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Sanctions and Iranian Stock Market: Does the Institutional Quality Matter?

Author

Listed:
  • Roudari, Soheil
  • Ahmadian- Yazdi, Farzaneh
  • Arabi, Seyed Hadi
  • Hammoudeh, Shawkat

Abstract

The effect of shocks of sanctions, oil revenues, exchange rate, and inflation on different regimes of the Iranian stock market is examined in the two cases (with and without considering institutional quality (IQ)) during the 1984-2020 period, using the TSVAR model. The results show that the difference between the impulse-response functions in the bullish and bearish market, with and without considering IQ, is only related to the effects of sanctions and inflation, respectively. In fact, considering the IQ case, inflation has a medium-term positive effect on the stock market; however, without the IQ there has only been a positive short-term effect. Accordingly, within increasing sanctions, if the IQ has been also enhanced, a positive shock of sanctions will lead to a long-term improvement in the bullish market. Also, in the bearish market, the positive shock of sanctions and exchange rate, along with increasing IQ, will lead to a long-term growth in the Iranian stock market.

Suggested Citation

  • Roudari, Soheil & Ahmadian- Yazdi, Farzaneh & Arabi, Seyed Hadi & Hammoudeh, Shawkat, 2022. "Sanctions and Iranian Stock Market: Does the Institutional Quality Matter?," MPRA Paper 126831, University Library of Munich, Germany, revised 15 Mar 2023.
    • Handle: RePEc:pra:mprapa:126831
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    References listed on IDEAS

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    1. Ahmadian- Yazdi, Farzaneh & Roudari, Soheil & Mensi, Walid, 2025. "Assessing the safe haven characteristic of Sukuk in Iran's financial market: Fresh evidence for portfolio management," MPRA Paper 126962, University Library of Munich, Germany.
    2. Roudari, Soheil & Ahmadian- Yazdi, Farzaneh & Namazizadeh, Ehsan & Chenarani, Hasan, 2025. "بررسی عملکرد مدیریت سرمایه گذاری در وزارت تعاون، کار و رفاه اجتماعی: شواهدی جدید از هلدینگ¬های تابعه [Assessment of Investment Management Performance in the Ministry of Cooperatives, Labor, and Social Welfare: New Evidence from Affiliated Holdings," MPRA Paper 126954, University Library of Munich, Germany.
    3. Chenarani, Hasan & Roudari, Soheil, 2025. "اولویت بندی واگذاری بنگاه¬های اقتصادی زیر مجموعه صندوق¬های بازنشستگی با تاکید بر مدیریت سرمایه¬گذاری: شواهدی جدید از رویکرد DCC-GARCH R2 decomposed connectedness [Prioritizing the Divestment of Pension Fund-Owned Enterprises with an Emphasis on In," MPRA Paper 126973, University Library of Munich, Germany, revised 14 Oct 2025.
    4. Roudari, Soheil & Ahmadian- Yazdi, Farzaneh & Chenarani, Hasan & Mensi, Walid, 2025. "Portfolio Management in the selected Middle East countries: New evidence of Iran-Israel War," MPRA Paper 126960, University Library of Munich, Germany.

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    Keywords

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    JEL classification:

    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F51 - International Economics - - International Relations, National Security, and International Political Economy - - - International Conflicts; Negotiations; Sanctions
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other

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