Analysis the risk contagion from financial sector to other economic sectors
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 industr...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Allameh Tabataba'i University Press
2023-09-01
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| Series: | Mathematics and Modeling in Finance |
| Subjects: | |
| Online Access: | https://jmmf.atu.ac.ir/article_15149_2680682a44b75a5bdfe6f7db5ed218b0.pdf |
| _version_ | 1827580189248323584 |
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| author | Reza Raei Alireza Najjarpour |
| author_facet | Reza Raei Alireza Najjarpour |
| author_sort | Reza Raei |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-08T22:14:34Z |
| format | Article |
| id | doaj.art-bd94f377953949cab96e449ecf39c230 |
| institution | Directory Open Access Journal |
| issn | 2783-0578 2783-056X |
| language | English |
| last_indexed | 2024-03-08T22:14:34Z |
| publishDate | 2023-09-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | Mathematics and Modeling in Finance |
| spelling | doaj.art-bd94f377953949cab96e449ecf39c2302023-12-19T05:16:31ZengAllameh Tabataba'i University PressMathematics and Modeling in Finance2783-05782783-056X2023-09-013111410.22054/jmmf.2023.71462.108215149Analysis the risk contagion from financial sector to other economic sectorsReza Raei0Alireza Najjarpour1Department of Financial Management and Insurance, Faculty of Management, University of Tehran, Tehran, Iran.Master of Financial Engineering, Department of Financial Management and Insurance, Faculty of Management, University of Tehran, Iran.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.https://jmmf.atu.ac.ir/article_15149_2680682a44b75a5bdfe6f7db5ed218b0.pdfrisk contagionrisk spillovervalue spreadinvestment spread |
| spellingShingle | Reza Raei Alireza Najjarpour Analysis the risk contagion from financial sector to other economic sectors Mathematics and Modeling in Finance risk contagion risk spillover value spread investment spread |
| title | Analysis the risk contagion from financial sector to other economic sectors |
| title_full | Analysis the risk contagion from financial sector to other economic sectors |
| title_fullStr | Analysis the risk contagion from financial sector to other economic sectors |
| title_full_unstemmed | Analysis the risk contagion from financial sector to other economic sectors |
| title_short | Analysis the risk contagion from financial sector to other economic sectors |
| title_sort | analysis the risk contagion from financial sector to other economic sectors |
| topic | risk contagion risk spillover value spread investment spread |
| url | https://jmmf.atu.ac.ir/article_15149_2680682a44b75a5bdfe6f7db5ed218b0.pdf |
| work_keys_str_mv | AT rezaraei analysistheriskcontagionfromfinancialsectortoothereconomicsectors AT alirezanajjarpour analysistheriskcontagionfromfinancialsectortoothereconomicsectors |