سرایت حباب: بررسی موردی بازارهای ارز و بورس اوراق بهادار تهران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 پژوهشگر پسا دکتری، دانشکده اقتصاد، دانشگاه تهران

2 استاد اقتصاد، دانشکده اقتصاد، دانشگاه تهران

چکیده

هدف اصلی پژوهش، بررسی سرایت حباب در بازارهای ارز و اوراق بهادار تهران در دوره زمانی 1396:12-1387:01 است. در این راستا ابتدا وقوع حباب در این دو بازار بررسی و حباب‌های رخ داده تاریخ‌گذاری شد؛ که برای انجام آن از روش‌های جدید کشف و تاریخ‌گذاریGSADF, SADF, RADFاستفاده شده است. نتایج این بخش نشان داد که هر دو بازار هدف حبابی بودند. بازار اوراق بهادار در بازه‌های 05: 1389 تا 07: 1389، 12: 1389 تا 02: 1390، 09: 1391 تا 11: 1391، 02: 1392 تا 12: 1392 و 09: 1393 تا 01: 1394 حبابی بوده است که حباب‌های چهارم و پنجم چندگانه بوده‌اند. در مورد بازار ارز نیز در بازه‌های زمانی 03: 1390، 08: 1390 تا 02: 1391، 04: 1391 تا 01: 1392 و 11: 1396 تا 12: 1396 حباب رخ داده است که تنها حباب رخ داده در دوره سوم از نوع چندگانه بوده است. علاوه بر این، نتایج حاصله سرایت حباب دوم بازار اوراق بهادار تهران به بازار ارز و سرایت حباب سوم بازار ارز به بازار اوراق بهادار را در دوره مورد بررسی تایید کرده است. به علاوه بضاعت انتقال حباب از بازار ارز به بورس به مراتب قوی‌تر از انتقال این حباب از بازار سهام به ارز بوده است.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Bubble contagion: A case study of the exchange and stock markets in Tehran

نویسندگان [English]

  • Madjid Hatefi Madjumerd 1
  • Mohsen Mehrara 2
1 Postdoctoral Researcher, Faculty of Economics, University of Tehran
2 Professor, Faculty of Economics, University of Tehran
چکیده [English]

The main objective of the study is to investigate the bubble contagion in two financial markets including the exchange and stock markets of Tehran during the period 2008-2018. First, the bubble occurrence in these two markets was dated by the use of the new methods of GSADF, SADF, and RADF. The results of this section showed that both markets were bubbling. The security markets had five periods of bubbles from 2010 to 2015, of which the fourth and the fifth bubbles were multiple. In the case of the foreign exchange market, the bubble occurred during the periods from 2011 to 2013 and from January to February 2018. Of those bubbles, only the third was multiple. In addition, the results confirmed the contagion of the second bubble in Tehran Stock Market to the foreign exchange market and the contagion of the third bubble of the foreign exchange market to Tehran Stock Market during the period under review. It was also found that the bubble contagion from the foreign exchange market to the stock market was more powerful than that from the stock market to the foreign exchange market.

کلیدواژه‌ها [English]

  • Bubble contagion
  • Bubble dating
  • Foreign exchange market
  • Tehran stock exchange market

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سیاست گذاری اقتصادی
دوره 11، شماره 21
شهریور 1398
صفحه 241-270

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