Dynamic Risk Analysis of the Green Stock Market Based on Probabilistic Simulation of Dynamic Bayesian Networks

Document Type : Original Article

Authors
Ebrahim Baghi 1
Zohreh Hajiha 2
Reza Tehrani 3
1 Department of Financial Engineering, Kish International Branch, Islamic Azad University, Kish Island, Iran
2 Professor Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran
3 Professor, Management and Insurance Group, Faculty of Management, Tehran University, Tehran, Iran
10.22034/jik.2025.78291.4688
Abstract
The present study provides a comprehensive analysis of the potential for developing the green stock market in Iran and the barriers faced by issuers and investors entering this market, ultimately presenting a dynamic risk model for the green stock market. In the first phase, semi-structured interviews were conducted with 24 stakeholders, including financial institutions, government entities, investment companies, individual and institutional investors, potential issuers, and intermediaries, to explore general perspectives on green stocks and their challenges. In the second phase, interviews were conducted with 35 auditors, regulatory experts from the Securities and Exchange Organization, and sustainability researchers to gather specialized insights on the components of green stock market development in Iran. The interviews were initially conducted through purposive sampling, followed by snowball sampling. Based on the results, five key risk domains affecting the green stock market were identified, including risks in agriculture, banking and non-banking sectors, infrastructure facilities, renewable energy, and real estate and construction. Subsequently, using conditional probability-based simulation (1,000 iterations) and assigning utility coefficients to risk states (H=1, M=0.5, L=0), it was determined that the "Real Estate and Construction" node, with a utility of 0.72, had the highest risk, while the "Banking and Non-Banking" node, with a utility of 0.60, had the lowest risk. The total risk of the model in the (H) state reached 56.373%. Risk dispersion in the "Infrastructure Facilities" and "Renewable Energy" nodes was also significant, while the least variation was observed in the "Banking and Non-Banking" node.
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