文章基本信息

标题：The Effect of JCPOA on the Network Behavior Analysis of Tehran Stock Exchange Indexes
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作者：Salman Abbasian-Naghneh ; Reza Tehrani ; Mohammad Tamimi 等
期刊名称：Advances in Mathematical Finance and Applications
印刷版ISSN：2538-5569
电子版ISSN：2645-4610
出版年度：2021
卷号：6
期号：3
页码：1-13
DOI：10.22034/amfa.2019.1873319.1258
语种：English
出版社：Islamic Azad University of Arak
摘要：The purpose of this paper is investigating the effect of JCPOA on the network behavior analysis of Tehran Stock Exchange indexes using the minimum spanning tree (MST) and hierarchical clustering. By simplifying a complex system, network analysis allows for the extraction of important and essential information from that system. In this paper, using network analysis the simultaneous behavior of 38 industry indexes in Tehran Stock Exchange in manufacturing, service and invest-ment sectors during 2012-2017 was investigated. These analysis included identi-fying the main indexes in the direction of moving other indexes using the MST, providing a classification using hierarchical clustering for the behavioral similarity of the indexes as well as examining the degree of integration (behavioral similarity) of market indexes over time. The results showed that investment, automobile, industry and medicine indexes in the research period had a major role in guiding other indexes and indexes can be classified into six groups in terms of behavioral similarity. The market has also been moving toward integration of indexes since early 2015 and beginning the executive steps of Joint Comprehensive Plan of Action (JCPOA). This reflects the investors' hope for the promotion of all indexes.