Nowadays, with development of information system and interaction among financial markets across the world, downturn and boom transition in different markets is growing with a significant speed and with regard to developing economies in countries like Iran; contagion of crisis from global markets, slows down the development of the domestic economy. This study, by examine the contagion in financial markets of Iran and figure out, how the positive and negative shocks moves in different markets, tries to present guidelines for policy makers in order to improve domestic economy to avoid or control the entrance of shocks in national economic. The sample includes time series data of commodity prices on oil market, stock market of Tehran, foreign exchange market and gold market over a period of 8 years (Dec, 2008 –Dec, 2016) with weekly sampling rate. In order to achieve mentioned goals, we utilized a combination of Ornstein Uhlenbeck and Continuous Wavelet Transform. It finds out that the starting point of contagion in the financial markets of Iran is oil market and the speed of synchronization between stock market and oil market is more than other markets and then the foreign market and gold market are in the next places. In next step, it finds that the coherence of markets in short-run is powerfull between oil market and other markets, but this coherence in long-run is just between oil market with stock market and foreign exchange market, and after global oil sanction in 2012 against Iran, the coherrence between oil market with stock and foreign exchange markets is growed in middle-run.