|تعداد مشاهده مقاله||9,734,139|
|تعداد دریافت فایل اصل مقاله||6,365,056|
Uncertainty in Economic Policies and Stock Price Crash Risk Companies Listed in Tehran Stock Exchange
|International Journal of Business and Development Studies|
|دوره 14، شماره 1، مهر 2022، صفحه 237-261 اصل مقاله (708.8 K)|
|شناسه دیجیتال (DOI): 10.22111/ijbds.2022.7446|
|Leila Zamani1؛ Samad Borzoian Shirvan2؛ Ali Zalbigi3|
|1Assistant Professor, Department of Accounting, Faculty of Management and Finance, Khatam University, Tehran, Iran.|
|2Assistant Professor, Economics of Education, Department of Educational Planning and Management , Faculty of Psychology and Educational Sciences, Allameh Tabataba’i University, Tehran, Iran.|
|3Master of Management accounting, Department of Accounting, Faculty of Management and Finance, Khatam University, Tehran, Iran.|
|The purpose of this study was to examine the effect of uncertainty in economic policy on the stock price crash risk. In this applied descriptive-analytical ex post facto study, the statistical population included the companies listed on the Tehran Stock Exchange. Over a seven-year period, 148 companies are selected using the systematic sampling method (2015–2021). In this study, the negative skewness of return on equity (ROE) and down-to-up volatility were used to assess the stock price crash risk (dependent variable) and uncertainty in economic policy (independent variable). The data was then analyzed using the multivariate regression model. The results of the hypothesis testing indicated that volatility in the interest rate, dollar exchange rate, inflation, and economic growth had a positive significant effect on the stock price crash risk or the negative skewness of ROE and down-to-up volatility. Hence, given the effects of macroeconomic variables on the ROE, in order to achieve economic sustainability, the Government of the Islamic Republic of Iran should pay close attention to the adoption of macroeconomic policies, prevent economic policymakers and planners from implementing hasty unscientific policies, and increase the share of tax revenues from income sources.|
|Economic Policy Uncertainty؛ Stock Price Crash Risk؛ Exchange Rate؛ Economic Growth|
Abbasian, E., Moradpour Oladi, M., &Abasion, V. (2008). Effects of Macroeconomic Variables on Total Index of Tehran Stock Exchange. Economic Studies of Iran 36, 135-152. https://www. sid.ir /fa/journal/ViewPaper.aspx?id=93077.
Adeli, O. A., & Fereydooni, N. (2018). Analysing Effect of Uncertainty in Macroeconomic Variables on Liquidity Risk of Islamic Banks (Case Study: Developmental Banks). Economic Journal 18, 7 & 8. https://ejip.ir/article-1-1056-fa.pdf.
Aminian, T., Sarraf, F., Emamverdi, G., & Baghani, A. (2018). Asymmetric Effects of Oil Price Shocks and Uncertainty in Economic Policies on ROEs of Industries in Different Market Conditions. Securities Exchange, 43(11), 5-22. https://www.magiran.com/paper/1953510.
Amiri, H., & Pirdadeh Beiranvand, M. (2019). Uncertainty in Economic Policies and Stock Market of Iran with an Emphasis on Markov Regime Change Approach. Financial Knowledge of Securities Analysis, 12(44), 23-45. https://www.sid.ir/fA/Journal/ViewPaper.aspx?id=492010.
Arbabian, A. A., & Soltaninejad, A. (2012). Effects of Uncertainty Changes in Economic Conditions on Share Price. Financial Management Outlook, 6. https://www.magiran.Com/pa p er /1203886.
Asadi, A. R., Aghajani Pourghazi, F., & Simkhah, M. (2020). Effects of Uncertainty in Economic Policies on Risk of Decline in Price Share and Management Power of Executive Factor, the Sixth National Conference on Applied Studies of Management, Accounting, and Healthy Economy in Banking, Stock Market, and Insurance, Tehran. https://civilica.com/doc/1121978/.
Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐ section of stock returns. The journal of finance, 61(4), 1645-1680. https://doi.org/10.1111/j.1540-6261.2006.00885.
Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of economic perspectives, 21(2), 129-152. DOI: 10.1257/jep.21.2.129.
Baker, S. R., Bloom, N., & Davis, S. J. (2013). Measuring economic policy uncertainty. Working paper، Stanford University. https://www.policyuncertainty.com/media /EPU_ BBD _20 13.pdf,
Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636. https://doi.org/10.1093/qje/qjw024.
Ball, R. (2009). Market and political/regulatory perspectives on the recent accounting scandals. Journal of accounting research, 47(2), 277-323. https://doi.org/10.1111/j.1475-679X.2009.00325.
Białkowski, J., Gottschalk, K., & Wisniewski, T. P. (2008). Stock market volatility around national elections. Journal of Banking & Finance, 32(9), 1941-1953. https://doi.org/10.1016 /j.jbankfin.2007.12.021.
Campbell, J. Y., & Shiller, R. J. (1988). The dividend-price ratio and expectations of future dividends and discount factors. The Review of Financial Studies, 1(3), 195-228. https://doi.org/10.1093/rfs/1.3.195.
Campbell, S. D., & Diebold, F. X. (2009). Stock returns and expected business conditions: Half a century of direct evidence. Journal of Business & Economic Statistics, 27(2), 266-278. https://doi.org/10.1198/jbes.2009.0025.
Chang, X., Chen, Y., & Zolotoy, L. (2017). Stock liquidity and stock price crash risk. Journal of financial and quantitative analysis, 52(4), 1605-1637.https://doi.org /10.1017/S0022109017000473.
Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. Journal of business, 383-403. https://www.jstor.org/stable/2352710.
Chen, S., & Ma, H. (2017). Peer effects in decision-making: Evidence from corporate investment. China journal of accounting research, 10(2), 167-188. https://doi.org/10.1016/j.cjar.2016.11.002.
Chiang, T. C. (2019). Economic Policy Uncertainty, Risk and Stock Returns: Evidence from G7 Stock Markets. Finance Research Letters, 29(3), 41-49. DOI: 10.1016/j.frl.2019.03.018.
Chiang, T. C. (2020). US policy uncertainty and stock returns: evidence in the US and its spillovers to the European Union, China and Japan. The Journal of Risk Finance. https://doi.org/10.1108/JRF-10-2019-0190.
Çolak, G., Durnev, A., & Qian, Y. (2017). Political uncertainty and IPO activity: Evidence from US gubernatorial elections. Journal of Financial and Quantitative Analysis, 52(6), 2523-2564.. https://doi.org/10.1017/S0022109017000862.
Dai, P. F., Xiong, X., Liu, Z., Huynh, T. L. D., & Sun, J. (2021). Preventing crash in stock market: The role of economic policy uncertainty during COVID-19. Financial Innovation, 7(1), 1-15. https://doi.org/10.1186/s40854-021-00248-y.
Demir, E., & Ersan, O. (2018). The impact of economic policy uncertainty on stock returns of Turkish tourism companies. Current Issues in Tourism, 21(8), 847-855. https://doi.org/10.1080/13683500.2016.1217195.
Dimic, N., Kiviaho, J., Piljak, V., & Äijö, J. (2016). Impact of financial market uncertainty and macroeconomic factors on stock–bond correlation in emerging markets. Research in International Business and Finance, 36, 41-51. https://doi.org/10.1016/j.ribaf.2015.09.001.
Duan, Y., Chen, W., Zeng, Q., & Liu, Z. (2018). Leverage effect, economic policy uncertainty and realized volatility with regime switching. Physica A: Statistical Mechanics and its Applications, 493, 148-154. https://doi.org/10.1016/j.physa.2017.10.040.
Fama, E. F. (1981). Stock return real activity, inflation, and money: American economic review. Published by American Economic Association. 71(4): 545-565. https://www.jstor.org/stable/1806180.
Fang, L., Chen, B., Yu, H., & Qian, Y. (2018). The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH‐MIDAS approach. Journal of Futures Markets, 38(3), 413-422. https://doi.org/10.1002/fut.21897.
Habib, A., & Hasan, M. M. (2017). Business Strategy, Overvalued Equities, and Stock Price Crash Risk. Research in International Business and Finance, 39(1), 389- 405. https://doi.org/10.1016/j.ribaf.2016.09.011.
Harper, J., Johnson, G., & Sun, L. (2020). Stock price crash risk and CEO power: Firm-level analysis. Research in International Business and Finance, 51, 101094. https://doi.org/10.1016/j.ribaf.2019.101094.
Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009). Opaque financial reports, R2, and crash risk. Journal of financial Economics, 94(1), 67-86. https://doi.org/10.1016/j.jfineco.2008.10.003.
Jin, L., & Myers, S. C. (2006). R2 around the world: New theory and new tests. Journal of financial Economics, 79(2), 257-292. https://doi.org/10.1016/j.jfineco.2004. 11.003.
Jin, X., Chen, Z., & Yang, X. (2019). Economic policy uncertainty and stock price crash risk. Accounting &Finance, 58(5),1291-1318.https://doi.org/10.1111/acfi.124 55.
Kahzadi Tahneh, A. (2019). Analysing Effect of Risk on Uncertainty in Economic Policies in Companies Listed on Tehran Stock Exchange, the Sixth International Conference on Accounting. Management, and Innovation in Business, Tehran. https://civilica.com/doc /98872 4/.
Khamesi, S. M. (2018). Analysing Effect of Uncertainty in Economic Policies on Total Index of Tehran Stock Exchange and Dollar Exchange Rate in Iran International Conference on Business Management and Economy, Tehran. https://civilica.com/doc/854969/
Khani, B., & Mohammadipour, R. (2015). Analysis of Relationship between Economic Risks and Share Price Decline Risk in Tehran Stock Exchange, the Third International Conference on Accounting and Management, Tehran. https://civilica.com/doc/441975/
Kim, J. B. & Zhang, L. (2016). Accounting conservatism and stock price crash risk: Firm‐ level evidence. Contemporary Accounting Research, 33(1), 412-441. https://doi.org/10.1111/1911-3846.12112
Kim, J. B., Li, Y., & Zhang, L. (2011). Corporate tax avoidance and stock price crash risk: Firm level analysis. Journal of Financial Economics, 100(3), 639-662. https://doi.org/10.1016/j.jfineco.2010.07.007.
Kim, J.B., Tseng, K., Wang, J. & Xi, Y. (2020). Policy Uncertainty, Bad News Disclosure, and Stock Price Crash Risk. Available at SSRN: https://ssrn.com/abstract=3745260 or 0. http://dx.doi.org/10.2139/ssrn.3745260.
Kim, S. T., & Rescigno, L. (2017). Monetary policy shocks and distressed firms’ stock returns: Evidence from the publicly traded US firms. Economics Letters, 160, 91-94. https://doi.org/10.1016/j.econlet.2017.09.009.
Kothari, S. P., Li, X., & Short, J. E. (2009). The effect of disclosures by management, analysts, and business press on cost of capital, return volatility, and analyst forecasts: A study using content analysis. The Accounting Review, 84(5), 1639-1670. https://doi.org/10.2308/accr.2009.84.5.1639.
Li, T., Ma, F., Zhang, X. & Zhang, Y. (2019). Economic Policy Uncertainty and the Chinese Stock Market volatility: Novel Evidence. Economic Modelling, https://doi.org/10.1016/j.econmod.2019.07.002.
Li, X. M. (2017). New evidence on economic policy uncertainty and equity premium. Pacific-Basin Finance Journal, 46, 41-56. https://doi.org/10.1016/j.pacfin.2017.08.005.
Luo, Y., & Zhang, C. (2020). Economic policy uncertainty and stock price crash risk. Research in International Business and Finance, Elsevier, 51, 101112. https://doi.org/10.1016/j.ribaf.2019.101112.
Nagar, V., Schoenfeld, J., & Wellman, L. (2019). The effect of economic policy uncertainty on investor information asymmetry and management disclosures. Journal of Accounting and Economics, 67(1), 36-57. https://doi.org/10.1016/j.jacceco.2018.08.011.
Naghi Nahr, A., & Irajifard, A. (2020). Effect of Volatility in Economic Policies on Share Price Decline Risk at Companies Listed in Tehran Stock Exchange, the Sixth National Conference on Novel Studies of Humanities. Economics, and Accounting of Iran. https://civilica.com/doc /1117728/.
Ni, X., & Zhu, W. (2016). Short-sales and stock price crash risk: Evidence from an emerging market. Economics letters, 144, 22-24. https://doi.org/10.1016/j.econlet.2016.04.029.
Nonejad, M., Zamani Kordshouli, B., & Hosseinzadeh Yousefabadi, S.M. (2012). Effect of Monetary Policies on Share Price Index in Iran. Financial Economy, 6(20), 9-38.
Pastor, L., & Veronesi, P. (2012). Uncertainty about government policy and stock prices. The journal of Finance, 67(4), 1219-1264. https://doi.org/10.1111/j.1540-6261.2012.01746.
Pastor, L., & Veronesi, P. (2013). Political uncertainty and risk premia. Journal of FinancialEconomics,110,520-545.
Phan, D. H. B., Sharma, S. S., & Tran, V. T. (2018). Can economic policy uncertainty predict stock returns? Global evidence. Journal of International Financial Markets, Institutions and Money, 55, 134-150.https://doi.org/10.1016/j.intfin.2018.04.004.
Prabheesh, K. P., &Vidya, C. T. (2018). Do business cycles, investment-specific technology shocks matter for stock returns?. Economic Modelling, 70, 511-524. https://doi.org/10.1016/j.econmod.2017.09.014.
Rahnamay-e Roudposhti, F., Nikomaram, H., Tolouei Ashaghi, A., Hosseinzadeh Lotfi, F., & Bayat, M. (2015). Analysing Efficiency of Portfolio Optimization through Maximum Sustainable Sharp Ratio in Comparison with Markowitz Optimization. Management Outlook, 19.
Rangvid, J. (2006). Output and expected returns. Journal of Financial Economics, 81(3), 595-624. https://doi.org/10.1016/j.jfineco.2005.07.010.
Salem Dezfouli, B., Allah Karam Salehi, A., & Jarjarzadeh, S. (2019). Analysing Effect of Economic Uncertainty on Profit Management Based on Accruals and Actual Profit Management. Accounting Knowledge and Management Auditing, 8(30), 95-116.
Souri, A. (2015). Advanced econometrics. Tehran, Cultural science.
Wu, J., Zhang, J., Zhang, S., Zou, L. 2020. The economic policy uncertainty and firm investment in Australia. Applied Economics, 52(31), 3354-3378. https://doi.org/10.1080/00036846.2019.1710454.
Zomorodian, G. R., Shabanzadeh, M., & Najafi Shariatzadeh, I. (2015). Analysing Affectedness of Iran’s Capital Market by Uncertainty in Monetary and Financial Policies. Financial Engineering and Management of Securities, 25. https://www.sid.ir/fa/Journal/ViewPaper.aspx?id=254205.
تعداد مشاهده مقاله: 39
تعداد دریافت فایل اصل مقاله: 112