Budget and Finance Strategic Research

Budget and Finance Strategic Research

Behavioral Dynamics and Co-movement of Fixed-Income Securities in Iran's OTC Market: A Quantile-Based Analysis with Focus on Sukuk

Document Type : Original Article

Authors
1 economics faculty Kharazmi University, Tehran
2 . Masters Degree, Department of Economics and Islamic Banking, Faculty of Economics, Kharazmi University, Tehran, Iran
Abstract
The capital market in any economic system plays a fundamental role in mobilizing resources and directing them toward the real sector of the economy. Among these, fixed-income securities such as Sukuk are considered efficient financial instruments. The aim of the present study is to examine the issuance behavior of Sukuk and to analyze its mutual relationships with the main indices of Iran’s over-the-counter (OTC) market. This study is conducted using a mixed-methods approach (qualitative and quantitative) and utilizes data from the period 2019 to 2023. In the quantitative section, to analyze the behavior of debt securities issuance, a multivariate co-movement model was employed. Additionally, the relationship between the Sukuk index and two indices—“OTC Market Equal-Weighted Index” and “OTC Market Value-Weighted Index”—was evaluated under three overall market conditions—boom, normal, and recession—over medium-term (monthly) and long-term (annual) periods. The findings indicate that there is no significant and stable co-movement between the Sukuk index and the aforementioned indices. In the qualitative section, results suggest that the limited diversity of Sukuk instruments issued in the capital market has reduced the impact of these securities on deepening and enhancing the dynamism of Iran’s capital market.
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Volume 7, Issue 1 - Serial Number 25
Spring 2026
Spring 2026
Pages 109-137

  • Receive Date 22 October 2025
  • Revise Date 29 August 2026
  • Accept Date 26 September 2026