The impact of the shock of sanctions on the index of the Iranian stock market.

Document Type : Research Paper

Authors

1 Department of Finance, Faculty of Accounting and Financial, College of Management, University of Tehran, Tehran, Iran

2 Department of Economics, Faculty of Economics and political science, Shahid Beheshti University. Tehran, Iran.

3 Department of Finance, Faculty of Accounting and Financial, College of Management, University of Tehran, Tehran, Iran.

Abstract

The imposition of Western economic sanctions against Iran has had different effects on different financial markets, and the capital market in Iran was one of the markets that was not unaffected by the shock of the sanctions. Since sanctions are a key factor in explaining Iran's economic fluctuations, the purpose of this article is to examine the effects of sanctions in the form of a structural macroeconomic econometric model on the state of the capital market in Iran. Unlike other researches, the non-phase effect of sanctions is not included in this research and changes according to the severity of sanctions.

The research method is self-regression with distributional breaks, considering the data with different time frequency, the data used for the thirty-year period, some with annual frequency and some with seasonal frequency from 1370 to 1400. The results of the optimal model show that the sanctions index has a negative and significant effect on the behavior of the capital market.

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Main Subjects

Journal of Asset Management and Financing

Articles in Press, Accepted Manuscript
Available Online from 05 August 2024

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