Spillover of uncertainties of parallel markets on types of profit management with VAR-MGARCH approach
Purpose: Financial statements are the main decision-making bases of capital market actors, which are affected by internal and external factors. Uncertainty in other markets is one of the most important factors affecting the financial statements of listed companies. As a result, the current research...
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| Format: | Article |
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Ayandegan Institute of Higher Education, Tonekabon,
2024-08-01
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| Series: | تصمیم گیری و تحقیق در عملیات |
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| Online Access: | https://www.journal-dmor.ir/article_187132_78730339cef4bff8d92353e8414a5566.pdf |
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| _version_ | 1832577816410980352 |
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| author | Adel Gardoon Nader Khedri Ali Mahmoodi Mehdi Basert |
| author_facet | Adel Gardoon Nader Khedri Ali Mahmoodi Mehdi Basert |
| author_sort | Adel Gardoon |
| collection | DOAJ |
| description | Purpose: Financial statements are the main decision-making bases of capital market actors, which are affected by internal and external factors. Uncertainty in other markets is one of the most important factors affecting the financial statements of listed companies. As a result, the current research aims to model the spillover of uncertainties of parallel markets on the types of profit management.Methodology: The present research is practical. The research period is a 10-year period with seasonal data between 2011 and 2021. The VAR-MGARCH model has been used to investigate the spillover of uncertainties of parallel markets on the types of profit management.Findings: Based on the results of the VECH, CCC, BEKK, and DCC models used to extract the uncertainty of the studied variables, the VECH models had higher accuracy. The spillover effect between different markets was observed based on the results of multivariate GARCH models. As a result, the uncertainty of one market strengthens the uncertainty between other markets. Based on the results of the vector autoregression model, the uncertainty of variables has a more substantial effect on accrual profit management than actual profit management. The variance analysis results show that oil price uncertainty has the highest contribution in the interpretation of real profit management change and exchange rate uncertainty in the interpretation of accrual profit management change.Originality/Value: Uncertainties of parallel markets reinforce each other and increase the level of profit management in the investigated companies. |
| format | Article |
| id | doaj-art-6a029fcce9db4c1ea0a72a4fe6f2fd36 |
| institution | Kabale University |
| issn | 2538-5097 2676-6159 |
| language | fas |
| publishDate | 2024-08-01 |
| publisher | Ayandegan Institute of Higher Education, Tonekabon, |
| record_format | Article |
| series | تصمیم گیری و تحقیق در عملیات |
| spelling | doaj-art-6a029fcce9db4c1ea0a72a4fe6f2fd362025-01-30T15:03:45ZfasAyandegan Institute of Higher Education, Tonekabon,تصمیم گیری و تحقیق در عملیات2538-50972676-61592024-08-019243545210.22105/dmor.2024.407560.1769187132Spillover of uncertainties of parallel markets on types of profit management with VAR-MGARCH approachAdel Gardoon0Nader Khedri1Ali Mahmoodi2Mehdi Basert3Department of Accounting, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran.Department of Accounting, Abadan Branch, Islamic Azad University, Abadan, Iran.Department of Accounting, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran.Department of Economics, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran.Purpose: Financial statements are the main decision-making bases of capital market actors, which are affected by internal and external factors. Uncertainty in other markets is one of the most important factors affecting the financial statements of listed companies. As a result, the current research aims to model the spillover of uncertainties of parallel markets on the types of profit management.Methodology: The present research is practical. The research period is a 10-year period with seasonal data between 2011 and 2021. The VAR-MGARCH model has been used to investigate the spillover of uncertainties of parallel markets on the types of profit management.Findings: Based on the results of the VECH, CCC, BEKK, and DCC models used to extract the uncertainty of the studied variables, the VECH models had higher accuracy. The spillover effect between different markets was observed based on the results of multivariate GARCH models. As a result, the uncertainty of one market strengthens the uncertainty between other markets. Based on the results of the vector autoregression model, the uncertainty of variables has a more substantial effect on accrual profit management than actual profit management. The variance analysis results show that oil price uncertainty has the highest contribution in the interpretation of real profit management change and exchange rate uncertainty in the interpretation of accrual profit management change.Originality/Value: Uncertainties of parallel markets reinforce each other and increase the level of profit management in the investigated companies.https://www.journal-dmor.ir/article_187132_78730339cef4bff8d92353e8414a5566.pdfuncertaintyspilloverreal profit managementaccrual profit managementparallel markets |
| spellingShingle | Adel Gardoon Nader Khedri Ali Mahmoodi Mehdi Basert Spillover of uncertainties of parallel markets on types of profit management with VAR-MGARCH approach تصمیم گیری و تحقیق در عملیات uncertainty spillover real profit management accrual profit management parallel markets |
| title | Spillover of uncertainties of parallel markets on types of profit management with VAR-MGARCH approach |
| title_full | Spillover of uncertainties of parallel markets on types of profit management with VAR-MGARCH approach |
| title_fullStr | Spillover of uncertainties of parallel markets on types of profit management with VAR-MGARCH approach |
| title_full_unstemmed | Spillover of uncertainties of parallel markets on types of profit management with VAR-MGARCH approach |
| title_short | Spillover of uncertainties of parallel markets on types of profit management with VAR-MGARCH approach |
| title_sort | spillover of uncertainties of parallel markets on types of profit management with var mgarch approach |
| topic | uncertainty spillover real profit management accrual profit management parallel markets |
| url | https://www.journal-dmor.ir/article_187132_78730339cef4bff8d92353e8414a5566.pdf |
| work_keys_str_mv | AT adelgardoon spilloverofuncertaintiesofparallelmarketsontypesofprofitmanagementwithvarmgarchapproach AT naderkhedri spilloverofuncertaintiesofparallelmarketsontypesofprofitmanagementwithvarmgarchapproach AT alimahmoodi spilloverofuncertaintiesofparallelmarketsontypesofprofitmanagementwithvarmgarchapproach AT mehdibasert spilloverofuncertaintiesofparallelmarketsontypesofprofitmanagementwithvarmgarchapproach |