Study of Financial Distress Spillover Effect among Automobile Supply Chain Companies Listed in the Tehran Stock Exchange

Subject Areas : business management

Bita delnavaz ¹ , mirfeiz fallah ²

1 - Department of financial Management, , Central Tehran branch, Islamic Azad University, Tehran, Iran.
2 - Department of Business Management, Central Tehran branch, Islamic Azad University, Tehran, Iran.

Received: 2019-06-18 Accepted : 2019-06-23 Published : 2019-12-22

Keywords: Financial Distress, Spill over effect, Supply chain Companies, Multivariate GARCH Model,

Abstract :

Multiplicity of the companies experiencing financial distress in different countries and as a consequence, their bankruptcy and the impacts on other companies have necessitated conducting research on methods of prediction of such conditions and also their effects on other companies in the market. In this regard, this research has investigated the financial distress spillover in the automobile supply chain companies. For doing so, the methods of default probability time series KMV and the distance from default of four supply chain companies of Iran Khodro were calculated. Then, the financial distress spillover in these companies was measured, using multivariate GARCH model. The results of the default probability of Iran Khodro companies showed that the default probability with pause of Khodro on the default probability of supply chain companies was significant and negative in 10% level.