Social Media and Iran Khodro Stock Volatility

Abstract

This study examined the asymmetric effects of social-media-related indicators, including online search intensity for Iran Khodro, corporate information disclosure, and vehicle lottery announcements, on the company’s stock returns and volatility in the short and long run. This quantitative study used daily time-series data covering the period from February 19, 2020, to April 20, 2023. Stock return and disclosure data were obtained from the CODAL disclosure system, vehicle lottery information was collected from Iran Khodro’s official website, and the search intensity of the term “Iran Khodro” was extracted from Google Trends. A nonlinear autoregressive distributed lag model was employed to distinguish the effects of positive and negative changes in the explanatory variables and estimate asymmetric short-run and long-run relationships. The bounds test was used to examine long-run cointegration, symmetry tests were conducted to compare positive and negative coefficients, and the cumulative sum of squared recursive residuals test was applied to assess parameter stability. Data were analyzed using Excel and EViews 12. The first lag of stock returns had a positive and statistically significant effect on current returns. In the short run, positive search shocks and positive and negative return-rate shocks increased stock returns, whereas negative search shocks and both positive and negative disclosure shocks reduced returns. Positive lottery shocks decreased stock returns, while the first lag of negative lottery shocks increased them. The bounds-test statistic was 10.12753, confirming a long-run relationship among the variables. In the long run, positive search shocks, positive and negative return shocks, and negative lottery shocks positively affected stock returns. Conversely, negative search shocks, positive lottery shocks, and both positive and negative disclosure shocks had negative effects. Symmetry tests further confirmed significant short-run and long-run asymmetries between positive and negative shocks. Iran Khodro’s stock returns respond asymmetrically to social media attention, corporate disclosures, and lottery-related information. The direction of an information shock determines both the magnitude and direction of the market response. Continuous monitoring of online search behavior and the timely, accurate, and transparent dissemination of corporate information may therefore improve investor decision-making and reduce market uncertainty.