A Regulated Market Under Sanctions: On Tail Dependence Between Oil, Gold, and Tehran Stock Exchange Index

TL;DR

This paper highlights the importance of tail dependence in assessing systematic risk and suggests adjusting investment portfolios based on gold prices, especially under sanctions affecting oil markets.

Contribution

It provides statistical evidence linking gold prices to portfolio risk management and proposes a strategy to mitigate market collapse during sanctions.

Findings

Tail dependence is a crucial proxy for systematic risk.

Portfolio structure should incorporate gold prices.

Bartering oil for goods can prevent market collapse.

Abstract

We demonstrate that the tail dependence should always be taken into account as a proxy for systematic risk of loss for investments. We provide the clear statistical evidence of that the structure of investment portfolios on a regulated market should be adjusted to the price of gold. Our finding suggests that the active bartering of oil for goods would prevent collapsing the national market facing international sanctions.