Investigating the Impact of Financial, Economic, Political and International Risks on Tehran Stock Exchange Index Using Method ARDL

Document Type : Original Article

Authors
Sareh Pahlavan 1
Ali Najafi Moghadam 2
, Ghodratollah Emamverdi 3
Roya Darabi 4
1 Ph.D Student, Department of accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran
2 Department of accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran
3 Department of Economic, Central Tehran Branch, Islamic Azad University, Tehran, Iran
4 Associate Professor, Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran
Abstract
Risks and hazards in the economic context of a country can affect the country's economic indicators and have a reason for the growth or decline of the index .Risk can be explained as a factor that upsets the balance and changes the situation In emerging economies, one of the concerns of economists is to control existing risks to reduce costs and increase the growth of economi indicatorsIn this study, the effect of financial, economic, international and political risks on the total index of the stock exchange is examined, which, while examining the presence or absence of impact, examines the direction of impact. For this purpose, the modelARDL Quarterly data for the years 1388 to 1398 were used The results in the short and long term are that financial risk has a negative impact on the index and economic and international risk have a positive effect in the short term and in the long term financial risk and economic risk are also negative but international risk. It has a positive effect
Keywords
Financial risk
Economic risk
International risk
Political risk
  • ارضاء, امیرحسین, پیمانی, مسلم, صیفی, فرناز. (1396). محاسبه ریسک اعتباری و تاثیر آن بر بازدهی در بورس اوراق بهادار تهران.  مطالعات تجربی حسابداری مالی. 14(55), 169-196. doi: 10.22054/qjma.2017.24590.1655.
  • پایتختی اسکویی, سیدعلی, طبقچی اکبری, لاله. (1393). برآورد بردار هم انباشتگی اقتصاد خاکستری و توسعه انسانی با روش حداقل مربعات پویای پانلی. مدلسازی اقتصادسنجی, 1(3), 125-142. doi: 10.22075/jem.2017.1514
  • امام وردی ،قدرت اله ؛ فراهانی ،مهدی و شقاقی، فاطمه (1390). بررسی تطبیقی اثر گسترش بازارهای مالی بر رشد اقتصادی در کشورهای توسعه یافته و در حال توسعه با روش داده های تلفیقی 1975-2008 ، « مقاله اقتصاد مالی و توسعه . دوره پنجم ، شماره پانزدهم،تابستان 1390 ،ص43-78.
  • حیدری حسن، بشیری سحر(1393). بررسی رابطه بین نااطمینانی نرخ واقعی ارز و شاخص قیمت سهام در بورس اوراق بهادار تهران: مشاهداتی بر پایه مدل VAR-GARCH، تحقیقات مدل سازی اقتصادی پاییز 1391 شماره 9.
  • شاه‌آبادی ابوالفضل، نظیری محمدکاظم، حواج سحر. اثر متغیرهای کلان اقتصادی بر ریسک سیستماتیک بورس اوراق بهادار تهران . فصلنامه پژوهش ها وسیاست های اقتصادی. ۱۳۹۲; ۲۱ (۶۷) :۸۹-۱۰۴
  • گوگردچیان،فتحی، امیری و سعیدی(1394) تحلیل مقایسه ای تاثیر ریسک سیاسی بر توسعه بازار سهام کشورهای منتخب،فصلنامه علمی و پژوهش دانش سرمایه گذاری،سال چهارم،شماره پانزدهم،پاییز 1394.
  • فتحی، سعید، عسگرنژادنوری،باقر(1388). ررسی تاثیر خصوصی سازی بر توسعه بازار سهام،بررسی های بازرگانی شماره 38و93-73
  • فعالجو, حمیدرضا, صادقپور, عسل. (1394). بررسی تاثیر شاخص ریسک کشوری بر بازده بورس اوراق بهادار تهران. راهبرد مدیریت مالی. 3(3), 49-78. doi: 10.22051/jfm.2015.226
  • مهدوی مزده, ابوالقاسم, علیخان بیک زند, رضا. (1395). عوامل محرک بازار سرمایه در اقتصاد ایران،سیاست گذاری پیشرفت اقتصادی. 4(3), 41-66. doi: 10.22051/edp.2017.16179.110
  • موسایی میثم، مهرگان نادر، امیری حسین. رابطه بازار سهام و متغیرهای کلان اقتصادی در ایران. فصلنامه پژوهش ها وسیاست های اقتصادی. ۱۳۸۹; ۱۸ (۵۴) :۷۳-۹۴
  • Atje, R., & Jovanovic, B. (1993). Stock markets and development. European Economic Review, 37(2–3), 632–640.
  • Bekiros, S., Gupta, R., & Kyei, C. (2016). On economic uncertainty, stock market predictability and nonlinear spillover eff The North American Journal of Economics and Finance, 36, 184–191. https://doi.org/10.1016/j.najef.2016.01.003.
  • Chau, F., Deesomsak, R., & Wang, J. (2014). Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries. Journal of International Financial Markets, Institutions and Money, 28, 1–19. https://doi.org/10.1016/j.intfn.2013.10.008.
  • Christiansen, C., Schmeling, M., & Schrimpf, A. (2012). A comprehensive look at fnancial volatility prediction by economic variables. Journal of Applied Econometrics, 27(6), 956–977. https://doi.org/10.1002/jae.2298.
  • Das,D.,&Kumar,S.B.(2019):Multiple and Partial wavelet approach. Economics Letters,164, 100–108.
  • Das, D., Kannadhasan, M., & Bhattacharyya, M. (2019). Do the emerging stock markets react to international economic policy uncertainty, geopolitical risk and financial stress alike? The North American Journal of Economics and Finance, 48, 1-19.
  • Eemirguc-Kunt, A., & Levine, R. (1996). Stock markets, corporate fnance, and economic growth: An overview. The World Bank Economic Review, 10(2), 223–239.
  • Engle, R. F., Ghysels, E., & Sohn, B. (2013). Stock market volatility and macroeconomic fundamentals. Review of Economics and Statistics, 95(3), 776–797. https://doi. org/10.1162/REST_a_00300.
  • Fang, T., Lin, F., Sheng-Wei, L., & Huang, Y. (2019). The association between political connection and stock price crash risk: Using financial reporting quality as a moderator. Finance Research Letters. https://doi.org/10.1016/j.frl.2019.08.015
  • Kannadhasan, M., & Das, D. (2019). Do Asian emerging stock markets react to international economic policy uncertainty and geopolitical risk alike? A quantile regression approach. Finance Research Letters
  • Kwon, C. S., & Shin, T. S. (1999). Cointegration and causality between macroeconomic variables and stock market returns. Global Finance Journal, 10(1), 71–81. https://doi.org/10.1016/S1044-0283(99)00006-X.
      Levine, R., & Zervos, S. (1996). Stock market development and long-run growth. The World Bank Economic Review, 10(2), 323–339. https://doi.org/10.1093/wber/10.2.323.
  • Masoud, N., &Hardaker,G.(2012).The impact of financial development on economic growth:Empirical analysis of emerging market countries.Studies in Economics and Finance,29(3),148–173
  • Mnif, A. T. (2017). Political uncertainty and behavior of Tunisian stock market cycles: Structural unobserved components time series models. Research in International Business and Finance, 39, 206–214.
  • Mei, J., & Guo, L. (2004). Political uncertainty, fnancial crisis and market volatility. European Financial Management, 10, 639–657.
  • North, D(2005). Understanding the Process of Economic Change, Princeton University Press.
  • Singh, A. (1997). Financial liberalisation, stockmarkets and economic development. The Economic Journal, 107(442), 771–782. https://doi.org/10.1111/j.1468-0297.1997.tb00042.x.
  • Stock, J. H. & M. W. Watson, (1993), A simple estimator of cointegratin vectors in higher order integrated systems, Econometrica, 61: 783-820.
  • Suleman,T,(2013).dynamics of political riskrating and stock market volatility.school of economics and finance Victoria university