Designing Sectorial Investment Strategy Model in Tehran Stock Exchange

The purpose of this study is to use a diversified-based model to create optimal stock portfolios and evaluate their superiority by considering sector indicators. The statistical population of this research is all sectors of Iran's economy, where one or more companies belonging to that sector are active in the Tehran Stock Exchange and remain in systematic exclusion. Industry groups active in Tehran Stock Exchange, which during the research process of these industries in the form of different economic sectors such as banking and insurance sector, construction sector, mining sector, etc., have been classified (37 sectors and sub-sectors) into They will be used as investment portfolio components.Since the purpose of this study is to identify the appropriate investment strategies in the stocks of different sectors of the economy, for this purpose, after collecting the data, the descriptive analysis of the data will be done first. In the following, the validity and distribution of the data are evaluated by performing the stationarity test and the normality test to estimate the models. In the next step, using the Hamiltonian approach and the Markov switching method, bull (boom) and bear (stagnation) periods are identified in different parts of the Tehran Stock Exchange market, and then they are analyzed using the logit model of sector investment models. The results show that, along with other macroeconomic factors, the increase in the inflation rate is one of the key factors behind the occurrence of prosperity in economic sectors and has strongly influenced the strategy of investors.