Examining the transfer of returns in the markets helps analysts to identify the reasons for the movement of liquidity ratio between the markets. In this study, the monthly data of the gold market price index, housing, stock exchange and the currency has been used in Iran for the past twenty years. Investigating the interactions between price returns The stock market, housing, currency and gold market and understanding the relationship structure between these markets based on liquidity ratio in the given period is one of the studies in this article. According to the significance of the variables of the VAR model with five variables; We will use the gold market price index, currency, housing and stock exchange and the liquidity ratio. The results of the causality test show that the returns of the housing market and the stock exchange are related. Based on the results of analysis of variance, the effect of the liquidity ratio in the long run on the stock market and the gold market is greater and less on other markets. The effect of foreign exchange market returns on all variables is positive. The effect of stock market returns on the liquidity ratio is more than other variables.