The investigation of the interaction relationship between voluntary disclosure of information with Stock price synchronicity and crash risk with simultaneous equations system in the Tehran Stock Exchange

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Fallahzadeh Abarghouhei Ahmad; Taftiyan Akram; HEIRANY FOROUGH

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Journal: FINANCIAL ACCOUNTING Year:2018 | Volume:9 | Issue:36 Page(s): 53-75

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Information Journal Paper

Title

The investigation of the interaction relationship between voluntary disclosure of information with Stock price synchronicity and crash risk with simultaneous equations system in the Tehran Stock Exchange

Author(s)

Fallahzadeh Abarghouhei Ahmad | Taftiyan Akram | HEIRANY FOROUGH | Issue Writer Certificate

Keywords

voluntary disclosureQ2

Stock price crash riskQ1

Stock price synchronicityQ1

Simultaneous Equation SystemQ1

Abstract

High Transparency of information can be influential on the Stock price synchronicity and crash risk by reducing information asymmetry and information risk. On the other hand, according to the signal theory, the Stock price synchronicity and crash risk can also affect the level of information disclosure. Therefore, This study aims to examine the interaction relationship between voluntary disclosure of information with Stock price synchronicity and crash risk in the companies listed on the Tehran Stock Exchange. The statistical population of the study has been determined using systematic knockout method; which includes 66 companies for a period of 8 years during the years 2008 to 2015. To test the research hypotheses has been used the system of simultaneous equations and analysis of two-stage regression coefficients. Measuring the Level of voluntary disclosure of Information is done based on the weight index with the same level of importance and using a checklist containing 10 dimensions and 307 Voluntary components. Stock price synchronization calculate Based on daily market and industry returns in a financial year and its impact on the daily returns of the company. Also to measure the Stock price crash risk has been used daily stock price crash. The results of the estimation indicate a interaction negative and significant relationship between the voluntary disclosure of information and the Stock price crash risk in Tehran Stock Exchange. In other words the desire of managers to disclose bad news and to expedite the reporting of good news can lead to a Stock price crash risk. Also based on the results of this research there is no significant interaction relationship between voluntary disclosure of information and Stock price synchronicity in Tehran Stock Exchange.

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APA: Copy

Fallahzadeh Abarghouhei, Ahmad, Taftiyan, Akram, & HEIRANY, FOROUGH. (2018). The investigation of the interaction relationship between voluntary disclosure of information with Stock price synchronicity and crash risk with simultaneous equations system in the Tehran Stock Exchange. FINANCIAL ACCOUNTING, 9(36 ), 53-75. SID. https://sid.ir/paper/168097/en

Vancouver: Copy

Fallahzadeh Abarghouhei Ahmad, Taftiyan Akram, HEIRANY FOROUGH. The investigation of the interaction relationship between voluntary disclosure of information with Stock price synchronicity and crash risk with simultaneous equations system in the Tehran Stock Exchange. FINANCIAL ACCOUNTING[Internet]. 2018;9(36 ):53-75. Available from: https://sid.ir/paper/168097/en

IEEE: Copy

Ahmad Fallahzadeh Abarghouhei, Akram Taftiyan, and FOROUGH HEIRANY, “The investigation of the interaction relationship between voluntary disclosure of information with Stock price synchronicity and crash risk with simultaneous equations system in the Tehran Stock Exchange,” FINANCIAL ACCOUNTING, vol. 9, no. 36 , pp. 53–75, 2018, [Online]. Available: https://sid.ir/paper/168097/en

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