  We report on a study of the Tehran Price Index (TEPIX) from 2001 to 2006 as
an emerging market that has been affected by several political crises during
the recent years, and analyze the non-Gaussian probability density function
(PDF) of the log returns of the stocks' prices. We show that while the average
of the index did not fall very much over the time period of the study, its
day-to-day fluctuations strongly increased due to the crises. Using an approach
based on multiplicative processes with a detrending procedure, we study the
scale-dependence of the non-Gaussian PDFs, and show that the temporal
dependence of their tails indicates a gradual and systematic increase in the
probability of the appearance of large increments in the returns on approaching
distinct critical time scales over which the TEPIX has exhibited maximum
uncertainty.
