Determinants of systematic risk in the Iranian Financial sector

In this research, we use jump beta and continuous beta as indicators of financial sector companies systematic risk and study their determinants in banking, insurance and investment industry. In result, the value of jump beta is higher than continuous beta. Jump beta of Banking industry and Investment industry is considerably lower than average. We found some negative and positive effects of firm characteristics on jump beta and continuous beta. In insurance companies, the supremacy of jump beta is influenced by firm characteristics. Size has positive effect on aggressiveness of both continuous and jump betas in investment companies. Current ratio has positive effect and debt ratio has negative effect on aggressiveness of insurance companies. Firm characteristic has some positive and negative effects on continuous industry beta deviation, but no effect on jumpy one. Inflation has negative effect on continuous beta but has no considerable effect on jump beta. Inversely, exchange rate has negative effect on jump beta but has no sensible effect on continuous beta. Influence of growth rate is strong positive for all industries of financial sector but weak positive for banking and insurance companies

کلیدواژه ها:

Systematic risk ، jump beta ، CAPM ، high frequency data ، financial sector