The Effect of JCPOA on the Network Behavior Analysis of Tehran Stock Exchange Indexes

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 ۳۸ industry indexes in Tehran Stock Exchange in manufacturing, service and invest-ment sectors during ۲۰۱۲-۲۰۱۷ 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 ۲۰۱۵ and beginning the executive steps of Joint Comprehensive Plan of Action (JCPOA). This reflects the investors' hope for the promotion of all indexes.

Keywords:

Network Analysis , MST , Hierarchical Clustering , Correlation distribution , JCPOA