Evaluating the Asymmetric Effects of Parallel Financial Markets Shocks on Financial and Commercial Risk as well as Cash Returns

Subject Areas : Financial Accounting

Farzin Axon ¹ , Seyed Hossein Nasl Mousavi ² , Abbas Ali Pour Aghajan ³

1 - Mohammad Salehifard, Ph.D Student, Department Of Accounting, Qaemshahr Branch, Islamic Azad University, Qaemshahr, Iran
2 - Seyed Hossein Naslemousavi, Assistant Professor, Department Of Accounting, Qaemshahr Branch, Islamic Azad University, Qaemshahr, Iran
3 - عضو هیئت علمی گروه حسابداری دانشگاه آزاد قائمشهر

Received: 2022-03-18 Accepted : 2023-02-23 Published : 2024-05-26

Keywords: Keywords: Gold Market, Foreign Exchange Market, Asymmetric Effects, Price Shocks , Financial Risk , Trade Risk , Stock Returns,

Abstract :

Listed companies are always affected by shocks and instabilities in parallel financial markets such as exchange rates and gold. Knowledge of how these impacts are useful for managing companies and investors to make optimal decisions regarding risk management, financing and investment. Therefore, in this study, the effect of investigating the asymmetric effects of parallel financial markets shock on stock returns and financial and commercial risk of 262 companies listed on the Tehran Stock Exchange during the period 2009-2010 using the Generalized Torque (GMM) approach. Been investigated. The results show that the negative and positive shocks of the exchange rate and the price of gold have an asymmetric effect on trade risk, finance and stock returns. These asymmetric effects apply in terms of size, sign and significance. Positive gold price shocks also have a negative effect on trade risk and a positive effect on financial risk, but these shocks do not have a significant effect on stock returns. In contrast, the impact of negative gold price shocks on financial risk is negative and market returns are positive (the impact of negative shock on trade risk is not statistically significant). Based on the above results, it can be stated that corporate operating costs and financing costs are affected by price shocks in the gold and foreign exchange markets.

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