برآورد بیزی رابطه میان تلاطم بازدهی و حجم معاملات شاخص کل بورس اوراق بهادار تهران
الموضوعات :
ابراهیم حاج خان میرزای صراف
1
(گروه اقتصادمالی، دانشکده اقتصاد، دانشگاه علامه طباطبائی، تهران، ایران)
تیمور محمدی
2
(گروه اقتصاد، دانشکده اقتصاد دانشگاه علامه طباطبائی، تهران، ایران)
محمد رضا صالحی راد
3
(گروه آمار، دانشکده علوم ریاضی و رایانه دانشگاه علامه طباطبائی، تهران، ایران.)
رضا طالبلو
4
(گروه اقتصاد، دانشکده اقتصاد دانشگاه علامه طباطبائی، تهران، ایران)
الکلمات المفتاحية: حجم معاملات, تلاطم بازدهی سهام, رهیافت بیزی,
ملخص المقالة :
پژوهش حاضر با هدف توسعه مدلسازی بیزی تلاطم بازدهی و حجم معاملات بورس اوراق بهادار تهران انجام پذیرفته است. بر این اساس، تلاطم بازدهی شاخص کل بورس اوراق بهادار تهران و حجم معاملات آن، در بازه زمانی1 اردیبهشت 1394 تا 8 اسفند 1397 با تواترهای روزانه، هفتگی و ماهانه مورد بررسی قرار گرفته است. یافته‌های پژوهش نشان می‌دهد فرض همبستگی شرطی ثابت مدل CCC میان متغیرها نقض شده و مشاهده می-گردد رابطه موجود از نوع همبستگی شرطی پویا مدل DCC و منفی است که دلالت بر این واقعیت دارد با افزایش بازده، سرمایه‌گذاران به دلیل خوش بینی تمایلی چندانی به فروش سهام خود ندارند و با عدم فروش آن، موجب کاهش حجم معاملات در بازار می-گردند و برعکس. از سوی دیگر یافته‌های پژوهش نشان می‌دهد در نظر گرفتن توزیع tاستیودنت چوله برای پسماندها با دمی پهن‌تر از توزیع نرمال و اعمال چولگی، از عملکرد بهتری نسبت به سایر توزیع‌ها برخوردار است.
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