Systemic Risk and the Convergence of Accounting Practices: A Study of the Relationship in Member Countries of ANZCERTA, BRICS and G7

Abstract

This study analyzed the impact of IFRS adoption on Systemic Risk in 11 countries that are members of ANZCERTA and BRICS, in the period 2000-2015, based on the assumptions that the adoption of IFRS can affect the quality of accounting information and that accounting information is related to systemic risk. In this sense, to analyze this relationship, the following countries were defined as sample: Canada; France; Germany; UK; Italy; Brazil; Russia; China; South Africa; New Zealand and Australia. Thus, to estimate the dynamic betas of the markets, representing systemic risk, the main market indices of the 11 countries established as a sample were collected. Data about the indices was collected from Yahoo Finance. The calculations of the returns were based on the MSCI world index and the index of each country, in order to arrive at the Beta estimation. For this, the GARCH model was used from January 2000 to September 2015. In the study of the estimated Beta in the Pre and Post-IFRS, quantile regression was used. The results of this study point to evidence that IFRS adoption affects risk, as, although risk was not affected in the same direction for all countries, there was a statistically significant difference for most. It was also observed that countries behave differently in relation to the Post-IFRS – which can be justified by cultural and economic aspects. The main contributions of this research are the inference that accounting systems are moving towards providing more transparent information with greater informational capacity of accounting variables and that beta (market risk) has the possibility of integrating the list of proxies of study of the quality of accounting information, tending to reduce the risk with the increase in the quality of accounting information.