Measuring and Analyzing Systemic Risk in Selected Index of the Tehran Stock Exchange and Examining the Factors Affecting it
Subject Areas : Financial Economics
امیر حسین حاجیلو مقدم
1
(دانشگاه تربیت مدرس)
مهدی ذوالفقاری
2
(گروه علوم اقتصادی، دانشگاه تربیت مدرس)
naeim shokri
3
(Tarbiat Modares University)
Keywords: Conditional risk value, Systematic Risk, Exchange Rate Changes, Oil Price Changes, Panel Data.,
Abstract :
Systemic risk is the probability of a sudden collapse of a financial system that disrupts the efficiency of the financial system and causes chain reactions and increases pessimistic expectations in the financial system. Therefore, the purpose of this paper is to measure and rank systemic risk in the selected financial and non-financial index of the Tehran Stock Exchange and to investigate the factors affecting this risk. To achieve this goal, using the study of Van Cauwenberge et al (2019) and applying the conditional value at risk delta criterion (∆CoVaR), using the dynamic conditional correlation (DCC) model using daily data related to the selected stock market index (both financial and non-financial) during march 2011 to the end of August 2020, the mentioned criterion has been calculated. Then, using panel data regression, its relationship with effective factors including value at risk (VaR), systematic risk (beta), exchange rate changes, and oil price changes is examined. The results show that the non-financial index of the stock exchange has a greater share in the occurrence of systemic risk than other financial indexes. In addition, the results of the panel data model indicate the fact that the criterion of value at risk (VaR) and systematic risk (beta) among endogenous variables have a positive and significant effect on the systemic risk index and also among exogenous factors the Currency rate has a positive and significant effect on systemic risk, but oil prices do not have a significant effect on systemic risk.