The effects of the risk of sudden events (Covid-۱۹) on the stock value of financial intermediaries
Publish place: The fourth international conference on management, accounting, economics and banking in the third millennium
Publish Year: 1401
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
MAEBCONF04_012
تاریخ نمایه سازی: 23 بهمن 1401
Abstract:
The impact of the risk of sudden events (Covid-۱۹) on the stock value of financial intermediaries has been investigated in this study, and how the stock index reacts when these events occur has been illustrated. The Capital Asset Pricing Model (CAPM) was initially used for this purpose, but data analysis revealed that this approach is ineffective for our goals, so the Markov Switching Model approach was then applied. The outcomes of this approach indicate that, when the stock index is at a high level, the growth and spread of the Coronavirus may cause a decline in the index; conversely, when the stock index is at its lowest level, the development and proliferation of the Coronavirus will lead to a rise in the stock index.
Keywords:
Capital Asset Pricing Model (CAPM) , Markov Switching Model , Risk , Stock Value , Financial Intermediaries , Covid-۱۹
Authors
Amirreza Malekahmadi
Islamic Azad University, Science and Research Branch, Faculty of Management and Economics, Tehran, Iran
Vahid Omidzamani
Islamic Azad University, Science and Research Branch, Faculty of Management and Economics, Tehran, Iran