A STOCK PRICE CRASH RISK EXPERIENCE AND ITS EFFECTIVE FACTORS IN COMPANIES LISTED IN THE TEHRAN STOCK EXCHANGE

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Published: 2021-05-29

Page: 40-48


ALBERT BOGHZIAN

Kish Campus, University of Tehran, Iran.

MOJTABA MIRLOUHI

Shahrod Technology University, Iran.

NASER ASGARI

Shahid Sattari University, Iran.

MORVARID KHAJEH *

Kish Campus, University of Tehran, Iran.

*Author to whom correspondence should be addressed.


Abstract

Mispricing of assets usually leads to a stock price crash. Therefore, identifying the effective factors of mispricing can facilitate the forecast of this phenomenon and help agents to predict future stock return more accurately and diagnose the price bubble in their portfolio at the right time. In this way, they maintain low-risk stocks and reduce stock price crash risk. This study aims to study the experience of stock price crash risk in companies listed in the Tehran Stock Exchange over the period 2009-2020. For this purpose, the generalized method of moments (GMM) is used. Monthly data are used for the research. The results indicate a positive and significant relationship between stock price volatilities, stock price crash risk, and future stock return.

Keywords: Financial risk, stock price crash, price volatility, trading volume, generalized method of moments (GMM)


How to Cite

BOGHZIAN, A., MIRLOUHI, M., ASGARI, N., & KHAJEH, M. (2021). A STOCK PRICE CRASH RISK EXPERIENCE AND ITS EFFECTIVE FACTORS IN COMPANIES LISTED IN THE TEHRAN STOCK EXCHANGE. Journal of Economics and Trade, 6(1), 40–48. Retrieved from https://ikprress.org/index.php/JET/article/view/6412

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