Examining the Role of Research and Development intensity in Stock return and Schumpeterian Self-Destructive Competition of Tehran Stock Exchange: Panel Smooth Transaction Regression Approach
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Examining the Role of Research and Development intensity in Stock return and Schumpeterian Self-Destructive Competition of Tehran Stock Exchange: Panel Smooth Transaction Regression Approach

Document Type : Original Article

Authors
samaneh noraniazad 1
erfaneh rasekhjahromi 2
1 Assistant professor, Payame noor University, Tehran, Iran
2 Instructor, Department of Economics, Payame Noor University, Tehran, Iran.
10.22034/jse.2020.11402.1567
Abstract
the main purpose of this article was testing the relation between competition degree, research and development expenditure intensity and stock return in Tehran security market. This article sought to investigate two distinct relationships: the first one was relation between competition degree and research and development intensity and the second was relationship among research and development and return stock. To meet this ends the data of 153 institution in Tehran security market over the period of 1997-2018 and a panel smooth transition approach were used. The results indicated that, clearly there were the nonlinear relationship among variables in research and development expenditure intensity and stock returns equations. Also, in the research and development intensity equation when competition degree is transition variable, by increasing competition degree until threshold value 0.325 the research and development intensity increased but after this threshold value, its effect decreased. Moreover, in the stock returns equation that the research and development has chosen as transition variable, research and development intensity increased till the threshold value of 0.123 and after this threshold this impact has been decreased. Overall, the results of research and development expenditure intensity and stock returns equations showed that in the companies of Tehran Stock Exchange, the U-inverse relationship between the variables is confirmed; In such a way that before the threshold level, the effect of the independent variable on the dependent has been increasing and then decreasing.
Keywords
Research and Development Expenditure intensity
Competition Degree
Stock Returns
Security Market
Panel Smooth Transition Regression Model (PSTR)
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Quarterly Journal of Securities Exchange
Volume 15, Issue 57
Spring 2022
Pages 167-196