Simultaneity and Dynamics of Financial Behaviors of Companies Listed on the Tehran Stock Exchange Using Directed Acyclic Graph (DAG) and P-SVAR Models with Emphasis on Historical Shock Decomposition

Hamta  Bashirigoodarzi; Alireza Ghiyasvand; Farid   Sefaty; Mahmud  Hematfar

Authors

Hamta Bashirigoodarzi Ph.D. student, Department of Accounting, Bo.C., Islamic Azad University, Borujerd, Iran Author https://orcid.org/0009-0000-4560-3380
Alireza Ghiyasvand Assistant Professor, Department of Accounting, Bo.C., Islamic Azad University, Borujerd, Iran https://orcid.org/0000-0003-3028-9880
Farid Sefaty Assistant Professor, Department of Accounting, Bo.C., Islamic Azad University, Borujerd, Iran Author https://orcid.org/0009-0009-7366-1436
Mahmud Hematfar Associate Professor, Department of Accounting, Bo.C., Islamic Azad University, Borujerd, Iran Author https://orcid.org/0000-0002-1014-4935

Keywords:

P-SVAR Models, Directed Acyclic Graphs (DAG), Profitability Ratios, Debt Ratios, Market Ratios, Liquidity Ratios, Activity Ratios

Abstract

This article examines the dynamic interactions and simultaneity of corporate financial behaviors using a nine-variable Panel Structural Vector Autoregression (P-SVAR) framework. The main objective of the study is to investigate the simultaneity and dynamic relationships of financial behaviors among firms listed on the Tehran Stock Exchange through the application of Directed Acyclic Graph (DAG) modeling and the P-SVAR approach, with particular emphasis on historical shock decomposition. A total of 219 selected firms were analyzed over the period 2001–2024. To identify the causal behavior of the model variables and to impose the structural restrictions required as a prerequisite for estimating the P-SVAR model, the Directed Acyclic Graph (DAG) methodology was employed. The causal relationships were extracted using Tetrad4 software. The results of historical decomposition within the P-SVAR framework indicate that, in Iranian firms, shocks related to liquidity ratios, financial leverage, and profitability indicators (ROA and ROE) account for the largest share in explaining fluctuations in financial variables. The debt-oriented financial structure, heavy reliance on short-term financing, and persistent inflationary conditions have led operational performance, capital structure, and market valuation to become significantly interdependent, with variable responses being transmitted primarily through liquidity channels and financial structure mechanisms.

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