Examining the Interdependence Structure of Iran's Stock Market and MENA Countries

Iran's stock market should be related to the stock market of other countries, especially the countries of the region; This connection and dependence accelerates the accumulation and formation of capital and provides many opportunities to investors. With this approach, the present study has investigated the dependence structure of the stock market of Iran and MENA countries. In order to achieve this goal, first, information about the total stock market index of MENA countries from September 2015 to June 2022 was collected and then the fluctuations of the total stock market index of the countriescalculated using wavelet analysis. In the continuation, the Vector Autoregresive (VAR) model estimation and Granger causality test regarding the relationship between the stock market fluctuations of Iran and the countries of the region was carried out. Finally, the quantile regression was estimated and the upper and lower limits of the correlation between Iran's stock market and MENA countries were determined. The results of the wavelet analysis showed that, the range of fluctuations of the total stock market index in MENA countries has increased, over time. Based on the results of the VAR model and the Granger causality test, Iran's stock market is unilaterally affected by the stock market fluctuations of Kuwait, Oman, Qatar, Saudi Arabia, the United Arab Emirates and Lebanony؛ if fluctuations occur in the stock market of these countries, This work will be transferred to the Iranian stock market immediately. In addition, there was no sign of the impact of the  stock market flactuations of Jordan and Bahrain as well as North African countries including Egypt, Tunisia and Morocco on Iranian stock market. The results of quantile regression also showed that the affectability of Iran's stock market from fluctuations is different for different countries and quantiles. In this regard, in the months when the volatility in the stock market of the mentioned countries was less, the effect of the fluctuations on the Iranian stock market was less, and on the other hand, in the months when significant fluctuations occurred in the stock market, the amount of volatility transferred to the Iranian stock market was also higher.