A Regulated Market Under Sanctions: On Tail Dependence Between Oil, Gold, and Tehran Stock Exchange Index
Journal of Vibration testing and System Dynamic, 3 (3) pp. 297-311 | DOI: 10.5890/JVTSD.2019.09.004.
Posted: 7 Nov 2019
Date Written: September 1, 2019
We demonstrate that the tail dependence should always be taken into account as a proxy for systematic risk of loss for investments. We provide the clear statistical evidence of that the structure of investment portfolios on a regulated market should be adjusted to the price of gold. Our finding suggests that the active bartering of oil for goods would prevent collapsing the national market facing the international sanctions.
Keywords: Financial Econometrics; Tehran Stock Exchange; Regulated markets; Tail Dependence
JEL Classification: G15, C01, C58
Suggested Citation: Suggested Citation