Providing a Model for Forecasting the Stock Price Crash Risk in Tehran Stock Exchange on the basis of EXTR-SIGMA & NCSKEW

Document Type : Original Article

Authors

1 PhD candidate in Financial Engineering, department of finance, central tehran branch, islamic azad university, tehran, iran

2 Assistant Professor, Department of Business Administration, Central Tehran Branch, Islamic Azad University, Tehran, Iran

Abstract

Stock price crash have been described as a severe negative event in stock returns, causing major losses in shareholders' wealth and a loss of confidence in the capital market. This study sought to investigate the stock price crash risk of 114 companies listed on Tehran Stock Exchange within the years 2009 to 2018 on the basis of Bradshaw et al EXTR-SIGMA (2010) and Chen et al. NCSKEW (2001) criterion. Accordingly, the researcher first calculated the stock prices crash risk based on two different criterion and then tested the internal and external factors of the company on crash risk. The statistical model used in this study encompassed regression model and the data type is panel data type. Based on the findings of the present study, there is a significant relationship between the dependent variables (the first and the second criteria for calculating and predicting stock price crash), the factors within the company (company features and financial ratios) and external factors such as dollar market price, volume of shares traded, Iranian oil price and global gold price.

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