Investigating the impact of tax evasion on stock return volatility

Tax evasion can affect the information space of a business unit and, as a result, will increase the volatility of stock returns by increasing information asymmetry. Hence, tax evasion is expected to affect the volatility of stock returns. Therefore, in this research, "tax evasion the volatility of stock returns" has been examined as the hypothesis. For this purpose, 104 samples of listed companies have been selected in the stock market during 1391 to 1395 (520 years of corporate) and have been examined by using a combination regression method. In this research, tax evasion has been measured through recognition the difference between taxable profit and accounting profit. Also, for calculating the stock returns volatility, natural logarithms and standard deviation of daily returns have been used. The findings show that tax evasion has a positive and significant effect on the volatility of stock returns of stock companies. These findings may be useful for investors, regulators and other users to explain how a link between tax evasion and stock returns volatility.