Assistant Professor. Department of Accounting, Firuzkuh Branch, Islamic Azad University, Firuzkuh, Iran
10.22034/jepr.2026.143897.1272
Abstract
This study examines the dynamic behavior of correlations among the returns of four industry indices—petroleum products, basic metals, banking, and automotive—on the Tehran Stock Exchange over the period from April 2009 to July 2024. The continuous wavelet transform (CWT) method is employed to extract correlations across different time scales, while the DCC-GARCH model is used to analyze the dynamics of conditional correlations. The wavelet analysis results indicate relatively high correlations at short-term horizons, with the banking sector exhibiting the highest correlation. At medium-term scales, correlations return to high levels, likely due to the influence of macroeconomic variables and sanctions. In the long term, correlations stabilize at moderate levels. The DCC-GARCH model reveals that conditional correlations among industries are dynamic and time-varying. The highest conditional correlation is observed between the banking and automotive sectors (0.624), followed by banking and metals (0.610), reflecting their joint responses to economic developments. In contrast, the correlation between banking and petroleum products (0.438) is lower. Moreover, regression analysis shows that the COVID-19 pandemic had a positive and significant effect on conditional correlations, leading to increased co-movement among industries, whereas sanctions generally reduced correlations and reinforced heterogeneous responses across sectors.
Hosseini, S. A. (2026). Tracking the Dynamic Co-Movements of Key Industries in the Tehran Stock Exchange: Evidence from Wavelet Analysis and the DCC-GARCH Model. Journal of Economic Policies and Research, (), -. doi: 10.22034/jepr.2026.143897.1272
MLA
Hosseini, S. A. . "Tracking the Dynamic Co-Movements of Key Industries in the Tehran Stock Exchange: Evidence from Wavelet Analysis and the DCC-GARCH Model", Journal of Economic Policies and Research, , , 2026, -. doi: 10.22034/jepr.2026.143897.1272
HARVARD
Hosseini, S. A. (2026). 'Tracking the Dynamic Co-Movements of Key Industries in the Tehran Stock Exchange: Evidence from Wavelet Analysis and the DCC-GARCH Model', Journal of Economic Policies and Research, (), pp. -. doi: 10.22034/jepr.2026.143897.1272
CHICAGO
S. A. Hosseini, "Tracking the Dynamic Co-Movements of Key Industries in the Tehran Stock Exchange: Evidence from Wavelet Analysis and the DCC-GARCH Model," Journal of Economic Policies and Research, (2026): -, doi: 10.22034/jepr.2026.143897.1272
VANCOUVER
Hosseini, S. A. Tracking the Dynamic Co-Movements of Key Industries in the Tehran Stock Exchange: Evidence from Wavelet Analysis and the DCC-GARCH Model. Journal of Economic Policies and Research, 2026; (): -. doi: 10.22034/jepr.2026.143897.1272
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