Investigating the Impact of International Sanctions on Performance Indicators of Tehran Stock Exchange with Industries Divided From 2010 to 2020

Abstract

In this research, the impact of the impact of the international sanctions index on the performance indices of the Tehran Stock Exchange by industries, including mass production indices, banks, insurance, automobiles, investments, basic metals, rubber, cement, chemical, industry, petroleum products, pharmaceuticals, transportation, sugar And thanks, we have checked for the time period from 2010 to 2020. For this purpose, we have used the weekly data of the above variables and using the Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH), Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model. Based on the results of the research, the influence of the sanctions index with different intervals (1 to 29) on the performance indicators of Tehran Stock Exchange with different ARCH and GARCH intervals (1 to 20) was proved by obtaining significant coefficients of -0.098417 to 0.137398.

Keywords

• tehran stock exchange indices
• dynamic conditional correlation model
• sanctions index
• international markets