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الماسی, مجتبی, فلاحتی, علی, فتاحی, شهرام, رستمی, علیرضا. (1397). مدل‌سازی حافظه بلندمدت و تغییرات رژیم بازده بورس اوراق بهادار تهران و اثرات نامتقارن شوک‌های بازار نفت بر روی آن. , 11(40), 127-145.
مجتبی الماسی; علی فلاحتی; شهرام فتاحی; علیرضا رستمی. "مدل‌سازی حافظه بلندمدت و تغییرات رژیم بازده بورس اوراق بهادار تهران و اثرات نامتقارن شوک‌های بازار نفت بر روی آن". , 11, 40, 1397, 127-145.
الماسی, مجتبی, فلاحتی, علی, فتاحی, شهرام, رستمی, علیرضا. (1397). 'مدل‌سازی حافظه بلندمدت و تغییرات رژیم بازده بورس اوراق بهادار تهران و اثرات نامتقارن شوک‌های بازار نفت بر روی آن', , 11(40), pp. 127-145.
الماسی, مجتبی, فلاحتی, علی, فتاحی, شهرام, رستمی, علیرضا. مدل‌سازی حافظه بلندمدت و تغییرات رژیم بازده بورس اوراق بهادار تهران و اثرات نامتقارن شوک‌های بازار نفت بر روی آن. , 1397; 11(40): 127-145.

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

دانش مالی تحلیل اوراق بهادار
مقاله 14، دوره 11، شماره 40، بهمن 1397، صفحه 127-145  XML اصل مقاله (824.94 K)
نوع مقاله: مقاله پژوهشی
نویسندگان
مجتبی الماسی1؛ علی فلاحتی2؛ شهرام فتاحی1؛ علیرضا رستمی email 3
1دانشیار گروه اقتصاد دانشکده علوم اجتماعی، دانشگاه رازی ، کرمانشاه، ایران
2دانشیار دانشیار گروه اقتصاد دانشکده علوم اجتماعی، دانشگاه رازی ، کرمانشاه، ایران
3دانشجوی دکتری دانشگاه رازی ، کرمانشاه، ایران
چکیده
در این پژوهش  با ارائه مدلی کاملاً جدید در سطح ملی و بین­المللی، چارچوبی کاربردی برای تعیین دقیق­ شوک‌های بازارهای خارجی بر بازده قیمت سهام فراهم شده است؛ به طوریکه با استفاده از داده­های ماهیانه سال­های 1377 تا 1396 و مدل GARCH آستانه انباشته­ی کسری راه­گزینی مارکوف (MS-FITGARCH) سعی در بررسی شوک‌های قیمت نفت بر روی بازده بازار سهام و مدل‌سازی جامع ویژگی­های واریانس ناهمسان، اثر اهرمی، خوشه‌ای بودن تلاطم‌ها، حافظه بلندمدت در چارچوب رژیم­های مختلف رکود و رونق بازده بازار سهام شده است. به‌علاوه مدل همبستگی شرطی پویای GARCH آستانه انباشته­ی (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 وضعیت­های رکود و رژیم دو وضعیت­های رونق در بورس اوراق بهادار تهران را تسخیر می­کند. نتایج مدل MS-FITGARCH بیانگر اثر مثبت معنادار شوک‌های قیمت نفت تنها بر روی میانگین بازده بورس در رژیم­های 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 دوره­های رونق اقتصادی است.
کلیدواژه‌ها
شوک های بازار نفت؛ انتقال رژیم؛ حافظه بلندمدت
مراجع

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