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