Investigating the mechanism of systemic liquidity risk transmission of corporate stocks in capital market of Iran

Subject Areas : Financial Knowledge of Securities Analysis

Seyed Hamid Reza Sadat Shekarab ¹ ( PhD student in financial management, Department of Financial Management, Financial and Accounting Engineering, Science and Research Unit, Islamic Azad University, Tehran, Iran. )
Fraydoon Ohadi ² ( Assistant Professor, Department of Industrial Engineering, Karaj Branch, Islamic Azad University, Karaj, Iran )
صیقلی seighaly ³ ( Assistant Professor, Department of Management and Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran )
Mirfaze Fallah Shams ⁴ ( Associate Professor, Business Management Department, Central Tehran Branch, Islamic Azad University, Tehran, Iran )

Received: 2022-11-05 Accepted : 2023-01-11 Published : 2024-03-11

Keywords: &quot, financial crisis&quot, , &quot, systemic liquidity risk&quot, , &quot, Spillover effects&quot, , &quot, Vector autoregression&quot, , &quot, Variance decomposition&quot, ,

Abstract :

This research aims to investigate the mechanism of systemic liquidity risk transmission of corporate stocks in capital market of Iran. For this purpose, 486 listed companies in Tehran stock exchange and OTC from 2011 to 2022 were sampled and the companies were divided into ten deciles according to the Amihud illiquidity ratio, Then by using “Diebold & Yilmaz” approach which is based on forcast error variance decomposition in the framework of the generalized VAR model, spillover mechanism and systemic liquidity risk transmission among the formed decimals was investigatd.The preliminary results indicated the existence of spillover effect and systemic liquidity risk among all deciles, with difference intensity and weakness. In such a way that the fifth decile had the highest net transmission of liquidity risk spillover effects to other deciles, and the seventh & third deciles, respectively had the highest net effects of received spillover from other deciles. The general results of the total spillover index (TSI) indicated that risk transmission processes, change and increase after the occurrence of shocks and financial crises.

References:

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