The effect of sanctions, oil revenues, exchange rate, and inflation on different regimes of the Iranian stock market is examined in two cases (with and without considering institutional quality) during the 1984–2020 period, using the threshold Structural Vector Autoregression model (TSVAR) model. The results show that the difference between the impulse-response functions in the bullish and bearish markets, with and without considering institutional quality, is only related to the effects of sanctions and inflation, respectively. Considering the institutional quality case, inflation brings about an improvement in the stock market in the medium-term; however, without institutional quality, there is only an improving short-term effect. Accordingly, within increasing the sanctions case, if the institutional quality has been also enhanced; an increase in the number of sanctions causes a long-term improvement in the bullish market. Also, in the bearish market, an increase in the sanctions and the depreciation of the rial, along with increasing institutional quality, leads to a long-term growth in the stock market.

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