The risk of stock price crash and the factors affecting it in companies registered in Tehran Stock Exchange

Subject Areas : Computational economics

Yazdan Gudarzi Farahani ¹ , morvarid khajeh ² , Albert Boghozian ³ , Mojtaba Mirlohi ⁴ , Nasser Asgari ⁵

1 - استادیار دانشکده اقتصاد و مدیریت دانشگاه قم مدرس انشگاه آزاد اسلامی واحد تهران شمال
2 - PhD in Financial Management, Kish International Campus of Tehran University, Iran,
3 - Assistant Professor, Kish International Campus, University of Tehran, Iran
4 - . Assistant Professor, Faculty of Industry and Management, Shahrood University of Technology
5 - Assistant Professor of Shahid Sattari Aviation University, Iran

Received: 2022-12-03 Accepted : 2023-05-27 Published : 2023-05-22

Keywords: financial risk, , stock price crash, , price volatility, , trading volume, , , , generalized method of movements (GMM),

Abstract :

The purpose of this study is to experience the stock prices crash and the factors affecting it in companies registered in the Tehran Stock Exchange in the period of 2008-2019. For this purpose, the generalized method of movements (GMM) was used. The presence of incorrect pricing in assets usually causes a sudden drop in prices and the fall of the stock market. Therefore, identifying the factors affecting incorrect pricing can make prediction possible and help market players to more accurately predict the future return of stocks and timely detect the formation of a price bubble in the composition of the stock portfolio. Keep less risk and thus reduce the risk of falling prices. The data used in this research have been reviewed monthly. The findings of the research show that there is a positive and significant relationship between stock price volatility and the risk of falling prices and future stock returns. Also, there is a positive and significant relationship between the number and volume of transactions and the risk of stock prices crash. The data used in this research have been reviewed monthly. The findings of the research show that there is a positive and significant relationship between stock price volatility and the risk of falling prices and future stock returns. Also, there is a positive and significant relationship between the number and volume of transactions and the risk of stock prices crash.