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Investigate the impact of financial market risks on the value of financial assets | ||
| International Journal of Nonlinear Analysis and Applications | ||
| مقاله 8، دوره 15، شماره 7، مهر 2024، صفحه 69-82 اصل مقاله (490.84 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2022.29264.4104 | ||
| نویسندگان | ||
| Leila Mohammad Sadeghi؛ Hashem Zare* ؛ Mehrzad Ebrahimi؛ Abbas Aminifard | ||
| Department of Economics, Faculty of Economics and Management, Shiraz Branch, Islamic Azad University, Shiraz, Iran | ||
| تاریخ دریافت: 27 شهریور 1401، تاریخ بازنگری: 20 آذر 1401، تاریخ پذیرش: 01 دی 1401 | ||
| چکیده | ||
| The present study aims to investigate the impact of financial market risks on the value of financial assets. In this study, first, by studying the research literature, financial market risk indicators including bad economic uncertainty and good economic uncertainty were identified. Then, the most important indicators from the perspective of experts were determined by the pairwise comparison questionnaire and AHP method. In the next step, the uncertainty indices were calculated by GARCH regression and derivation of conditional standard deviation. Then, the effect of financial market risks on the value of financial assets was examined by VAR regression. The statistical population of the data is related to the financial market and macroeconomy of Iran in the period 1986-2020. The results showed that the response of consumption of financial assets to the uncertainty of the stock index in different periods is high and increasing and the reaction of consumption of financial assets to the uncertainty of economic growth is negative. The production of financial assets is not affected by stock market uncertainty and economic growth uncertainty. Stock market profits are not initially affected by stock market uncertainty, but in later periods this effect increases and stock market profits react negatively to economic growth uncertainty. The reaction of stock market income to stock market uncertainty and economic growth uncertainty is very small. The reaction of stock market investment to stock market uncertainty and economic growth uncertainty is very strong and negative. Also, the stock market risk rate does not have much effect on stock market uncertainty and economic growth uncertainty. | ||
| کلیدواژهها | ||
| Financial market risks؛ value of financial assets؛ good economic uncertainty؛ bad economic uncertainty | ||
| مراجع | ||
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