Dynamic Correlation Regarding Stock Fall Risk Response to Oil Price Shocks and Government Fiscal Deficit Despite Economic Policy Uncertainty
Dynamic Correlation Regarding Stock Fall Risk Response to Oil Price Shocks and Government Fiscal Deficit Despite Economic Policy Uncertainty
Subject Areas : Financial Knowledge of Securities Analysis
zahra taleii 1 , Mohammad Reza Pourali 2 , سید فخرالدین فخرحسینی 3
1 - Ph.D Student of Accounting, Department of Accounting, Tonekabon Branch, Islamic Azad University, Tonekabon , Iran
2 - Associate Professor of Accounting, Department of Accounting, Chalous Branch, Islamic Azad University, Chalous, Iran (Corresponding Author)
3 - Associate Professor of Economics, Department of Accounting, , Tonekabon Branch, Islamic Azad University, Tonekabon, Iran
Keywords: stock crash risk, oil, government deficit, economic policy uncertainty, structural vector autoregression.,
Abstract :
The present study explains the dynamic correlation relationship regarding the response of stock fall risk to oil price shocks and government fiscal deficit for the years 1370-1400. For this purpose, using the structural vector autoregression model (SVAR), which are known as impulse models; Uncertainty effects created by the price of oil, the government's financial deficit and other influential indicators such as; The exchange rate and the uncertainty of the economic policy on the risk of falling stocks were investigated. The findings showed that an impulse from oil price and exchange rate causes a 62% and 28% increase in the risk of stocks falling. The response of the stock fall risk to the impulse from economic uncertainty is also close to 16%. Also, the results of the analysis of variance caused by a sudden change or specific impulse show that in the third period, 40.16 percent of the changes are related to oil price impulses,7.45 percent are related to the exchange rate impulse, 5.67 percent are related to the budget deficit impulse, 37 3.0% was related to the uncertainty of economic policies. Therefore, uncertainty in these indicators affects the stock market by creating risk and uncertainty, affecting investment and decisions of investors, which is very important for the country's economic officials.
1. امیری، حسین، و پیرداده بیرانوند، محبوبه. (1398). نااطمینانی سیاست های اقتصادی و بازار سهام ایران با تکیه بر رویکرد تغییر رژیمی مارکف. دانش مالی تحلیل اوراق بهادار (مطالعات مالی)، 12(44 )، 49-67.
2. رحمتی، ناهید؛ احدی سرکانی، سیدیوسف؛ (1400). بررسی عدم قطعیت سیاست اقتصادی بر ریسک سقوط قیمت سهام در شرکت های پذیرفته شده در بورس اوراق بهادار تهران، مطالعات اقتصاد، مدیریت مالی و حسابداری، دوره هفتم - شماره 1، 365-350
3. همتی فر، فهیمه؛ رنجبر، دکتر مختار؛ (1399). بررسی تاثیر عدم قطعیت سیاست اقتصادی بر ریسک سقوط قیمت سهام در دو سطح بتا و بازار شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران، رویکردهای پژوهشی نو در علوم مدیریت، 20(2)، 68-49
4. ناهیدی امیرخیز, محمد رضا. (1401). تاثیر نامتقارن نوسان نرخ ارز بر بازده سهام در بازار سرمایه ایران. فصلنامه اقتصاد محاسباتی, 1(2), 87-107.
5. Auob Jahanian, Mohammad Reza Pourali, Mehdi Maranjori, Yousef Taghiporiyani (2023) Effect of Mental Health on Behavioral Inhibition and Professional Judgment of Certified Accountants with an Emphasis on Conflict Theory , Journal of Ardabil University of Medical Sciences Volume 23 PP 48-65
6. Chen, J., Jin, F., Ouyang, G., Ouyang, J., & Wen, F. (2019). Oil price shocks, economic policy uncertainty and industrial economic growth in China. PloS one, 14(5), e0215397.
7. Cihangir, Ç. K., & Koçoğlu, Ş. (2022). Oil Prices, Economic Policy Uncertainty and Stock Market Returns in Oil Importing Countries: The Impact of COVID-19 Pandemic. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 40(1), 144-163.
8. Dahmene, M., Boughrara, A., & Slim, S. (2021). Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?. International Review of Economics & Finance, 71, 676-699.
9. Fan, Z., Zhang, Z., & Zhao, Y. (2021). Does oil price uncertainty affect corporate leverage? Evidence from China. Energy Economics, 98, 105252.
10. Hailemariam, A., Smyth, R., & Zhang, X. (2019). Oil prices and economic policy uncertainty: Evidence from a nonparametric panel data model. Energy economics, 83, 40-51.
11. Lin, B., & Bai, R. (2021). Oil prices and economic policy uncertainty: Evidence from global, oil importers, and exporters’ perspective. Research in International Business and Finance, 56, 101357.
12. Liu, X., Wang, Y., Du, W., & Ma, Y. (2022). Economic policy uncertainty, oil price volatility and stock market returns: Evidence from a nonlinear model. The North American Journal of Economics and Finance, 62, 101777.
13. Mohammad Reza Pourali, Mahshid Jozi, Keramatollah Heydari Rostami, Gholam Reza Taherpour,Faramarz Niaz (2013) Investigation of Effective Factors in Audit Delay: Evidence from Tehran Stock Exchange (TSE) RESEARCH JOURNAL OF APPLIED SCIENCES, ENGINEERING AND TECHNOLOGYJournal Volume 4 , 405-410
14. Nusair, S. A., & Al-Khasawneh, J. A. (2023). Changes in oil price and economic policy uncertainty and the G7 stock returns: evidence from asymmetric quantile regression analysis. Economic Change and Restructuring, 56(3), 1849-1893.
15. Oyewole, O. J., Adubiagbe, I. A., & Adekoya, O. B. (2022). Economic policy uncertainty and stock returns among OPEC members: evidence from feasible quasi-generalized least squares. Future Business Journal, 8(1), 12.
16. Ugurlu‐Yildirim, E., Kocaarslan, B., & Ordu‐Akkaya, B. M. (2021). Monetary policy uncertainty, investor sentiment, and US stock market performance: New evidence from nonlinear cointegration analysis. International Journal of Finance & Economics, 26(2), 1724-1738.
17. Xiao, J., Chen, X., Li, Y., & Wen, F. (2022). Oil price uncertainty and stock price crash risk: Evidence from China. Energy Economics, 112, 106118.
18. Zainab Morovvati Siboni, Mohammad Reza Pourali (2015) The Relationship between Investment Opportunity, Dividend Policy and Firm Value in Companies Listed in TSE: Evidence from IRAN , European Online Journal of Natural and Social Sciences: ProceedingsVolume 4 pp. 263-272
