Accounting and Auditing Research

Accounting and Auditing Research

The Mediating Effect of Financial Market Volatility on and Stock Return's Mean-Variance Relationship

Document Type : Original Article

Authors
Mohamad Mohamadi 1
Majid Azimi Yancheshme 2
Maryam Farhadi 2
Masoud Fuladi 2
1 PhD in Accounting, Department of Accounting, Morake Branch, Islamic Azad University, Isfahan, Iran
2 Assistant Professor, Department of Accounting, Mobarake Branch, Islamic Azad University, Isfahan, Iran
10.22034/iaar.2024.196693
Abstract
Financial market volatility is an important indicator for measuring risk in the market, which has an important impact on investors' decision to measure risk, manage investment portfolios, and pricing, and is a common concern of government regulators, investors, and capital markets. Mean-variance trade-off in periods of strong financial market volatility, there is a negative correlation between stock returns and changes in volatility, because expected returns are related to the conditional variance of returns in periods of weak volatility. The aim of this research is to present a model based on the effect of the financial market volatility regulator and the average variance relationship of stock returns. The statistical population of this research consists of the companies accepted in the Tehran Stock Exchange, based on the systematic elimination method, the number of 112 companies during the years 1394-1400 was selected as the sample size. The method of collecting information is library and field. The data analysis was done using the multivariable regression model provided in the research with the help of Stata software. The results of the research hypothesis test showed that financial market fluctuations have a significant relationship with the average variance of stock returns. The amount of total volatility has also had a positive effect on the average unpredicted variance of stock returns, which shows that the stock price is the focus of investors on the stock market and has reduced investment risk and adverse shocks in the stock market, increasing the volume of stock return transactions. Also, the rate variables have increased. Currency, inflation, real output growth has been able to increase the mean variance of stock returns.
Keywords
Monetary and Financial Policies
Financial Market Volatility
Average Variance
Stock Returns
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Accounting and Auditing Research
Volume 16, Issue 61
Spring 2024
Pages 167-192