Understanding the transmission of shocks and interdependence between financial markets plays an important role in risk management, investor decision-making, and economic policy design. The present study aims to investigate the dynamic pattern of return spillovers and assess systemic risk between commodity, energy, and Tehran Stock Exchange markets. For this purpose, a joint vector autoregression model with time-varying parameters is used and interactions between markets are analyzed over the period 2010 to 2024. The results show that the total connectivity between the studied markets indicates a relatively high dependence of the markets and the ability to transmit return shocks among them. Also, the examination of the spillover directional indices shows that the copper market is the most important source of shock transmission to other markets, and the lead and gold markets are mainly net shock recipients. In addition, the total index of the Tehran Stock Exchange receives the greatest impact from the fluctuations of the nickel, tin, and oil markets. The findings of this research can be used to identify the main sources of risk, improve portfolio diversification strategies, and enhance financial stability management policies.