جستجوی مقالات مرتبط با کلیدواژه "pvar model" در نشریات گروه "مالی"

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.

Similar to other main markets in an economy the stock market is also affected by various shocks that can negatively or positively affect the stock market and subsequently the national economy. Despite the fact that the economies of the Middle East are generally dependent on oil revenues, the change in the views of their politicians in recent decades and moving towards the replacement of incomes from other economic activities, such as capital market incomes instead of traditional income channels, has caused to pay special attention to the impact of different economic variables on these markets. In the meantime, the way the stock markets of the Middle East economies respond to various shocks, especially the shocks of competing markets such as the gold market and the foreign exchange market, has gained so importance. Therefore, the aim of the present study is to investigate the response of stock market returns of selected Middle Eastern countries to the shocks of parallel markets such as the foreign exchange market and the gold market as two competing markets. The estimated panel vector autoregression (PVAR) approach was used to estimate the model and impulse response functions (IRF) to extract the effect of shocks in the period from 2010 to 2021 using monthly data. The results show the positive response of the Middle East stock markets to the currency shock and the gold price shock. Increase in the exchange rate and the gold price lead the returns of the stock markets in the Middle East economies to increase at the first month. Moreover, the results of the variance decomposition (VDC) reveal that the most explanation in the variation of the forecast error variance is caused by the gold price variable and the exchange rate stands as the second.