Interaction between social capital and stock market risk in Iran

Document Type : Scientific-research

Authors

1 Master of Economics, Semnan University

2 Assistant Professor of Economics, Department of Economics, Faculty of Economics, Management and Administrative Sciences, Semnan University

Abstract

One of the most important characteristics of social capital is its power to influence and be affected by macroeconomic variables. One of these variables is financial market risk, which is affected by social capital. Fluctuations in financial markets can play an effective role in increasing or decreasing social capital, and social capital can also be effective in creating fluctuations or stability in financial markets. The main purpose of this study is to investigate the interaction between social capital and stock market risk in Iran. The method used in this research is vector autoregression (VAR) and the use of impulse reaction functions, based on which the interaction of these two variables on each other is measured based on data from 1989 to 2018. The results of long-term analysis of the model show that increasing social capital significantly reduces fluctuations in the stock market and creates stability in this market, and on the other hand, fluctuations in the stock market have a significant effect on reducing social capital. Therefore, strengthening social capital requires stabilization in financial markets, and stabilization in financial markets also requires strengthening social capital.

Keywords

References

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Journal of Iranian Economic Issues
Volume 8, Issue 1
June 2021
Pages 275-298

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History

  • Receive Date: 23 December 2020
  • Revise Date: 02 March 2021
  • Accept Date: 23 April 2021

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