The effect of corporation cash holdings and financial crisis on the tail risk spillovers

Subject Areas : مدیریت

Effat  Ahmadizadeh ¹ (M.Sc. Student, Department of Business Administration, Qazvin Branch, Islamic Azad University, Qazvin, Iran)
Habib Alah  Amirbeyki Langaroudi ² (Assistant Professor, Accounting Department, Qazvin Branch, Islamic Azad University, Qazvin, Iran)

Received: 2020-06-10 Accepted : 2020-06-10 Published : 2020-05-21

Keywords: Risk, Cash holdings, financial crisis, Tail risk spillovers,

Abstract :

This research investigated the effect of cash holdings and financial crisis on the tail risk spillovers from financial sector companies to non-financial corporations listed in Tehran stock exchange. The purpose of this study is to examine the existing empirical evidence and determine the degree of conformity of the existing facts with the theoretical foundations of the relationship between tail risk spillovers and cash holdings by listed companies in Tehran Stock Exchange. The design of the study is descriptive-correlational and the data was collected via archival process. In this research, a sample of 136 companies from Tehran stock exchange companies was selected through a systematic sampling method. The research timeframe is 12 years from 2005 to 2016. Selective approach is used to test hypotheses by combining combined data and the integrated least squares regression (data panel) method has been used. The results of the study indicate a significant relationship between the cash holdings and the financial crisis over tail risk spillovers from financial sector companies to non-financial sector companies.