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Analysis the risk contagion from financial sector to other economic sectors | ||
| Journal of Mathematics and Modeling in Finance | ||
| دوره 3، شماره 1، آذر 2023، صفحه 1-14 اصل مقاله (183.96 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2023.71462.1082 | ||
| نویسندگان | ||
| Reza Raei1؛ Alireza Najjarpour* 2 | ||
| 1Department of Financial Management and Insurance, Faculty of Management, University of Tehran, Tehran, Iran. | ||
| 2Master of Financial Engineering, Department of Financial Management and Insurance, Faculty of Management, University of Tehran, Iran. | ||
| چکیده | ||
| This research has three main goals. The first goal is to investigate the contagion of the risk from the financial sector to other industries. The second objective is to examine the impact of the competitiveness of industries on the spread of the risk sequence from the financial sector to the industries, and the third objective is to examine the effect of three main industrial indicators, namely, net debt, value spread and investment spread, on the risk contagion from the financial sector to other industries. In this research, a new measurement method of the spillover of the risk sequence from the financial sector to other industries has been introduced as the occurrence of similar conditions, which for each industry in each period is equal to the number of simultaneous occurrences of severe negative returns in that industry and the financial sector. Empirical findings show that the contagion of the risk from the financial sector to other industries was significant and this contagion was greater for competitive industries due to the greater need for external financing. The occurrence of similar conditions in each sector has a positive relationship with the net debt of that industry. Also, there is no relationship between the value spread and the investment spread with the occurrence of similar conditions. | ||
| کلیدواژهها | ||
| Risk Contagion؛ Risk Spillover؛ Value Spread؛ Investment Spread | ||
| مراجع | ||
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