Abstract
Economic sanctions against Iran have been imposed by the United States, some international organizations, and some other countries, and they have affected various sectors of the economy. The JCPOA agreement between Iran and 6 world powers was reached in 2012 in order to remove economic and non-economic sanctions by stopping nuclear activities. Then, in 2017, US sanctions returned with greater intensity after withdrawing from JCPOA. The purpose of this research is to investigate the effect of the JCPOA agreement and sanctions on the stock return behavior of the Tehran Stock Exchange. The present study investigates the existence of failure in the variance and average returns of stocks by using the Markeffian regime change method. In order to investigate the occurrence of failure in the variance of stock returns, the model of Kim and Nelson (1999) has been used for the years 2012 to June 2023. The results regarding the specification of the regimes showed that a failure occurred in the variance of the yield turbulence. After the agreement, the variance of stock returns is lower than before. Therefore, the risk of investing in the capital market has decreased, and the sanctions have not affected the average return on stocks. One of the secondary and important results of this research is that during the embargo period, the regime with high variance and turbulence was not associated with high returns, and this issue was one of the reasons for the flow of funds to other markets, including the currency market.