This research analyzes the dynamic effects of global steel shocks (supply and demand), global economic activity levels, and exchange rate fluctuations on the stock returns of Iran’s basic metals group during (2006–2024). Given the presence of structural breaks and cyclical shifts in Iran’s macroeconomic variables, a Time-Varying Parameter Structural Vector Autoregression model with a Bayesian approach (Gibbs sampling algorithm) was employed.The results indicate that global steel demand (as a proxy for global economic growth) contributes most significantly to explaining fluctuations in the stock returns of Iran’s basic metals group. Exchange rate shocks also affect stock returns through increased domestic-currency export values and liquidity inflows into equity markets. Conversely, global steel supply exhibits the weakest effect, attributable to the relative stability of global production and Iran’s export constraints under sanctions. Furthermore, global economic activity shocks have had a negative impact on stock returns due to intensified sanctions.The combined effects of simultaneous shocks show amplification patterns. For instance, the interaction of exchange rate shocks with other shocks generates positive effects on stock returns, while the combination of global economic activity shocks with other shocks reinforces negative effects. During the JCPOA period, sanctions relief had a significant positive effect on the stock returns of the basic metals group.Based on these findings, policy recommendations include managing key shocks (global steel demand and exchange rates) and strengthening economic diplomacy to mitigate the negative impacts of global economic activity shocks during sanctions and to seize opportunities similar to the JCPOA.