Measuring and Analyzing Systemic Risk in Selected Index of the Tehran Stock Exchange and Examining the Factors Affecting it

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Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:

Systemic risk is the probability of a sudden collapse of a financial system that disrupts the efficiency of the financial system and causes chain reactions and increases pessimistic expectations in the financial system. Therefore, the purpose of this paper is to measure and rank systemic risk in the selected financial and non-financial index of the Tehran Stock Exchange and to investigate the factors affecting this risk. To achieve this goal, using the study of Van Cauwenberge et al (2019) and applying the conditional value at risk delta criterion (∆CoVaR), using the dynamic conditional correlation (DCC) model using daily data related to the selected stock market index (both financial and non-financial) during march 2011 to the end of August 2020, the mentioned criterion has been calculated. Then, using panel data regression, its relationship with effective factors including value at risk (VaR), systematic risk (beta), exchange rate changes, and oil price changes is examined. The results show that the non-financial index of the stock exchange has a greater share in the occurrence of systemic risk than other financial indexes. In addition, the results of the panel data model indicate the fact that the criterion of value at risk (VaR) and systematic risk (beta) among endogenous variables have a positive and significant effect on the systemic risk index and also among exogenous factors the Currency rate has a positive and significant effect on systemic risk, but oil prices do not have a significant effect on systemic risk.

Language:
Persian
Published:
Journal of Financial Economics, Volume:18 Issue: 67, 2024
Pages:
111 to 138
https://www.magiran.com/p2759779  
سامانه نویسندگان
  • Author (3)
    Naeim Shokri
    .Ph.D Health Economics, Economic Development and Planning group, School of Management and Economics, Tarbiat Modares University, Tehran, Iran
    Shokri، Naeim
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