New Approaches in Management and Marketing

Scenario-Based Analysis of Stock Price Volatility in the Tehran Stock Exchange Using a System Dynamics Approach

Articles in Press

Document Type : Original Article (Mixed)

Authors

Ardavan Akheshmeh 1
Naser Shahsavari pour 2
Hamid Reza Mollaei 1
Vahid Momenaei Kermani 3

1 Department of Industrial Management, Ke.C., Islamic Azad University, Kerman, Iran

2 Department of Industrial Management, Vali-e-Asr University of Rafsanjan, Rafsanjan, Iran

3 Department of Mathematics, Ke.C., Islamic Azad University, Kerman, Iran

https://doi.org/10.22034/jnamm.2026.596667.1358
Abstract
The purpose of this study is a scenario-based analysis of stock price fluctuations in the Tehran Stock Exchange using a system dynamics approach. In terms of objective, this research is applied-developmental; in terms of nature and method, it is descriptive-analytical; regarding its execution method, it is mixed (qualitative-quantitative); and its main approach is based on system dynamics modeling and simulation. By collecting historical data on stock market prices and economic variables, various scenarios—including exchange rate changes, global oil price fluctuations, and changes in inflation and liquidity rates—were analyzed in this study. The system dynamics model was implemented using Vensim software. The findings from the sensitivity analysis indicate that non-oil exports, foreign investment, global oil prices, exchange rates, and oil exports, respectively, possess the highest impact weights on stock price fluctuations in the studied industries. The results of this research show that the Iranian capital market in the aforementioned industries is a dynamic and reactive system whose stability heavily depends on the interactions of environmental variables. Furthermore, the findings can serve as a decision-making guide for a better understanding of market risks, providing an effective management tool for macroeconomic policymaking and mitigating the adverse effects of exogenous shocks.

Keywords

System Dynamics
Market Behavior
Price Fluctuations
Investor Behavior
Product Pricing
Strategic Industries
Subjects
New Approaches in Management and Marketing

Articles in Press, Accepted Manuscript
Available Online from 22 November 2026

  • Receive Date 11 July 2026
  • Revise Date 18 September 2026
  • Accept Date 27 September 2026

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