برآورد انتقال تلاطم بین نرخ ارز و بازدهی بازار سهام به تفکیک صنایع در ایران

نوع مقاله: مقاله پژوهشی

نویسندگان

1 استاد اقتصادسنجی و آمار اجتماعی، دانشگاه سمنان

2 دانشیار اقتصاد، دانشگاه صنعتی شریف

3 دانشجوی دکتری اقتصاد، دانشگاه سمنان

چکیده

تلاطم و پیش‌بینی آن یکی از موضوعات مهم مورد مطالعه در بازار مالی می‌باشد. به طوری که بسیاری از مدل‌های تخصیص پرتفوی و قیمت‌گذاری و مدیریت ریسک بر پایه میزان تلاطم بدست می‌آید. از این رو در این مطالعه انتقال تلاطم بین نرخ ارز و بازدهی بازار سهام به تفکیک صنایع مختلف در ایران برای فروردین 1388 تا خرداد 1398 با استفاده از مدل DECO-GARCH با توجه به شکست ساختاری و بدون شکست ساختاری بررسی می‌شود. نتایج نشان می‌دهد که برآورد مدل با شکست ساختاری در واریانس شرطی درجه پایداری تلاطم را کاهش می‌دهد. همچنین مدل مورد نظر با شکست ساختاری نتایج دقیق‌تری را در مقایسه با مدل بدون شکست ساختاری ارائه می‌دهد. سرانجام با استفاده از شاخص سرریز، ارتباط و همگرایی میان بازارها و همچنین جهت و شدت سرریز میان بازارها ارزیابی شده است. نتایج نشان می‌دهد که شاخص سرریز بازدهی کل 7.36 درصد می‌باشد. همگرایی میان بازارها نسبتا پایین می‌باشد. همچنین صنایع محصولات شیمیایی و خودرویی بازارهای غالب هستند.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Estimation of the volatility transmissions between the exchange rate and the stock market returns in terms of individual industries in Iran

نویسندگان [English]

  • Esmaiel Abounoori 1
  • Gholamreza Keshavarz Hadad 2
  • Iman Mirzaaghanasab 3
1 Professor of Econometrics & Social Statistics, Department of Economics, Semnan University
2 Associate Professor, Department of Economics, Sharif University of Technology
3 PHD Student of Econometrics, Department of Economics, Semnan University
چکیده [English]

In this paper, the volatility transmissions between the exchange rate and the stock market returns are estimated for different industries in Iran from 03/25/2009 to 05/22/2019. For this purpose, DECO-GARCH model is used with and without structural breaks. The results show that the model estimation with structural breaks in a conditional variance reduces the degree of persistence of volatility. The model with structural break yields more accurate results than the model ignoring the structural breaks. Finally, using the overflow index, the relationship and convergence among markets as well as the direction and intensity of overflow among them are identified and evaluated. The results show that the overflow index of total returns is about 7.36%, the convergence of markets is relatively low. Also, the chemical and automotive industry markets prove to be the dominant ones.

کلیدواژه‌ها [English]

  • GARCH models
  • Structural breaks
  • Portfolio management
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