Dynamic correlation between oil price, financial transparency and stock crash risk; using the Panel VAR model

Subject Areas : Financial Knowledge of Securities Analysis

zahra taleii ¹ , Mohammad Reza Pourali ² , Seyed Fakhreddin Fakhrhossseini ³

1 - PHD Student in Accounting, Department of Accounting, Tonekabon Branch, Islamic Azad University, Tonekabon , Iran
2 - Associate Professor of Accounting, Department of Accounting, Chalous Branch, Islamic Azad University, Iran
3 - Associate Professor of Economics, Department of Accounting, Tonkabon Branch, Islamic Azad University, Tonkabon, Iran

Received: 2023-04-11 Accepted : 2023-05-27 Published : 2024-03-11

Keywords: oil price, financial transparency , stock crash risk , PVAR model,

Abstract :

This study has aimed to examine the dynamic correlation between oil price, financial transparency and stock crash risk and PVAR model for oil and petrochemical companies in 2014 to 2022. Based on the estimation results of the PVAR model, an impulse from the oil price and the exchange rate on the risk of falling stock prices up to the first two periods; It goes down and then up. In terms of whether they are oil importers or exporters, countries have different effects on oil price changes. Oil producing countries are forced to secure their foreign exchange income due to their economic structure, and when prices fall, they try to increase production to increase their income. In oil exporting countries, any increase in oil prices is expected to lead to an increase in income in these countries. The increase in the government's income and wealth causes future cash flows to increase, as a result, it has a positive effect on the capital market and, accordingly, the stock index, and the risk of falling stock prices is reduced. Since the stock market returns are one of the most accurate tools shown in the economy and has a high sensitivity to economic conditions and can have a direct effect on the interest rate and people's trust, policy makers always adopt policies for financial transparency and the quality of information disclosure to provide the basis for the development of this market as much as possible.

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