Evaluating the effect of financial, economic, political, international risks on Tehran Stock Exchange Index Using Markov Switching Approach (MS-VAR)
Publish Year: 1403
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IJFMA-9-32_001
تاریخ نمایه سازی: 12 اردیبهشت 1402
Abstract:
Risk in itself can upset equations and upset equilibria. Financial, economic, political and international risks are among the risks in the business environment. In this study, an attempt has been made to measure the impact of risks on the return index of the Tehran Stock Exchange and for this purpose, the Markov switching model has been used to observe the impact of these risks in different regimes. For this purpose, seasonal data from ۱۳۸۸ to ۱۳۹۸ have been used. The results indicate that by equipping the LR test, nonlinear models are better than linear models. Also, according to the results of shock-positive reactions, the positive doubt on the economic risk in both regimes for a period is initially It has a lot of negative effect on the stock index and then the effect of doubt disappears and the positive doubt on the financial risk variable, if we are in the first regime, this effect will be positive on the index in a future period and negative if it is in the second regime in a later period And in the variables of political and international risk in the first and second regimes with a positive doubt, the effect of both on the stock market index is similar, so that in the first regime is negative and in the second regime this effect is positive.
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Authors
Sareh Pahlavan
Ph.D Student, Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran
Ali Najafi-Moghadam
Assistant Professor , Department of Accounting ,South Tehran Branch, Islamic Azad University, Tehran, Iran
Ghodratollah Emamverdi
Assistant Professor, Department of Economic, Central Tehran Branch, Islamic Azad University, Tehran, Iran
Roya Darabi
Associate Professor, Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran
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