Designing a Model to Predict Stock Price Crash Risk in the Tehran Stock Exchange

Abstract

This study aims to investigate how and to what extent stock price crash risk is affected by various factors and tries to design a model to predict this relationship in the Tehran Stock Exchange. Accordingly, Besides reviewing the literature on stock price crash risk, 12 experts were selected from the statistical population of the capital market for the qualitative part using the theoretical sampling method and the gradual selection rule. Once the data were collected by referencing documents and interviews, the target model was extracted by MAXQDA18 software. The systematic random sampling was used to select 100 companies from a statistical sample of listed companies on the Tehran Stock Exchange over 2009-2019 to test the research hypothesis. Then, a quantitative model derived through the qualitative method was tested as structural equations using the PLS software.The results indicate that it is possible to achieve a model for predicting the stock price crash risk using a mixed (qualitative and quantitative) approach and providing a method to assess its fitness accuracy. and respectively the seven variables obtained from the qualitative part; Financial variables, business strategies, managerial ability and information asymmetry as internal factors and macroeconomic variables, political relations and social responsibility as external factors affect the stock price crash risk.

Keywords

• qualitative-quantitative research method
• stock
• stock price
• stock price crash risk