Identification and modeling of stock price Resiliency in Tehran Stock Exchange and the factors affecting it using time series conversion

Subject Areas : Financial engineering

sepideh shamsaliniya ¹ , seyed kazem chavoshi ² , mojganm safa ³ , hosein jahangirnia ⁴

1 - Department of Financial Management, Qom Branch, Islamic Azad University, Qom, Iran.
2 - Department of Banking and Insurance Management, Kharazmi University, Tehran, Iran.
3 - Department of Accounting, Qom Branch, Islamic Azad University, Qom, Iran.
4 - Department of Accounting, Qom Branch, Islamic Azad University, Qom, Iran.

Received: 2021-09-08 Accepted : 2022-01-23 Published : 2022-09-23

Keywords: resilience, Stock Price Resilience, Permanent Component of Time Series, Transient Component of Time Series,

Abstract :

The present article deals with the research gap in "stock price Resiliency Measurement" in Tehran Stock Exchange. This research has a development-applied approach that has provided a purposeful method in modeling stock price resiliency. After presenting the resiliency measurement models, the research hypotheses, based on theoretical foundations and previous studies, were formulated and tested in companies listed on the Tehran Stock Exchange from 2009 to 2020. Data analysis recommended the use of panel data with fixed effects and the outputs of Eviews software version 10 and Stata version 12 showed that stock resilience level was different in different years and between all variables considered in the sub-hypotheses with resiliency at the confidence level. There was a 95% significant relationship among them, except "liquidity, price effect". Among all moderating variables, stock beta, and Book to Market ratio had the most significant indirect effect and the random process component had the most direct effect in the model on the stock resilience.