Economic Uncertainty and Stock Price Crash Risk Companies Listed in Tehran Stock Exchange

Document Type : Original Article

Authors

1 department of accounting and management ، Azad University of Kashan ،kashan،Iran

2 Associate Professor، department of accounting and management ، Azad University of Kashan ،kashan،Iran

3 Assistant Professor،department of Accounting and Management of Islamic Azad University of Kashan،iran

10.22034/iaar.2021.141681

Abstract

uncertainty and stock price crash risk. Economic uncertainty has been measured by the instability of the four interest rate indices, economic growth rate, inflation rate and exchange rate. Two measures of negative skewness coefficient and low to high volatility were used to measure the stock price crash risk. In this regard, financial data of 131 companies during the period 2014 to 2019 have been analyzed. F-Lemmer and Chasman statistics were used to determine how the regressions fit. Instability of economic uncertainty indices has been done by Arch & Garch method. Summarizing the results of both regression estimation models in line with the research hypotheses showed that the relationship between uncertainty due to macroeconomic policy instability, interest rate, exchange rate and economic growth is associated with the stock price crash risk. There has been a direct uptick and an increase in the level of these volatility has led to an increase in the possibility of stock price crash risk. Research findings can be important for investors, supervisory bodies, legislators and policy makers.

Keywords

Accounting and Auditing Research
Volume 13, Issue 51
September 2021
Pages 143-164

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