Document Type : Science - Research (Islamic Financial System in Resistance Economy)

Authors

• shima javaheri ¹
• Ahmad Shabani ²

¹ Phd Sudent of Islamic Financial Economics of Imam Sadiq University, Tehran, Iran

² Associate Professor, Department of Monetary and Financial Economics, Faculty of Islamic Studies and Economics, Imam Sadiq University, Tehran, Iran

Abstract

Introduction: Sanctions cause disruptions in financial market transactions, and investors, in order to manage their investment risk, can no longer enter other financial markets as they did before the sanctions. This is because, in a non-sanctioned environment, investors are able to invest in foreign competing and parallel markets.

Methods: According to Clause 22 of the Resistance Economy policy, examining the networked relationship among financial markets and their spillover effects is essential for coordinating national resources to take appropriate actions. Therefore, in this study, considering the importance of analyzing spillover effects among three markets under sanctions, the network and spillover connections between three key financial markets—Tehran Stock Exchange, foreign exchange, and cryptocurrency—have been analyzed during the sanction period. In this research, the TVP-VAR model has been employed to analyze the data from the three markets, and daily price returns have been used to investigate the interrelations among these financial markets.

Findings: The results of sensitivity analysis of each sanction during the studied period showed that, in the case of the Central Bank sanction and the sanctions on financial centers and the energy sector, the roles of shock transmission and shock reception in all three markets remained unchanged. However, with the sanction on 18 Iranian banks, the role of the cryptocurrency market changed from a shock transmitter to a shock receiver, while the other markets maintained their roles as before the sanction.

Conclusion: A comprehensive examination of the sanctions and the division of the entire period into five distinct phases revealed that the cryptocurrency market acted as a shock transmitter in phases 1 and 4, and as a shock receiver in phases 2, 3, and 5. The Tehran Stock Exchange received shocks in all phases except phase 5, and finally, the foreign exchange market acted as a shock transmitter in all phases.

Keywords

• Sanction
• Resistance economy
• Sensitivity analysis
• Causal relationship
• Financial markets

Main Subjects

• Science - Research (Islamic Financial System in Resistance Economy)