Providing a model for measuring the impact of economic policy uncertainty on information asymmetry

Advances in Mathematical Finance and Applications

مقاله 8، دوره 9، شماره 1، اسفند 2023، صفحه 137-157   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2023.1954481.1718

نویسندگان

Mehdi Avazzadeh Taziani¹؛ Mohammad Hossein Ranjbar^{* 2}؛ Hossein Badiei³؛ Bizhan Abedini⁴

¹Department of Accounting, Qeshm Branch, Islamic Azad University, Qeshm, Iran

²Department of Accounting and Financial Management, Faculty of Humanities, Islamic Azad University, Bandar Abbas Branch, Hormozgan, Iran

³Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran

⁴Faculty Member of University of Hormozgan , Iran.

چکیده

The role of the capital market is fundamental and decisive in the economy of all countries [6]. Studies show that in the capital market, prices are determined based on macroeco-nomic variables[2]. Accordingly, In this study is to provide a model for measuring the impact of economic policy uncertainty (EPU) on information asymmetryn.
The research method is applied and has been made to present a model for measuring the effect of EPU on information asymmetry in the EVIEWS12 and MATLAB2021 software environment. The research time period is determined from 2011 to 2020 and 101 companies are selected based on the applied restrictions to estimate the model. In this study, 40 variables affecting EPU are entered into the According to the results of BMA, the most important variables affecting the EPU is provided[2]. Based on the principal components approach, the EPU index is calculated using the most important variables affecting this variable. Then, with the GARCH model, the uncertainty part of the EPU index is extracted, and finally, using the powerful nonlinear TVPFAVAR model, the shock caused by the EPU variable on the information asymmetry indices in the research period is analyzed. The results show that the shock caused by the fluctuation of the variable of EPU has increased the index of information asymmetry in recent years. Based on the results, EPU shock on the index of information asymmetry has had a stronger effect on in the short and long term information asymmetry than the medium term.

کلیدواژه‌ها

economic policy uncertainty (EPU)؛ information asymmetry؛ TVP-FAVAR, BMA