Volume 27, Issue 2 (Summer 2022)
JPBUD 2022, 27(2): 89-125 |
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Nazifi Fard K, Motavasseli A. (2022). The Effect of Sectoral Sanctions on Price Returns of Targeted Firms: Evidence from Tehran Stock Exchange. JPBUD. 27(2), 89-125. doi:10.52547/jpbud.27.2.89
URL: http://jpbud.ir/article-1-2120-en.html
URL: http://jpbud.ir/article-1-2120-en.html
1- Institute for Management and Planning Studies, Tehran, Iran.
2- Institute for Management and Planning Studies, Tehran, Iran. ,a.motavasseli@imps.ac.ir
2- Institute for Management and Planning Studies, Tehran, Iran. ,
Abstract: (2703 Views)
In this paper, an empirical study has been conducted to document the effects of US sector-specific sanctions on publicly-traded firms listed on the Tehran Stock Exchange. The withdrawal of the US from JCPOA on May 8th, 2018 is considered the main event, and the GARCH (1, 1) model has been utilized along with the OLS estimation of a market model for the estimation of abnormal returns within 11 working days following the event. A multifactor statistical model of expected returns is also considered for controlling the potential effects of the changes in the foreign exchange rate and the risk-free rate of return on the abnormal returns of different firms. The potential effect of size, profitability, and leverage for each firm on the relationship between cumulative abnormal returns and being the target of sector-specific sanctions has been controlled. The results showed that the withdrawal of the US from JCPOA induces a two-day cumulative abnormal return of about -1% for the firms which operate in industries targeted by US sectoral sanctions compared to non-target firms. The effect remains significant for about two weeks. Similarly, the effect of Trump's victory in the presidential election in 2016 on targeted firms is estimated to be significant. Other events in which Trump has speculated about the chance of withdrawal from the JCPOA have no significant effect on the stock market.
Keywords: Event Study, Sectoral Sanction, JCPOA, Abnormal Return, Asset Pricing, Market Model, Multi-Factor Model.
Type of Study: Research |
Subject:
financial economics
Received: Jul 03 2022 | Accepted: Sep 13 2022 | ePublished: Dec 17 2022
Received: Jul 03 2022 | Accepted: Sep 13 2022 | ePublished: Dec 17 2022
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