Introducing and examining a model to measure value at risk in Iranian stock indices based on global factors.

Subject Areas : Financial Economics

Ali Yehyanemer ¹ , Amirreza Keyghobadi ^{2 *} , شهریار نصابیان ³

1 -
2 - Assistant Professor, Department of Industrial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
3 - Associant Professor, Department of Economics, Central Tehran Branch, Islamic Azad University, Tehran, Iran

Received: 2024-09-28 Accepted : 2024-11-10 Published : 2025-03-08

Keywords: value at risk, Quantile regression, stock market indices,

Abstract :

Abstract  

Abstract

 

The financial markets are currently facing uncertain circumstances, which is increasing their tail risk. The study looked at 8 stock market indices using a quantile regression approach from 24 July 2017 to 22  August 2023. The findings demonstrated that the proposed model effectively estimated the value at risk of the sample indices of the Iranian stock market while considering oil and gold price fluctuations as risk factors. The results showed that the global crisis of the COVID-19 pandemic, which began in China in 2020, had significant impacts on global indices. However, the shock was relatively worse in the Iranian stock market, particularly in some industries such as Metals, Metal ores, and Chemicals, and the Overall indices had greater vulnerability than the rest of the indices. During the global crisis in 2022, which was triggered by the war in Ukraine, the Iranian capital market experienced a significant shock.

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