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The Effect of Sanctions on the Tehran Stock Exchange Using Sanctions Index Based on Automated Content Analysis (in Persian)

Author

Listed:
  • Mahmoudi Meymand, Mohammad

    (Iran)

  • Ebrahimnejad, Ali

    (Iran)

  • Barakchian, Seyed Mahdi

    (Iran)

Abstract

In this study, we estimate the effect of economic sanctions levied on Iran by developing a “Sanctions Index” using an automated content analysis method to analyze the content of Donya-e-Eqtesad newspaper for the period 2009 to 2018. We first document that the index corresponds to the historical events related to the sanctions. In the next step, using the ARDL error correction model, we estimate a long-run relationship between the sanctions index and the stock market index. The model shows that by controlling other macroeconomic variables, including exchange rate and inflation, our results demonstrate the sanctions index has a significant negative long-run effect on the Tehran stock market index.

Suggested Citation

  • Mahmoudi Meymand, Mohammad & Ebrahimnejad, Ali & Barakchian, Seyed Mahdi, 2025. "The Effect of Sanctions on the Tehran Stock Exchange Using Sanctions Index Based on Automated Content Analysis (in Persian)," The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی Ùˆ بودجه), Institute for Management and Planning studies, vol. 29(4), pages 63-94, February.
    • Handle: RePEc:auv:jipbud:v:29:y:2025:i:4:p:63-94
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    Keywords

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    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F51 - International Economics - - International Relations, National Security, and International Political Economy - - - International Conflicts; Negotiations; Sanctions
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • P48 - Political Economy and Comparative Economic Systems - - Other Economic Systems - - - Legal Institutions; Property Rights; Natural Resources; Energy; Environment; Regional Studies

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