corona virus in Iran, i.e. from ‎‏14‏‎/‎‏01‏‎/‎‏2019‏‎ to ‎‏10‏‎/‎‏08‏‎/‎‏2014‏‎, has been analyzed using daily data. Using quantile regression ‎based on EGARCH model, this article estimates gold and dollar returns to ‎cover stock market risk before and after Corona. The results show that the ‎returns of the dollar and gold were lower than the stock market during the ‎corona virus era, and gold showed a negative and inverse relationship with ‎the stock market in all conditions, except for the quantiles of the first ‎quarter and the second quarter. and gold is not suitable for hedging the risk ‎of the stock market, and the dollar has shown better returns than gold and ‎stocks in the rising, medium and falling conditions during the outbreak of ‎the Corona virus.‎