Determinants of Systemic Risk for Companies Listed on Nepal Stock Exchange

Determinants of Systemic Risk for Companies Listed on Nepal Stock Exchange

Nabaraj Adhikari

Contact

α Securities Board of Nepal

Determinants of Systemic Risk for Companies Listed on Nepal Stock Exchange

Article Fingerprint

ReserarchID

C: FINANCEWAVPI

Determinants of Systemic Risk for Companies Listed on Nepal Stock Exchange Banner

AI TAKEAWAY

Connecting with the Eternal Ground

Abstract

This paper aims at advancing empirical evidences on financial factors determining systemic risk in the pre-emerging stock market of Nepal as well as to identify whether preemerging stock market and developed and emerging stock markets exposed to the same financial factors that determine systemic risk. A priori hypothesis between relationship of the company-specific financial factors and systemic risk are set based on theoretical framework and previous studies, and tested on the data from 15 listed companies covering a 5-year period, 2009 to 2013. All regular dividend paying and actively traded companies are selected. Based on cross-sectional approach it is revealed that size and profitability are positively associated with the systemic risk, while the dividend payment is negatively related to the risk. The results thus indicate that financial factors have significant predictive power for the systemic risk of a stock investment in Nepal.

References

44 Cites in Article

Reference Format

N Adhikari (2014). Managers' views on dividend policy of Nepalese enterprises.
R Amit,J Livnat (1943). Diversification, capital structure, and systematic risk: An empirical investigation.
J Ang,P Peterson,D Peterson (1985). Investigations into the determinants of risk: A new look.
W Beaver,J Manegold (1975). The association between market-determined and accounting-determined measures of systematic risk: Some Further Evidence.
Pasquale Biase,Elisabetta D‘apolito (2012). The Determinants of Systematic Risk in the Italian Banking System: A Cross-Sectional Time Series Analysis.
J Bildersee (1975). The association between a market-determined measure of risk and alternative measures of risk.
Paul Bolster,V Janjigian (1991). Dividend policy and valuation effects of the tax reform Act of 1996.
Stephen Borde (1998). Risk Diversity Across Restaurants.
R Bowman (1979). The theoretical relationship between systematic risk and financial (accounting) variables.
J Breen,M Lerner (1973). Corporate financial strategies and market measures of risk and return.
N Chen,R Roll,S Ross (1986). Economic forces and the stock market.
Jong De,D Collins,D (1985). Explanations for the instability of equity beta: Riskfree rate changes and leverage effects.
Tarek Eldomiaty,Sahar Charara,Wael Mostafa (2009). Monitoring the Systematic and Unsystematic Risk in Dubai General Index.
Benjamin Graham,David Dodd (1951). Security Analysis: Principles and Techniques.
Zheng Gu,Hyunjoon Kim (1998). Casino Firms' Risk Features and their Beta Determinants.
Zheng Gu,Hyunjoon Kim (2002). Determinants of Restaurant Systematic Risk: A Reexamination.
Damodar Gujarati,Dawn Porter (1221). Basic Econometrics. fifth edition (McGrew-Hill/Irwin, a business unit of The.
Gwangheon Hong,Sudipto Sarkar (2007). Equity Systematic Risk (Beta) and Its Determinants*.
Muhammad Iqball,Junaid,A Shah (2011). Determinants of systemic risk.
Robert Hamada (1972). THE EFFECT OF THE FIRM'S CAPITAL STRUCTURE ON THE SYSTEMATIC RISK OF COMMON STOCKS.
Mahrukh Bukhari,S Iqbal,M Iqbal,M Rafique (2012). STUDY OF SOFT X-RAY EMISSON FROM LASER PRODUCED PLASMA OF DIFFERENT MATERIAL.
Hyunjoon Kim,Zheng Gu,Anna Mattila (2002). Hotel Real Estate Investment Trusts' Risk Features and Beta Determinants.
Kevin Lansing,Stephen Leroy (1985). Risk Aversion, Investor Information, and Stock Market Volatility.
Jin-Soo Lee,Soocheong Jang (2007). The systematic-risk determinants of the US airline industry.
B Lev,S Kunitzky (1974). On the association between smoothing measures and the risk of common stock.
Dennis Logue,Larry Merville (1972). Financial Policy and Market Expectations.
S Ludvigsona,S Ng (2007). The empirical risk-return relation: A factor analysis approach.
Burton Malkiel (2003). The Efficient Market Hypothesis and Its Critics.
Gershon Mandelker,S Rhee (1984). The Impact of the Degrees of Operating and Financial Leverage on Systematic Risk of Common Stock.
Teppo Martikainen (1991). On the significance of the economic determinants of systematic risk: empirical evidence with Finnish data.
F Marston,S Perry (1996). Implied penalties for financial leverage: Theory vs. empirical evidence.
D Mcmillan (2001). Cointegration relationships between stock market indices and economic activity: Evidence from US data, Discussion Paper.
Ross Mear,Michael Firth (1988). Risk Perceptions of Financial Analysts and the Use of Market and Accounting Data.
O Olib,A Michello,J Thorne (2008). Systematic risk and international diversification: An empirical perspective.
Dilip Patro,John Wald,Yangru Wu (2000). The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns.
Radhe Pradhan (2003). A survey of dividend policy and practices of Nepalese enterprises.
M Rafique (2012). Factors affecting dividend payout: evidence from listed non-financial firms of Karachi Stock Exchange.
Zeyad Ramadan (2012). Does leverage always mean risk? Evidence from ASE.
Barr Rosenberg,Walt Mckibben (1973). The Prediction of Systematic and Specific Risk in Common Stocks.
Yae Roh (2002). Size, growth rate and risk sharing as the determinants of propensity to franchise in chain restaurants.
T Rowe,J Kim (2010). Analyzing the relationship between systematic risk and financial variables in the casino industry.
P Schemer,T Mathison (1996). Investment strategies for REIT investors.
Gerard Tellis,Joseph Johnson (2007). The Value of Quality.
Sheridan Titman,Roberto Wessels (1988). The Determinants of Capital Structure Choice.

Download References

Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Nabaraj Adhikari. 2015. \u201cDeterminants of Systemic Risk for Companies Listed on Nepal Stock Exchange\u201d. Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 15 (GJMBR Volume 15 Issue C5): .

More Citation Formats

Select Citation Style:

Download Citation

Download Article

GJMBR Volume 15 Issue C5
Pg. 75- 83

Explore Journals Explore Volume Read This Issue

Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

Not Found

Classification

GJMBR-C Classification: JEL Code: G10, G12, G14, G32

Submission ReceivedFebruary 10, 2015
Peer Review Double Blind
Handling Editor
Accepted March 5, 2015
Published March 15, 2015

Version of record

v1.2

Issue date

July 3, 2015

Language

Experiance in AR

Explore published articles in an immersive Augmented Reality environment. Our platform converts research papers into interactive 3D books, allowing readers to view and interact with content using AR and VR compatible devices.

View in VR

Read in 3D

Your published article is automatically converted into a realistic 3D book. Flip through pages and read research papers in a more engaging and interactive format.

View in 3D

Article Matrices

Total Score: 101

Country: Nepal

Subject: Global Journal of Management and Business Research - C: Finance

Authors: Nabaraj Adhikari (PhD/Dr. count: 0)

View Count (all-time): 170

Total Views (Real + Logic): 4099

Total Downloads (simulated): 2001

Publish Date: 2015 07, Fri

Monthly Totals (Real + Logic):

Month 1: 58 views
Month 2: 26 views
Month 3: 38 views
Month 4: 38 views
Month 5: 34 views
Month 6: 58 views
Month 7: 38 views
Month 8: 42 views
Month 9: 46 views
Month 10: 37 views
Month 11: 30 views
Month 12: 35 views
Month 13: 38 views
Month 14: 20 views
Month 15: 21 views
Month 16: 28 views
Month 17: 42 views
Month 18: 22 views
Month 19: 34 views
Month 20: 33 views
Month 21: 33 views
Month 22: 33 views
Month 23: 33 views
Month 24: 26 views
Month 25: 36 views
Month 26: 25 views
Month 27: 23 views
Month 28: 22 views
Month 29: 24 views
Month 30: 18 views
Month 31: 24 views
Month 32: 42 views
Month 33: 34 views
Month 34: 29 views
Month 35: 25 views
Month 36: 27 views
Month 37: 37 views
Month 38: 37 views
Month 39: 28 views
Month 40: 27 views
Month 41: 20 views
Month 42: 23 views
Month 43: 27 views
Month 44: 31 views
Month 45: 27 views
Month 46: 41 views
Month 47: 32 views
Month 48: 30 views
Month 49: 30 views
Month 50: 38 views
Month 51: 24 views
Month 52: 24 views
Month 53: 38 views
Month 54: 34 views
Month 55: 20 views
Month 56: 27 views
Month 57: 33 views
Month 58: 32 views
Month 59: 44 views
Month 60: 40 views
Month 61: 32 views
Month 62: 37 views
Month 63: 29 views
Month 64: 16 views
Month 65: 13 views
Month 66: 28 views
Month 67: 24 views
Month 68: 46 views
Month 69: 27 views
Month 70: 35 views
Month 71: 41 views
Month 72: 35 views
Month 73: 44 views
Month 74: 24 views
Month 75: 27 views
Month 76: 27 views
Month 77: 24 views
Month 78: 27 views
Month 79: 26 views
Month 80: 29 views
Month 81: 46 views
Month 82: 32 views
Month 83: 19 views
Month 84: 19 views
Month 85: 20 views
Month 86: 17 views
Month 87: 46 views
Month 88: 25 views
Month 89: 20 views
Month 90: 25 views
Month 91: 30 views
Month 92: 28 views
Month 93: 22 views
Month 94: 19 views
Month 95: 22 views
Month 96: 18 views
Month 97: 26 views
Month 98: 31 views
Month 99: 29 views
Month 100: 39 views
Month 101: 42 views
Month 102: 32 views
Month 103: 43 views
Month 104: 26 views
Month 105: 47 views
Month 106: 32 views
Month 107: 39 views
Month 108: 26 views
Month 109: 22 views
Month 110: 35 views
Month 111: 44 views
Month 112: 37 views
Month 113: 13 views
Month 114: 26 views
Month 115: 21 views
Month 116: 28 views
Month 117: 26 views
Month 118: 30 views
Month 119: 35 views
Month 120: 26 views
Month 121: 16 views
Month 122: 33 views
Month 123: 34 views
Month 124: 21 views
Month 125: 27 views
Month 126: 25 views
Month 127: 12 views
Month 128: 39 views
Month 129: 41 views
Month 130: 54 views

Total Views: 4099

Total Downloads: 2001

2026 Trends

Published Article

Our website is actively being updated, and changes may occur frequently. Please clear your browser cache if needed. For feedback or error reporting, please email [email protected]