International Journal of Nonlinear Analysis and Applications

Investigate the impact of financial market risks on the value of financial assets

Document Type : Research Paper

Authors

Department of Economics, Faculty of Economics and Management, Shiraz Branch, Islamic Azad University, Shiraz, Iran

Abstract

The present study aims to investigate the impact of financial market risks on the value of financial assets. In this study, first, by studying the research literature, financial market risk indicators including bad economic uncertainty and good economic uncertainty were identified. Then, the most important indicators from the perspective of experts were determined by the pairwise comparison questionnaire and AHP method. In the next step, the uncertainty indices were calculated by GARCH regression and derivation of conditional standard deviation. Then, the effect of financial market risks on the value of financial assets was examined by VAR regression. The statistical population of the data is related to the financial market and macroeconomy of Iran in the period 1986-2020. The results showed that the response of consumption of financial assets to the uncertainty of the stock index in different periods is high and increasing and the reaction of consumption of financial assets to the uncertainty of economic growth is negative. The production of financial assets is not affected by stock market uncertainty and economic growth uncertainty. Stock market profits are not initially affected by stock market uncertainty, but in later periods this effect increases and stock market profits react negatively to economic growth uncertainty. The reaction of stock market income to stock market uncertainty and economic growth uncertainty is very small. The reaction of stock market investment to stock market uncertainty and economic growth uncertainty is very strong and negative. Also, the stock market risk rate does not have much effect on stock market uncertainty and economic growth uncertainty.

Keywords

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International Journal of Nonlinear Analysis and Applications
Volume 15, Issue 7
July 2024
Pages 69-82
  • Receive Date: 18 September 2022
  • Revise Date: 11 December 2022
  • Accept Date: 22 December 2022