Factors Affecting the Instability Index in Tehran Stock Exchange

Abstract

The food and beverage industry has always been one of the most popular industries for investors and market participants in Iran. In the present paper, using conditional turbulence method, the model for factors affecting the instability index in the food and beverage industry in Tehran Stock Exchange has been studied and presented. For this purpose, the monthly data from March 2009 to March 2020 have been used. Also based on regression results, turbulence can be caused by factors such as political conflicts and international problems in Iran, and strengthened or weakened by the effects of parallel markets such as oil, gold and currency, as well as inflation and liquidity. Based on regression results, factors outside the stock market in Iran, have a greater impact on turmoil and instability in the stocks of the food and beverage industry (excluding sugar) compared to in-company factors. Therefore, from the point of view of the performed analyses, the most important effect and factor causing volatility of the stock exchange are inflation, exchange rate, liquidity volume, oil price, gold price, and political news. Accordingly, this study provides research and executive proposals with regard to capital market volatility management.

Keywords

• instability
• food products industry
• beverage industry
• tehran stock exchange
• garch models.