Abstract
Cash-flow risk is one of the main factors influencing in the capital market of Iran. In this regard, the study has examined the effect of Iran's asymmetric liquidity risk in the capital market. This study is based on econometric model of EGARCH from the family of heterogeneity of variance model after extracting the positive and negative shocks analyzes that leverage effect has different effects for a unit of positive shock and a single unit of negative shock, goods price index and consumer services, exchange rate and liquidity risk on dividends. As well as significant negative impact of liquidity risk, significant positive impact of exchange rate, consumer services and goods price index can be seen on the index of dividends.
Highlights
Volatility is one of the most important aspects of the development of financial markets, and plays a major role in portfolio management, dealing option pricing and governing trading regulations of market
Developments and fluctuations of stock prices and macroeconomic variables were associated with changes in the economy, any changes in variables such as interest rates, gross national product, investment risk, inflation and the exchange rate has been influential on the stock market [1]
Research Hypothesis 1- Liquidity risk has an asymmetric effect on the dividends index in the capital market of Iran. 2- Volatility of the exchange rate has an asymmetric impact on the stock dividends index in the capital market of Iran. 3- Rate of inflation has an asymmetric effect on the dividend index in the capital market of Iran
Summary
Volatility is one of the most important aspects of the development of financial markets, and plays a major role in portfolio management, dealing option pricing and governing trading regulations of market. In the last two decades, the majority of financial economists have focused on economic time series modeling and estimation of volatility The reason for this is mainly due to the volatility that is used as a measure to calculate risk. In some economic theories, the exchange rate is the most important variable of the monetary economy This variable with its uncertainty and instability has made changes in the stock price index. Inversely relationship of the effect of volatility in the stock exchange price index has been occurring on the exchange rate uncertainty. In several studies it is indicated that negative shocks or bad news has more effect on the volatility in compare with positive shocks or good news with the same size, so that fluctuations or volatilities in the stock markets are asymmetric [5]. Part six is dedicated to empirical findings, interpretation of results and policy conclusions and recommendations are presented as the final section of the study
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Mapta Journal of Mechanical and Industrial Engineering (MJMIE)
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
