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Accounting variables ability to explain the price volatility in the stock market

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Special Issue INTERNATIONAL JOURNAL OF HUMANITIES AND
May 2016 CULTURAL STUDIES ISSN 2356-5926

Accounting variables ability to explain the price volatility in the

stock market

Seyed Reza Seyed Nezhad Fahim

Department of Accounting, Lahijan Branch, Islamic Azad University, Lahijan, Iran
rezafahim@liau.ac.ir , 989113434132

Sina Kheradyar
Department of Accounting, Rasht Branch, Islamic Azad University, Rasht, Iran
kheradyar@iaurasht.ac.ir

Rahman Atabakhsh
Graduated Master of Accounting, Islamic Azad University Branch of Rasht, Iran
rahman.r0091@gmail.com, 989113453932

Abstract

Stock price index is the most common starting point for investors when buying shares, but
either shows the general trend of the stock market turnover. Stock price fluctuation is normal
in current economic conditions, because stock price reflects all the factors including internal
and external factors; so whenever arise certain changes in affecting factors, its reflection can
be seen on the stock price. However, one of the major problems in price fluctuation is using
indicators that could explain stock price changes appropriately and could evaluate
performance of the company with the accepted criteria through obtained descriptions. This
issue is the subject of this study. The aim of the study is investigating the accounting variables
ability to explain the price volatility in the stock market. For this purpose, the ability of each
metrics including dividend payout ratio, dividend yield, market value, net profit volatility,
long-term debt ratio and the development of company assets were examined to explain the
price volatility in the stock market. Six hypotheses were developed by studying the research
literature and the relationship between independent and dependent variables were examined
based on the linear regression model. The sample consisted of 110 companies listed in Tehran
Stock Exchange for a five year (2009-2013) period. The results of the hypothesis test showed
that dividend yield, market value, long-term debt ratio and the development of company assets
variables have no significant relationship with stock market price volatility, while dividend
payout ratio and net profit volatility have a negative and significant relationship with stock
market price volatility.

Keywords: Accounting variables, price volatility, Profitability ratios, leverage ratios,

capital ratios.

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1. Introduction

The management capability to understand and accurate responsibility to market conditions

and its changes is a score for business enterprises. The managers must be familiar with
different aspects and dimensions of the company's activity in order to make decisions and
direct their business. However, to get to this level of capability, extensive use of financial
information and reports is needed. So, performance evaluation criteria as an important tool for
assessing the situation and performance of companies, provides the summary of this
information for managers, shareholders and other stakeholders and help them in decision
making and using of information (Abdel Razaq et al., 2014). Reviewing the performance of
the stock market, usually, the stock price index known as the most important factor in
country's stock exchange; So that stock price decline generally means economic downturn and
its increase means economic boom (Alavi, 2011). The most common starting point for
investors when buying shares is assessing the price changes and volatility (Mazinani, 2003).
Stock price fluctuation is routine in all world stock exchanges (Asgarzadeh, 2011). However,
after determination of context and aspects of evaluation, another important issue to examine
volatility in the stock price is using indicators that could explain the stock price behavior
changes properly and could evaluate performance of the company with accepted criteria
through obtained descriptions (Abdel Razaq et al., 2014). According to the descriptions, the
main issue of this study is assessing the ability of accounting variables including dividend
payout ratio, dividend yield, market value, net profit volatility, long-term debt ratio and the
development of company assets to describe price volatility in the stock market.

2. Theoretical basis

In stock exchanges, usually there is a lot of sensitivity to stock prices and its related
developments are examined (Yahyazadehfar and Khorramdin, 2008). Experience shows that
If the stock price set appropriately, it began rising in the market and if the stock price of such
a company slightly decreased, means that the initial price was determined at a high level and
if the stock prices rise too fast, investors and those who bought the shares gain many
advantages and the share issue company will be dissatisfied because of lack of determining
appropriate stock price. Investment bank syndicate determines the price per share. After price
determination, syndicate members sign a contract in relation to the stock sale (Babaei
Shalmani, 2012).

Performance evaluation of companies is constituted a major part of discussions about

management, accounting and economics. Performance evaluation refers to the activities and
information that carried out in order to increase the efficient use of facilities and resources to
achieve the objectives for economic policies along with efficiency and effectiveness, so that
the effectiveness of activities is usually the Performance evaluation in organizational
dimension (Alavi, 2011). We could classify the performance measurement approaches based
on the type of data used to calculate these criteria as follows (Rostami, 2013): Accounting
approach, financial management approach, economic approach and integrated approach.

Integrated approach is one of the best approaches for performance measurement; because in
this approach an integration of accounting data and market value is used to calculate the
financial performance. Tobin’s q is the most important method of integrated approach that
uses accounting data and market value to calculate the financial performance of the company

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in order to achieve relevant assessments. Evaluation criteria in this approach are price-
earnings ratio, price-to-book ratio and Tobin’s q and etc. (Malihi, 2013). In this study, six
accounting benchmark including dividend payout ratio, dividend yield, Tobin’s q ratio, net
profit volatility, long-term debt ratio and the development of company assets were selected to
test the hypothesis.

3. Research background

Septon et al. (2015) indicated that dividend yield ratio has a positive effect on stock price
volatility, but this effect is not significant. They also found that dividend payout ratio has a
positive and significant effect on stock price volatility. Nazir et al. (2014) showed that there is
a negative and significant relationship between dividend payout ratio with stock price
volatility, and a positive and significant relationship between earnings per share, financial
leverage, interest coverage ratio and dividend yield with stock price volatility and a negative
and not significant relationship between general and administrative costs ratio with stock
price volatility. Abdel Razaq et al. (2014) indicated that accounting variables describe only
3.8% of stock price volatility and 96.2% of the remainder belongs to other factors outside the
related variables. Ilaboya and Aggreh (2013) showed a positive and significant relationship
between dividend yield, long-term debt and assets growth with stock price volatility. Profilet
and Bacon (2013) showed that there is a positive and significant relationship between
dividend payout ratio and stock price volatility while there is a negative and significant
relationship between dividend yield, market value, firm size, financial leverage and asset
growth with stock price volatility. Rezaie and Shafiei (2013) showed that in examining the
value relevance of accounting variables, book value per share have more relevant value
compared to the operating cash flow per share. Also, compared to other features, company
return and velocity of assets turnover has the greatest impact on accounting variables in
describing the gradual trend of stock prices. Bayani (2012) indicated that industrial output
value increases the stock price index and exchange rate volatility, global price of gold, global
price of oil and liquidity volume and decreases volatility of stock price index of Tehran Stock
Exchange.

4. Hypothesis

According to the issues raised in this study, to measure accounting variables ability to explain
the price volatility in the stock market, the following hypothesis are examined:
H1: There is a significant relationship between dividend payout ratios with stock price
volatility.
H2: There is a significant relationship between dividend yields with stock price volatility.
H3: There is a significant relationship between market value with stock price volatility.
H4: There is a significant relationship between net profit volatility with stock price volatility.
H5: There is a significant relationship between long-term debt ratios with stock price
volatility.
H6: There is a significant relationship between assets growth with stock price volatility.

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5. Variables and measurement

5.1. Dependent variable

- Stock price volatility

Stock price volatility means increase or decrease in price during a financial period. In this
study the model proposed by Hasini et al (2011) is used to calculate the stock price volatility
as follows (Nkobe et al. (2013) :

Where in:
= volatility of stock market price
MaxMPS = maximum market price share in current year
MinMPS = minimum market price share in current year
5.2. Independent variables
- Dividend payout ratio
Dividend payout ratio (DPR) obtained from the dividend per share (D) divided by earning per
share (EPS) (Abdel Razaq et al., 2014).
- Dividend yield
Dividend yield ratio is the dividend per share, divided by the price per share at the end of the
financial period. In this study, dividend yield (DY) obtained from the dividend per share (D)
divided by market price share (MPS) at the end of the financial period (Abdel Razaq et al.,
2014).
- Tobin's Q ratio
In this study Tobin's Q obtained from the total stock market value and book value of debt
divided by the book value of total assets.
- Net profit volatility
In this study, logarithm of the following equation is used to measure net profit volatility
(Abdel Razaq et al., 2014).

Where in:
NV = net profit volatility
Xi = Net profit of the year
X = The average net profit during the study period
= Length of study period (5 years)
- Long-term debts
Long-term debts obtained from total long-term debts divided by total assets of the financial
year of the study (Abdel Razaq et al., 2014).
- Assets growth
The assets growth means the combination of assets measured at the end of the current and
previous financial year. In this study, assets growth is measured by the difference between

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total assets of current and previous financial year (TAt-TAt_1) divided by total assets of
previous financial year (TAt_1) (Abdel Razaq et al., 2014).

5.3. Control variables

- Firm size: In this study, firm size means the natural logarithm of stock market value.

- Return on assets (ROA): ROA is obtained by Earning before tax divided by Average Total
Assets of research financial year.

6. Research method, community and statistical sample

This research is practical in terms of purpose and descriptive-correlational in terms of nature.

This study used hybrid data method due to the type of data. Panel data are displayed in two
forms including panel data and pooling data. Limer F-test was used to choose between panel
data and pooling data. If the panel data accepted Hausman statistic will be used to investigate
whether y-intercept is fixed effect or acts randomly in the structure of cross-sectional parts
(firms), In this research, the following multi linear regression model is used to test the
hypotheses:

VSPit  0  1DPRit  2 DYit  3TQit  4 NVit  5DRit  6 AGit  7Sizeit  8ROAit  it
VSPit = volatility of stock market price
DPRit = dividend payout ratio
DYit = dividend yield
TQit = Tobin's Q ratio
NVit = net profit volatility
DRit = long-term debt ratio
AGit = assets growth
Sizeit = firm size
ROAit = return on assets
β0 = Constant
β1-8 = Regression coefficients
εit = Standard error

The population of this research includes firms listed in the Tehran Stock Exchange. Sample
firms are selected randomly among companies active in stock exchange ranged from 2009 to
2013; therefore, at first 200 companies were selected randomly and then were screened based
on some conditions. Finally, after examining and considering the conditions, 110 companies
were selected as samples. Gathering data of the financial statements of the main companies,
explanatory notes and the management committee notes were performed through Codal
electronic system (www.codal.ir). Data analysis is conducted by Excel and Eviews software.

7. Findings

7.1. Descriptive statistic

Descriptive statistics results including average, median, standard deviation, maximum,

minimum, skewness and kurtosis for all variables in the study is shown in table (1).

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Table (1): Descriptive statistics of the main variables of the model

Statistics VSP DPR DY TQ NV DR AG Size ROA

variable

Mean 0.012 0.678 0.133 1.464 2918459 0.081 0.194 5.803 0.212

Median 0.011 0.773 0.117 1.328 288386 0.046 0.147 5.778 0.182

Max 0/036 1.921 1.781 3.864 115747224 0.608 2.302 8.050 0.761

Min 0.0005 0.000 0.000 0.132 3794 0.000 -0.886 3.096 0.001

Standard 0.005 0.336 0.136 0.574 12281557 0.096 0.265 0.725 0.152
deviation

Skewness 0.736 -0.457 6.089 1.118 7.515 2.317 2.053 0.429 0.968

kurtosis 3.896 3.061 63.296 4.699 66.171 9.020 12.986 3.863 3.682

Source: research findings

The residue of normality of regression model is one of the assumptions of the regression
which shows the credibility of regression tests. In the following, the normality of the
distribution of dependent variables is investigated using Bera- Jarque test. The normality of
dependent variables leads to the normality of the residues of the model. So it is necessary to
control the normality of the dependent variable before parameters estimation and if this
condition is not established, an appropriate solution should be adopted to normalize them
(including its conversion). Table (2) shows the results of Bera- Jarque test.

Table (2): The normality test of dependent variables

Dependent Bera- Jarque test

variables
Statistics Probability

VSP 68.199 0.000

According to the non-normality of the dependent variables, data is normalized by Johnson

Transmission Method using Minitab software. The results are shown in table (3).

Table (3): Descriptive statistics of dependent variables after normalization

variables Mean Median Max Min Standard Skewness kurtosis Bera-

deviation Jarque
test
- -
0.029380 3.510000 1.000920 -0.040306 3.277295 1.911036
VSP 0.005467 3.510000

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7.2. Stability test

In order to ensure the results and the reliability of the relationships in the regression and the
significance of variables, we implemented stationary test and calculated unit root of the
variables existing in the models. The results of this test implemented by three methods are
shown in table (4). According to the results, the variables don’t have unit root.

Table (4): Unit root test results

Levine, Lin and Chu EEm, boys and Shin Fisher-Phillips

variable
Statistics Probability Statistics Probability Statistics Probability
-22/729 2/222 -5/739 2/222 372/779 2/222
VSP
-762/772 2/222 -37/687 2/222 777/982 2/222
DPR
29/885 2/222 -7/677 2/222 793/293 2/222
DY
-62/679 2/222 -26/382 2/222 872/836 2/222
TQ
-92/725 2/222 -78/298 2/222 782/828 2/222
NV
-22/867 2/222 -5/727 2/222 377/796 2/222
AG
-68/757 2/222 -72/725 2/222 726/922 2/222
Size
-92/977 2/222 -26/557 2/222 926/627 2/222
ROA

7.3. Collinearity test

Collinearity is a situation indicating that an independent variable is a linear function of other

independent variables. If collinearity in a regression equation is high, this means that despite
the high determination coefficient, the model is not valid. The variance inflation factor is a
method to determine the amount of collinearity. The results are shown in table (5).

Table (5): The results of collinearity test

Variable VIF
DPR 7/787
DY 7/396
TQ 2/773
NV 3/625
DR 7/722
AG 7/257
Size 3/658
ROA 2/773

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7.4. Model selection on integrated data

To determine the type of model using on panel data, the various tests are applied. The most
common is Chow test for using fixed effect model against estimated pool data model,
Hausman test for using a fixed effect model against random effect model. The results are
summarized in table (6).

Table (6): The results of Chow test

Hypothesis Test Statistics Significance result

H1 F-sectional 0.00 Hausman test

Chi-square 0.00
sectional

H1a F-sectional 0.58 Pool model

Chi-square 0.23
sectional

H1b F-sectional 0.00 Hausman test

Chi-square 0.00
sectional

H2 F-sectional 0.00 Hausman test

Chi-square 0.00
sectional

H2a F-sectional 0.59 Pool model

Chi-square 0.23
sectional

H2b F-sectional 0.00 Hausman test

Chi-square 0.00
sectional

According to Chow test, a pool data model is used for the first sub-hypotheses and Hausman
test is used to determine the other assumptions (Fixed effect model and random effect model)
model. The random effects model is tested for Hausman test. The results are shown in table
(7).

Table (7): The results of Hausman test

Hypothesis Random effects Significance result

model Statistics

H1 24.01 0.00 Fixed effect model

H1a 123.95 0.01 Fixed effect model

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H2 24.44 0.00 Fixed effect model

H2a 127.39 0.00 Fixed effect model

7.5. Model estimation and hypothesis analysis

In this study, the research model was estimated using hybrid data model. In hybrid data
model, first we used F Limer test in order to choose between using panel data or pool data.
The p-value obtained from F Limer test is 0.000 and less than 0.05. Therefore, panel data
model was used to estimate the model. Since the p-value obtained from Hausman test is 0.000
and less than 0.05, fixed effect method was used to test the hypotheses. P-value for firm size
control variable is 0.878 and more than 0.05 which indicates that the effect of this variable on
market price volatility is not significant. Therefore, this variable is considered as redundant
variable and the original model was re-estimated after removing this variable. Table (8)
represents the results from the estimation of original model using Eviews 7.

Table (8): The results of the best estimation of the main model

VSPit = β0 + β1 DPRit + β2 DYit + β3 TQit + β4 NVit + β5 DRit + β6 AGit + β7 ROAit + εit

Variable Estimated coefficient Standard error T-statistics P-value
y-intercept 7 2/379 2/895 2/227
DPRit -2/377 2/728 -2/882 2/227
DYit 2/327 2/278 7/287 2/779
TQit -2/228 2/267 -2/735 2/663
NVit -2/767 2/267 -2/775 2/277
DRit 2/222 2/277 2/772 2/627
2/227 2/228 7/232 2/322
AGit
ROAit -2/273 2/257 -5/673 2/222
Coefficient of determination = 0.205 Modified coefficient of determination = 0.189
Durbin-Watson statistic = 1.870 F test statistic = 12.688 F test probability = 0.000

Source: research findings

F test probability (0.000) is less than 0.05 and since F statistic shows the overall credibility of
the model, we could thus say the research model was significant with 95% probability and is
highly reliable. For independent variable DPRit, P-value (0.004) is less than 0.05 and
estimated coefficient (-0.311); Thus it can be stated that there is a negative significant
relationship between dividend payout ratio with market price volatility. Accordingly, H1 with
95% reliability based on the significant relationship between dividend payments ratio and
volatility of the stock market is accepted. For independent variable DYit, P-value (0.197) is
more than 0.05 and estimated coefficient (0.321); thus it can be stated that there is a positive

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relationship between dividend yields with market price volatility which is not significant.
Accordingly, H2 with 95% reliability based on the significant relationship between dividend
payments ratio and volatility of the stock market is rejected. For independent variable TQit, P-
value (0.663) is more than 0.05 and estimated coefficient (-0.028); thus it can be stated that
there is a negative relationship between Tobin's Q ratio with market price volatility which is
not significant. Accordingly, H3 with 95% reliability based on the significant relationship
between market value and volatility of the stock market is rejected. For independent variable
NVit, P-value (0.014) is less than 0.05 and estimated coefficient (-0.169); Thus it can be stated
that there is a negative significant relationship between net profit volatility with volatility of
stock market price; which means that increased net profit volatility leads to decrease the
volatility of stock market price. Accordingly, H4 with 95% reliability based on the significant
relationship between net profit volatility and volatility of the stock market is accepted. For
independent variable DRit, P-value (0.624) is more than 0.05 and estimated coefficient
(0.020); thus it can be stated that there is a positive relationship between long-term debts with
market price volatility which is not significant. Accordingly, H5 is rejected. For independent
variable AGit, P-value (0.302) is more than 0.05 and estimated coefficient (0.029); thus it can
be stated that there is a positive relationship between assets growth with market price
volatility which is not significant. Accordingly, H5 is rejected. On the other hand, the results
showed a significant negative relationship between the control variable return on assets and
volatility of the stock market price; which means that increased return on assets leads to
decrease the volatility of stock market price. Also modified coefficient of determination of the
model is equal to 0.189. This number shows that almost 19% of the dependent variable
changes can be explained by the independent and control variables of the model. One of the
assumptions included in the regression is independence of errors from each other which
Durbin-Watson test is used. Results from table (2) represent Durbin-Watson statistic in the
original model with value 1.870 that exists is in 1.5 to 2.5 intervals. This suggests that there is
no correlation among errors.

7.6. Error normalizing test

Error normalizing test and reviews for the best estimation panel is based on Bera- Jarque
statistics. Table (9) shows the results of this test.

Table (9): Error normalizing test for the best estimation panel
Significance
Variable Test Statistics Result
level
Error
Bera- Jarque 7/922 2/722 Normality of errors
component
Source: research findings
As we can see in table (9), the significance level of error component model (0.422) is more
than 0.05 which shows the normality of errors.

7.7. Error homoscedasticity test

We used White Cross-term test to examine error homoscedasticity of the model. According to
the results obtained from table (10), which shows t-statistics (2.06) less than critical level
(2.53), can be said that there is error homoscedasticity.

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Table (10): Error homoscedasticity test for the best estimation panel
Critical level Statistics Result
Original model
2/53 2/26 Error homoscedasticity
Source: research findings

8. Discussion and conclusion

Results indicate that there is a negative significant relationship between dividend payout ratio
with volatility of the stock market price which is in accordance with Nkobe et al. (2013),
Yasser-Habib et al. (2012), Hossini et al. (2011), and Allen & Rachim (1996) and in contrast
with Abdel Razaq et al. (2014), Al Muayyad (2015). There is a positive relationship between
dividend yields with stock price volatility but it is not significant. This finding is in
accordance with Abdel Razaq et al. (2014), and Allen & Rachim (1996) and in contrast with
Nkobe et al. (2013), Yasser-Habib et al. (2012) and Hossini et al. (2011). Also, the results
from estimation test model indicated that Tobin's Q coefficient is -0.035 and according to its
significance level (0.592), it was confirmed that this variable with confidence level over 95%
has a negative relationship with stock price volatility which is not significant. This finding is
consistent with Abdel Razaq et al. (2014). Net profit volatility coefficient according to the
results is -1.73 that has a negative significant relationship with volatility of the stock market
price. This finding is in contrast with Abdel Razaq et al. (2014). Results showed that long-
term debt coefficient is 0.033 and according to its significance level (0.443), it was confirmed
that this variable has a positive relationship with stock price volatility which is not significant.
This finding is consistent with Abdel Razaq et al. (2014) but with the difference that Abdel
Razaq et al. were achieved to a negative but not significant relationship with these two
variables. Also, this finding is in contrast with Hossini et al. (2011). The results obtained from
the original model estimation test indicated that assets growth coefficient is 0.044 and this
variable has a positive relationship with stock price volatility which is not significant. This
finding is consistent with Abdel Razaq et al. (2014). Control variable dividend yield
coefficient is -0.299 and has a negative significant relationship with volatility of the stock
market price. This finding is in contrast with Chen and Zhang (2007).

Based on the results which was in contrast with researcher’s expectation on the basis of a
significant relationship between all independent variables with dependent variables, but it was
not found any significant relationship between dividend yield, market value, long-term debt
ratio and assets growth. Only there was a negative significant relationship between dividend
payout with net profit volatility. Study limitations just related to the period of research that
includes financial years 2009 to 2013. Economic situation of the country is faced with a lot of
volatilities in this time period which undoubtedly has an impact on the majority of stock
companies. Given that all accounting variables considered in this study only able to explain
19% of price volatility of the stock market and also due to the weak relationship between
accounting variables with stock price volatility, it is recommended to investors to pay
attention to other factors except dividend payout ratio, net profit volatility and dividend yield
which have a significant relationship with volatility of the stock market price, while investing
and examining the stock price volatility.

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