The Impact of industry's features on financial risk contagion of Companies Listed in Tehran Stock Exchange

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GHADAMYARI MOHAMMAD; ESLAMI MOFID ABADI HOSSEIN

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Journal Paper

Paper Information

Journal: JOURNAL OF ECONOMIC MODELING Year:2020 | Volume:5 | Issue:2 (17) Page(s): 35-63

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Title

The Impact of industry's features on financial risk contagion of Companies Listed in Tehran Stock Exchange

Author(s)

GHADAMYARI MOHAMMAD | ESLAMI MOFID ABADI HOSSEIN | Issue Writer Certificate

Keywords

Risk ContagionQ1

Industrial FeaturesQ1

Poisson Panel RegressionQ1

Abstract

The correlation between market movements and returns is an important issue in risk management and investment portfolio strategies. Investors who try to diversify their assets in regional markets pay special attention to communications between financial markets. In this study, we have tried to study the contagion of risk tail from the financial sector to other economic sectors and the specific characteristics of each industry that affect this phenomenon. For this purpose, we introduce a new index for risk tail contagion from financial market to industries or in other words, conditional coexcee dance (CCX) in the TSE. We investigate risk tail contagion between the market and industry, using 26 TSE industries data for the period 2011 to 2017 by estimating the Poisson's regression. The results show that the risk tail contagion is lower among industries that have a higher relative value index and higher investment. Contagion also occurs more for industries that use external debt.

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APA: Copy

GHADAMYARI, MOHAMMAD, & ESLAMI MOFID ABADI, HOSSEIN. (2020). The Impact of industry's features on financial risk contagion of Companies Listed in Tehran Stock Exchange. JOURNAL OF ECONOMIC MODELING, 5(2 (17) ), 35-63. SID. https://sid.ir/paper/397467/en

Vancouver: Copy

GHADAMYARI MOHAMMAD, ESLAMI MOFID ABADI HOSSEIN. The Impact of industry's features on financial risk contagion of Companies Listed in Tehran Stock Exchange. JOURNAL OF ECONOMIC MODELING[Internet]. 2020;5(2 (17) ):35-63. Available from: https://sid.ir/paper/397467/en

IEEE: Copy

MOHAMMAD GHADAMYARI, and HOSSEIN ESLAMI MOFID ABADI, “The Impact of industry's features on financial risk contagion of Companies Listed in Tehran Stock Exchange,” JOURNAL OF ECONOMIC MODELING, vol. 5, no. 2 (17) , pp. 35–63, 2020, [Online]. Available: https://sid.ir/paper/397467/en

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