study of financial distress spillover effect among automobile supply chain companies listed in the tehran stock exchange

This article investigates the financial distress spillover in automobile supply chain companies. for doing so, the distance to default of supply chain companies of iran khodro and saipa were calculated in time interval of 2013/11/28 to 2015/12/14 using time series kmv method. then, the financial distress spillover in the supply chain companies of these two major automobile makers was tested in separated models using multivariate garch model. the results of the default probability of iran khodro companies showed that the default probability with pause of khodro on the default probability of supply chain companies was significant and negative in 10% level. the results for saipa supply chain companies revealed that the default probability with a pause of khaspa had an impact on the default probability of kesapa, pask and khazin in significance level of 10%.