Document Type : Research Paper


1 Department of Industrial Management, Faculty of Economics, Management and Administrative Sciences, Semnan University, Semnan, Iran.

2 Department of Business Management, Faculty of Economics, Management and Administrative Sciences, Semnan University, Semnan, Iran.

3 Department of Computer Software Engineering, Faculty of Electrical and Computer Engineering, Semnan University, Semnan, Iran.


In this study, we explain the future potential scenarios of factors affecting stock price fluctuations in the Tehran Stock Exchange concerning the 2026 perspective. This research is applied, cross-sectional, and qualitative, and is implemented as a descriptive survey using the scenario planning approach. The statistical population is a collection of financial experts; We selected 15 of them as a sample using the judgmental/purposive and network (snowball) sampling methods. In the first step, we identified the key uncertainties of the factors affecting stock price fluctuations using the Fuzzy Delphi method, then by identifying the probable modes of each of the key uncertainties, three compatible scenarios were determined by Scenario Wizard software, and finally, the experts suggested strategies for these scenarios.


Main Subjects

[1]     Badri, A., Davallou, M., & Dorri Nokorani, M. (2016). Investigating the effect of macroeconomic variables on the performance of the stock market. Journal of financial management perspective,(13), 9–35.
[2]     Ostovari, A., & Ghasemi, A. (2020). Forecasting the development of public transportation technology in the city of Qom with the cross-impact analysis. Future studies of management, 31(123), 3–15. (In Persian).
[3]     Woqufi, O. (2020). Scenarios of Yemen’s political future until 2029. Periodical of afaqe amniat, 13(49), 85–113. (In Persian).
[4]     Baktash, E., Amoushahi, B., & Behdad, M. M. (2014). Ranking organizations on the basis of intellectual capital indices by applying DEA: a case study of petrochemical companies listed on Tehran Stock Exchange. Journal of applied research on industrial engineering, 1(2), 59–73.
[5]     Rezaei, M., Chaharsooghi, S. K., Kashan, A. H., & Babazadeh, R. (2020). A new approach based on scenario planning and prediction methods for the estimation of gasoil consumption. International journal of environmental science and technology, 17(6), 3241–3250. DOI:10.1007/s13762-019-02583-1
[6]     Montazeri, A., & Jouzdani, J. (2018). Prioritization of the advertising activities of Tehran stock exchange investment companies based on investors’ financial literacy using step-by-step ANP approach. Journal of applied research on industrial engineering, 5(1), 62–80.
[7]     Sorourkhah, A., & Edalatpanah, S. A. (2021). Considering the criteria interdependency in the matrix approach to robustness analysis with applying fuzzy ANP. Fuzzy optimization and modeling journal, 2(2), 22–33. DOI:10.30495/fomj.2021.1932066.1029
[8]     Heidari, H., & Bashiri, S. (2012). Investigating the relationship between real exchange rate uncertainty and stock price index in Tehran stock exchange using VAR-GARCH models. Journal of economic modeling research, 3(9), 71–92. (In Persian).
[9]     Zainudin, R., Mahdzan, N. S., & Yet, C. H. (2018). Dividend policy and stock price volatility of industrial products firms in Malaysia. International journal of emerging markets, 13(1), 203–217.
[10]   Badiei, H., Rezazadeh, R., & Mehmoodi, H. (2020). Predicting stock price behavior in the stock exchange using an artificial neural network (case study of Isfahan Oil Refining Company). Financial engineering and stock exchange management, 8(31), 167–185. (In Persian).
[11]   Gholamian, E., & Davoodi, S. M. R. (2018). Forecasting the price trend in the stock market using random forest algorithm. Journal of financial engineering and stock exchange management, 9(35), 301–322. (In Persian).
[12]   Shahvardiani, S., & Khajezadeh, S. (2018). Analyzing fluctuations of stock prices of the companies listed in Tehran Stock Exchange Using the machine learning method. Al-zahr university economic development policy quarterly, 6(1), 69–91. (In Persian).
[13]   Shariatmadari, F. (2014). Forecasting stock price fluctuations in the stock market using social network analysis. International conference of management in 2013, Tehran, Iran. Civilica. (In Persian).
[14]   Bucci, A. (2020). Realized volatility forecasting with neural networks. Journal of financial econometrics, 18(3), 502–531.
[15]   Ingle, V., & Deshmukh, S. (2021). Ensemble deep learning framework for stock market data prediction (EDLF-DP). Global transitions proceedings, 2(1), 47–66.
[16]   Gong, X. L., Liu, X. H., Xiong, X., & Zhuang, X. T. (2019). Forecasting stock volatility process using improved least square support vector machine approach. Soft computing, 23(22), 11867–11881.
[17]   Wang, L., Ma, F., Liu, J., & Yang, L. (2020). Forecasting stock price volatility: New evidence from the GARCH-MIDAS model. International journal of forecasting, 36(2), 684–694. DOI:10.1016/j.ijforecast.2019.08.005
[18]   Liu, L., & Pan, Z. (2020). Forecasting stock market volatility: The role of technical variables. Economic modelling, 84, 55–65.
[19]   Liu, H. C., & Hung, J. C. (2010). Forecasting S&P-100 stock index volatility: The role of volatility asymmetry and distributional assumption in GARCH models. Expert systems with applications, 37(7), 4928–4934.
[20]   Tiberius, V., Gojowy, R., & Dabić, M. (2022). Forecasting the future of robo advisory: A three-stage Delphi study on economic, technological, and societal implications. Technological forecasting and social change, 182, 121824. DOI:10.1016/j.techfore.2022.121824
[21]   Davari Ardakani, H., & Ardeshir, A. (2013). Development of stochastic programming model for multi-period asset portfolio selection problem. Scientific periodical of industrial management studies, 17(55), 315–287. (In Persian).
[22]   Dixit, J. K., & Agrawal, V. (2019). Foresight for stock market volatility--a study in the Indian perspective. Foresight, 22(1), 1–13.
[23]   Bashiri, S., Pahlavani, M., & Boostani, R. (2016). Stock market fluctuations and monetary policy in Iran. Journal of economic modeling research, 7(23), 103–157.
[24]   Abounoori, E., & Moetameni, M. (2006). Simultaneous effect of leverage effect and volatility feedback theory in Tehran stock exchange. Journal of economic research, (76), 101–117. (In Persian).
[25]   Nabavi Chashmi, S. A., & Mokhtarinejad, M. (2016). Comparison models of Brownian motion and fractional Brownian motion and GARCH in volatility estimation of stock return. Journal of financial engineering and portfolio management, 7(26), 25–44. (In Persian).
[26]   Adrangi, B., Chatrath, A., & Raffiee, K. (2014). Volatility spillovers across major equity markets of Americas. International journal of business, 19(3), 255.
[27]   Sorourkhah, A., Babaie-Kafaki, S., Azar, A., & Shafiei-Nikabadi, M. (2018). Matrix‎ A‎ pproach to‎ R‎ obustness‎ A‎ nalysis for‎ S‎ trategy‎ S‎ election. International journal of industrial mathematics, 10(3), 261–269.
[28]   Sorourkhah, A., Azar, A., Babaie-Kafaki, S., Shafiei-Nikabadi, M., & Author, C. (2018). Using weighted-robustness analysis in strategy selection (case study: Saipa Automotive research and innovation center). Industrial management journal, 9(4), 665–690. DOI:10.22059/imj.2018.247856.1007361
[29]   Raiat Pisheh, S., & Tizro, A. (2016). Future studies in determining the quality strategies of customs and logistics services to customers with the scenario method. Industrial management perspectives, 6(23), 101–129. (In Persian).
[30]   Alipour, M., Alighaleh, S., Hafezi, R., & Omranievardi, M. (2017). A new hybrid decision framework for prioritizing funding allocation to Iran’s energy sector. Energy, 121, 388–402.
[31]   Sorourkhah, A. (2022). Coping Uncertainty in the supplier selection problem using a scenario-based approach and distance measure on type-2 intuitionistic fuzzy sets. Fuzzy optimization and modeling journal, 3(1), 64–71. DOI:10.30495/fomj.2022.1953705.1066
[32]   Abbaszadeh, P., Maleki, A., Alipour, M., & Maman, Y. K. (2013). Iran’s oil development scenarios by 2025. Energy policy, 56, 612–622.
[33]   Hajiani, E., & Qasaa, M. (2013). Future and scenario planning; classification of methods and classification of scenarios. Socio-cultural strategy, 2(8), 33–62. (In Persian).
[34]   Yang, M. (2011). Volatility feedback and risk premium in GARCH models with generalized hyperbolic distributions. Studies in nonlinear dynamics and econometrics, 15(3). DOI:10.2202/1558-3708.1820
[35]   Bishop, P., Hines, A., & Collins, T. (2007). The current state of scenario development: an overview of techniques. Foresight, 9(1), 5–25.
[36]   Conway, M. (2004). Scenario planning: an innovative approach to strategy development. Australasian association for institutional research, sidney.
[37]   Amer, M., Daim, T. U., & Jetter, A. (2013). A review of scenario planning. Futures, 46, 23–40.
[38]   Schwartz, I. S., & Baer, D. M. (1991). Social validity assessments: Is current practice state of the art? Journal of applied behavior analysis, 24(2), 189–204.
[39]   Oliveira, A. S., de Barros, M. D., de Carvalho Pereira, F., Gomes, C. F. S., & da Costa, H. G. (2018). Prospective scenarios: A literature review on the Scopus database. Futures, 100, 20–33.
[40]   Alizadeh, A., & Vahidi motlagh, V. (2006). What are the definition, classification system and types of scenarios in a scenario planning project? SAGE Publications. (In Persian).
[41]   Bradfield, R., Wright, G., Burt, G., Cairns, G., & Van Der Heijden, K. (2005). The origins and evolution of scenario techniques in long range business planning. Futures, 37(8), 795–812.
[42]   Gordon, T. J. (1994). Trend impact analysis.
[43]   Baba Nejad, B., Taheri Demneh, M., Shojaei, S., & Gorgi, M. B. (2020). Forecasting of the customs organization of the Islamic Republic of Iran with the scenario method. Scientific of management of government organizations, 9(33), 123–144. (In Persian).
[44]   Girard, E., & Omran, M. (2009). On the relationship between trading volume and stock price volatility in CASE. International journal of managerial finance, 5(1), 110–134.
[45]   Mishra, P. K., Das, J. R., & Mishra, S. K. (2010). Gold price volatility and stock market returns in India. American journal of scientific research, 9(9), 47–55.
[46]   Nazir, M. S., Nawaz, M. M., Anwar, W., & Ahmed, F. (2010). Determinants of stock price volatility in karachi stock exchange: The mediating role of corporate dividend policy. International research journal of finance and economics, 55(55), 100–107.
[47]   Oseni, I. O., & Nwosa, P. I. (2011). Stock market volatility and macroeconomic variables volatility in Nigeria: an exponential GARCH approach. European journal of business and management, 3(12), 43–53.
[48]   Masih, R., Peters, S., & De Mello, L. (2011). Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea. Energy economics, 33(5), 975–986.
[49]   Walid, C., Chaker, A., Masood, O., & Fry, J. (2011). Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach. Emerging markets review, 12(3), 272–292.
[50]   Ezazi, M., Sadeghisharif, S. J., Alipour, M., & Amjadi, H. (2011). The effect of ownership structure on share price volatility of listed companies in Tehran Stock Exchange: An empirical evidence of Iran. International journal of business and social science, 2(5), 163–169.
[51]   Yogaswari, D. D., Nugroho, A. B., & Astuti, N. C. (2012). The effect of macroeconomic variables on stock price volatility: Evidence from Jakarta Composite Index, agriculture, and basic industry sector. International proceedings of economics development and research, 46(18), 96–100.
[52]   Ikromov, N., & Yavas, A. (2012). Cash flow volatility, prices and price volatility: An experimental study. The journal of real estate finance and economics, 44(1), 203–229.
[53]   Safian, N. A. B. (2012). Dividend policy and share price volatility: Malaysia evidence.
[54]   Profilet, K. A. (2013). Dividend policy and stock price volatility in the US equity capital market (Master Thesis, Longwood University).
[55]   Contuk, F. Y., Burucu, H., & Güngör, B. (2013). Effect of gold price volatility on stock returns: example of Turkey. International journal of economics and finance studies, 5(1), 119–140.
[56]   Kang, W., Ratti, R. A., & Yoon, K. H. (2015). The impact of oil price shocks on the stock market return and volatility relationship. Journal of international financial markets, institutions and money, 34, 41–54.
[57]   Kirui, E., Wawire, N. H. W., & Onono, P. A. (2014). Macroeconomic variables, volatility and stock market returns: a case of Nairobi securities exchange. Kenya, 6(8), 214–228.
[58]   Uwubanmwen, A. E., & Omorokunwa, O. G. (2015). Oil price volatility and stock price volatility: Evidence from Nigeria. Academic journal of interdisciplinary studies, 4(1), 253.
[59]   Chaudry, S. N., Iqbal, S., & Butt, M. (2015). Dividend policy, stock price volatility & firm size moderation: Investigation of bird in hand theory in Pakistan. Research journal of finance and accounting, 6(23), 16–19.
[60]   Diaz, E. M., Molero, J. C., & de Gracia, F. P. (2016). Oil price volatility and stock returns in the G7 economies. Energy economics, 54, 417–430.
[61]   Prempeh, K. B. (2016). Macroeconomic variables and stock price volatility in Ghana.
[62]   Osundina, J. A., Jayeoba, O. O., & Olayinka, I. M. (2016). Impact of accounting information on stock price volatility (a study of selected quoted manufacturing companies in Nigeria). International journal of business and management invention, 5(11), 41–54.
[63]   Bašta, M., & Molnár, P. (2018). Oil market volatility and stock market volatility. Finance research letters, 26, 204–214.
[64]   Mehmood, A., Ullah, M., & Sabeeh, N. (2019). Determinants of stock price volatility: Evidence from cement industry. Accounting, 5(4), 145–152.
[65]   Handayani, H., Muharam, H., Mawardi, W., & Robiyanto, R. (2018). Determinants of the Stock Price Volatility in the Indonesian Manufacturing Sector. International research journal of business studies, 11(3), 179–193.
[66]   Hanafizadeh, P., Kazazi, A., & Jalili Bolhasani, A. (2011). Portfolio design for investment companies through scenario planning. Management decision, 49(4), 513–532.
[67]   Mohammadi, A., & Pashootanizadeh, H. (2017). Scenario Planning the Effect of Foreign Gold Price and Exchange Rate on Financial market with Using System Dynamics approach. Journal of financial management perspective, 7(19), 27–50.
[68]   Rahnemay Roudpashti, F., & Shirinbayan, N. (2016). Design portfolio using a scenario planning approach using assumption-based planning. Journal of financial engineering and securities management, 7(28), 23–40. (In Persian).
[69]   Kazemian, M., Shafiei Nikabadi, M., & Feiz, D. (2021). The Future Estimation of Food Packaging Industry in Iran based on a Scenario-Oriented Approach with Respect to 2025 Perspective. Journal of business management, 12(4), 838–864.
[70]   Raiat Pisheh, S., & Tizro, A. (2016). Future studies in determining the quality strategies of customs and logistics services to customers with the scenario method. Industrial management perspectives, 6(23), 101–129.