Interpretive-structural Modeling of Factors Affecting Stock Return Volatility

Articles in Press

Document Type : Original Article

Authors
Hosain Jafarpour Golroudbari 1
Zohre Hajiha 2
Azar Moslemi 1
mohammadhamed Khanmohammadi 3
1 Department of Accounting, Khom.C., Islamic Azad University, Khomein, Iran
2 Department of Accounting, ST.C., Islamic Azad University, Tehran, Iran
3 Department of Accounting, Damavand Branch., Islamic Azad University, Tehran, Iran
10.22034/jik.2026.77876.4585
Abstract
Abstract: The purpose of this research is Interpretive-Structural Modeling of Factors Affecting Stock Return Volatility. The research methodology is combined. In the qualitative section, the most important effective factors in this field were identified based on the seven steps of Meta-Synthesis. In the quantitative part, the known factors using the opinions of experts, after confirming the validity and screening of the factors identified, through the self-interaction matrix, interpretive-structural modeling of the factors affecting the volatility of stock returns was presented. Finally, by using MICMAC analysis, the factors have been analyzed according to their effectiveness and effectiveness on other factors. The results showed that various factors influence the volatility of stock returns, all of which can be classified into 9 dimensions and 27 components. In this model macroeconomic variables, political uncertainty, infectious diseases at the global level, natural disasters, geopolitical events of war and terrorism, spillover and corporate governance are independent variables. The high impact and lower dependence of these variables show that other variables are influenced by these factors and can affect the volatility of the company's stock returns. Also, in this model, Investor sentiment, quality of accruals, business cycles, company size, growth opportunities, financial leverage, quality of information disclosure, etc. have a high dependence on previous factors. The important point in MICMAC's analysis is that despite the different levels of identified factors, none of the identified factors are Autonomous or Independent. It means that there are no factors that are only effective or that can be separated from the system.
Keywords
Stock Return Volatility
investment risk
Interpretive-Structural Modeling
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