مدل‌سازی حافظه بلندمدت و تغییرات رژیم بازده بورس اوراق بهادار تهران و اثرات نامتقارن شوک‌های بازار نفت بر روی آن

الموضوعات : دانش مالی تحلیل اوراق بهادار

مجتبی الماسی ¹ (دانشیار گروه اقتصاد دانشکده علوم اجتماعی، دانشگاه رازی ، کرمانشاه، ایران)
علی فلاحتی ² (دانشیار دانشیار گروه اقتصاد دانشکده علوم اجتماعی، دانشگاه رازی ، کرمانشاه، ایران)
شهرام فتاحی ³ (دانشیار گروه اقتصاد دانشکده علوم اجتماعی، دانشگاه رازی ، کرمانشاه، ایران)
علیرضا رستمی ⁴ (دانشجوی دکتری دانشگاه رازی ، کرمانشاه، ایران)

تاريخ الإرسال : 05 الإثنين , جمادى الأولى, 1439 تاريخ التأكيد : 08 الجمعة , شوال, 1439 تاريخ الإصدار : 15 الإثنين , جمادى الأولى, 1440

الکلمات المفتاحية: شوک های بازار نفت, انتقال رژیم, حافظه بلندمدت,

ملخص المقالة :

در این پژوهش با ارائه مدلی کاملاً جدید در سطح ملی و بین المللی، چارچوبی کاربردی برای تعیین دقیق شوک‌های بازارهای خارجی بر بازده قیمت سهام فراهم شده است؛ به طوریکه با استفاده از داده های ماهیانه سال های 1377 تا 1396 و مدل GARCH آستانه انباشته ی کسری راه گزینی مارکوف (MS-FITGARCH) سعی در بررسی شوک‌های قیمت نفت بر روی بازده بازار سهام و مدل‌سازی جامع ویژگی های واریانس ناهمسان، اثر اهرمی، خوشه‌ای بودن تلاطم‌ها، حافظه بلندمدت در چارچوب رژیم های مختلف رکود و رونق بازده بازار سهام شده است. به‌علاوه مدل همبستگی شرطی پویای GARCH آستانه انباشته ی (DCC-FITGARCH) جهت بررسی ارتباط نوسانات بازار نفت و بورس اوراق بهادار مورد استفاده قرار گرفته است. نتایج تحقیق حاضر بیانگر معنادار بودن ضرایب مدل و لزوم استفاده از مدل معرفی شده در تحقیق در جهت مدل‌سازی بازده نوسانات بورس اوراق بهادار تهران دارد. بر اساس نتایج رژیم یک وضعیت های رکود و رژیم دو وضعیت های رونق در بورس اوراق بهادار تهران را تسخیر می کند. نتایج مدل MS-FITGARCH بیانگر اثر مثبت معنادار شوک‌های قیمت نفت تنها بر روی میانگین بازده بورس در رژیم های رونق دارد، به‌طوری‌که اثرات فوق در رژیم رکود معنادار نیست. همچنین نتایج مدل DCC-FITGARCH در تطابق با مدل اول قرار داشته و بیانگر همبستگی شرطی مثبت قوی‌تر نوسانات بازار سهام و بازار نفت در دوره های رونق اقتصادی است.

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