International Journal of Finance & Managerial Accounting

International Journal of Finance & Managerial Accounting

Investigating The Non-Linear Relationships Of Risk-Taking And Monetary Policy Shocks On The Stock Returns Of Iranian Banks Using The Soft Threshold Model

Document Type : Original Article

Authors
mostafa zadehbagher 1
Mohammad javad sheikh 2
Rahman Saedi 3
Ali Akbar Farzin Far 4
1 Ph.D. Candidate, Department of Accounting, Kashan Branch, Islamic Azad University, Kashan, Iran.
2 Associate Prof., Department of Accounting,kharazmi University,tehran , Iran.
3 Assistant Prof., Department of Accounting, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran.
4 Assistant Prof., Department of Accounting, Kashan Branch, Islamic Azad University, Kashan, Iran.
10.22034/ijfma.2024.23717
Abstract
The stock returns predictability can be seen as an irrational conclusion of investors, which ultimately helps to determine solutions. This work aims at investigating the non-linear relationships of risk appetite, investors' willingness and monetary policy shocks on stock returns in selected banks of the Tehran Stock Exchange using the mild threshold limit model. For this purpose, the panel threshold approach model (PSTR) was used in terms of the annual data of stock market banks during the period of 1392 to 1401. Based on the estimation results of the nonlinear part. One unit increase in credit risk (CR), liquidity risk (LR), economic policy uncertainty (EPU) and psychological biases (ETM), respectively, in banks' stock return index, 0.05, 0.14, 0.08 and 19. 0 units decrease. Also, one unit increase in financial willingness of investors (TR), bank size (Size) and growth of banking facilities (LoanG) leads to an increase of 0.02, 0.05 and 0.01 units of the bank stock return index, respectively.
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