بررسی رابطه علی پویا میان بازار سهام و سایر بازارهای دارایی: شواهدی جدید از الگوی Rolling- Window Bootstrap Causality[Dynamic Causal Relationships Between the Stock Market and Other Asset Markets: New Evidence from a Rolling Window Bootstrap Causality Framework]

The interrelationship between the stock market and other asset markets has consistently attracted the attention of investors and policymakers. This study investigates the dynamic causal links between the stock market and the currency, gold coin, and housing markets over the period 2006:01–2023:03 (monthly frequency) using a rolling window bootstrap causality framework. The findings reveal that the currency market has been a causal driver of the stock market. From early 2012 to early 2016, the exchange rate exerted a negative effect on the stock market; however, since 2016, this effect has turned positive. Except for 2017, the stock market has been a Granger cause of the currency market throughout the remaining years, with the stock market’s influence on the currency market being stronger than the reverse. The gold coin market has consistently caused the stock market during the sample period, with a positive effect. Conversely, prior to 2017, the stock market generally did not cause the gold coin market. After 2017, the effect of the stock market on gold coins has been greater than that of gold coins on the stock market. Regarding the link between housing and stocks, up to 2016 the housing market exerted a positive effect on the stock market, but thereafter this effect became negative. Moreover, the absolute magnitude of the cumulative dynamic impact of the stock market on housing at the end of the sample is greater than that of housing on the stock market. These results suggest that relying solely on static approaches such as traditional Granger causality may produce misleading conclusions.