African Journal of
Business Management

  • Abbreviation: Afr. J. Bus. Manage.
  • Language: English
  • ISSN: 1993-8233
  • DOI: 10.5897/AJBM
  • Start Year: 2007
  • Published Articles: 4191

Full Length Research Paper

A new scheme for investigating any effects of credit and exchange risk on stock price returns

Omid Jalilian1, Mehrdad Ghanbari2, Hamid Jalilian3, Yousef Jalilian4 and Naser Seifollahi5*
1Department of Accounting, Islamic Azad University, Kermanshah Branch, Kermanshah, Iran. 2Department of Accounting, Islamic Azad University, Science and Research Branch, Tehran, Iran. 3Department of Business Management, Islamic Azad University, Eslamabad-E-Gharb Branch, Eslamabad-E-Gharb, Iran. 4Young Researchers Club, Islamic Azad University, Kermanshah Branch, Kermanshah, Iran. 5Department of Management, Shahid Beheshti University, Tehran, Iran.
Email: [email protected]

  •  Accepted: 09 January 2012
  •  Published: 25 April 2012

Abstract

The main purpose of this research is to develop a localized model of credit risk management, exchange rate risk and price fluctuations in previous stock price by the use of GARCH approach as a family model. Then, we studied all effects of earlier mentioned variables on stock price return in order to find out any behavior of stock price as well. The mentioned procedure may enable us to have a clear understanding about fluctuation changes and reduce any cognitive limitations related to this variable and submission complete information for bank experts. According to the findings of this research, it was revealed that there is a significant relation between risk credit and exchange risk with the stock price return of banks based upon conditional variants of heteroskedasticity models. Then it is possible to find out any effects of credit risk and exchange risk on the stock price returns of banks completely separate from their predictability difference.

 

Key words: Credit risk, return fluctuations, risk management, GARCH, ARCH, ARMA, GARCH-M, EGARCH, ARMA-GARCH.

Copyright © 2024 Author(s) retain the copyright of this article.

This article is published under the terms of the Creative Commons Attribution License 4.0

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