پیوندهای مفید
اخبار و اعلانات
آمار
| تعداد نشریات | 25 |
| تعداد شماره‌ها | 967 |
| تعداد مقالات | 8,010 |
| تعداد مشاهده مقاله | 13,573,806 |
| تعداد دریافت فایل اصل مقاله | 9,616,655 |
توضیح واکنش غیر خطی شاخص قیمتی (وزنی-ارزشی) بورس اوراق بهادار تهران به شوک‌های نفتی با مدل سوئیچینگ مارکوف | ||
| راهبرد مدیریت مالی | ||
| مقاله 1، دوره 11، شماره 4 - شماره پیاپی 43، دی 1402، صفحه 1-24 اصل مقاله (567.4 K) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22051/jfm.2023.42752.2782 | ||
| نویسندگان | ||
| علیرضا سارنج* 1؛ میلاد رفیعی2 | ||
| 1استادیار، گروه مدیریت مالی، دانشکده مدیریت و حسابداری، دانشکدگان فارابی دانشگاه تهران، قم، ایران | ||
| 2دانشجوی دکتری، گروه مدیریت مالی، دانشکده مدیریت، دانشگاه تهران، تهران، ایران | ||
| چکیده | ||
| شوک‌های قیمت نفت از مهم‌ترین عوامل اثرگذار بر قیمت سهام برشمرده می‌شود اما پژوهشهای مختلف درباره چگونگی واکنش قیمت سهام به شوک‌های قیمت نفت نتایج یکدستی ارائه نکرده‌اند. پژوهش حاضر در نظر دارد تعارض‌های کنونی درباره تاثیر شوک‌های قیمت نفت بر قیمت سهام را برطرف کرده و به توضیح واکنش شاخص قیمتی (وزنی-ارزشی) بورس اوراق بهادار تهران به شوک‌های قیمت نفت با مدل سوئیچینگ مارکوف بپردازد. برای آزمون فرضیه‌ها داده‌های ماهانه قیمت نفت اوپک و شاخص قیمتی بورس اوراق بهادار تهران از 1/1/1389 لغایت1/1/1400 مورد مطالعه قرار گرفته است. همچنین، از یک مدل خودرگرسیون برداری ساختاری برای تفکیک شوک‌های نفتی استفاده شده است. نتایج پژوهش نشان می‌دهد واکنش شاخص قیمتی سهام به شوک قیمت نفت در یک مدل سوئیچینگ دو رژیمی قابل تعریف است و این اثر غیرخطی را می توان با متغیر نشانه تغییر قیمت نفت توضیح داد. ماندگاری واکنش شاخص قیمتی بورس در رژیم واکنش پایین بیشتر از رژیم واکنش بالا است و با اینکه در هر دو رژیم، واکنش شاخص قیمتی به افزایش قیمت نفت مثبت است، در رژیم بالا شدت و طول مدت واکنش بیشتر است. به علاوه، واکنش شاخص قیمتی سهام به شوک‌های عرضه نفت، شوک تقاضای کل جهانی و شوک تقاضای ویژه نفت نامتقارن است. | ||
| کلیدواژه‌ها | ||
| شوک‌های نفتی؛ اثر نامتقارن؛ شاخص قیمتی؛ سوئیچینگ مارکوف؛ خودرگسیون برداری ساختاری | ||
| عنوان مقاله [English] | ||
| Explaining the Nonlinear Response of Tehran Stock Exchange Price Index to Oil Price Shocks Using Markov Switching Regime | ||
| نویسندگان [English] | ||
| Alireza Saranj1؛ Milad Rafiee2 | ||
| 1Assistant Prof., Department of Finance and Accounting, Faculty of Management and Accounting, Farabi College, University of Tehran, Qom, Iran | ||
| 2Ph.D. Candidate in Finance, Department of Finance, Management Faculty, University of Tehran, Tehran, Iran | ||
| چکیده [English] | ||
| Oil price is often regarded as an important factor in analyzing variation in stock prices, but empirical evidence is mixed. This research is set to reconcile this conflict on the effect of oil prices on Tehran Exchange stock price. The nonlinear response of Tehran Exchange price index to oil shocks has been explained by a Markov Switching regime model. This research also uses a Structural Vector Autoregressive model to separate oil price shocks into three types in a time period from from 10/10/2010 to 10/10/2021 to test the hypotheses. The resualts show that oil price shocks have asymmetric effect on Tehran Stock prices. This asymmetry can be explained by sign of oil price shift and finally, response of stock prices to oil supply shock, global demand shock and oil-specific demand shock is asymmetric. During an increase in oil prices, it will be more likely to have large positive effects on stock prices than a decrease in price. Duration of the price index response in low regime is significantly longer than high regime. In both regimes, response of the stock price to the increase in oil prices is positive, but in the high regime, the magnitude and duration of response are greater. | ||
| کلیدواژه‌ها [English] | ||
| Oil Price Shocks, Asymmetric Effect, Stock Price Index, Markov Switching, Structural VAR | ||
|
سایر فایل های مرتبط با مقاله
|
||
| مراجع | ||
|
Abbasinejad H. & Ebrahimi S. (2013). The effect of oil price fluctuations on the performance of Tehran Stock Exchange. Researches and economic policies. 68(4), 83-108. (In Persian).
Abbasinejad H, Mohamadi Sh, & Ebrahimi S. (2017). Dynamics of the relationship between macroeconomic variables and the stock market. Asset Management and Financing. 5(1), 61-82. (In Persian).
Aleheydar Sh, Aghababaei ME, & Eghbalnia M. (2020). Investigating the effect of oil price dynamics on the momentum of industries in Tehran Stock Exchange. Financial Management Perspective, 30(2), 121-142. (In Persian).
Aloui C, Jammazi R. (2009). The effects of crude oil shocks on stock market shifts behaviour: a regime switching approach. Energy Econ, 31, 789-799.
Baharvand N, Abounouri E, & Farzam V. (2020). Regime dynamics and spillover effects between oil, currency and stock markets in Iran: Markov switching approach. Economic Magazine, 7, 113-137. (In Persian).
Basher SA, Sadorsky P. (2006). Oil price risk and emerging stock markets. Global Finance J, 17, 224-251
Brooks, C. (2008). Introductory Econometrics for Finance, Cambridge University Press.
Canarella, C., & Pollard, S.K. (2007). A switching ARCH (SWARCH) model of stock market volatility: some evidence from Latin America, International Review
of Economics, 54 (4): 445-462.
Chen NF, Roll R, & Ross SA. (1986). Economic forces and the stock market. Journal of Business, 59(3), 383-403
Escobari, D., & Sharma, S. (2020). Explaining the nonlinear response of stock markets to oil price shocks. Energy, 11878
Fahrmeir, L., Kneib, T., Lang, S., & Marx, B. D. (2022). Regression models. In Regression: Models, methods and applications (pp. 23-84). Berlin, Heidelberg: Springer Berlin Heidelberg.
Fallahpour S, Tehrani R, & Gorgani M. (2022). Investigating the effect of oil price shocks and western sanctions on banks' liquidity creation. Financial research. 24(2), 157-183. (In Persian).
Filardo AJ. (1994). Business-cycle phases and their transitional dynamics. J Bus Econ Stat, 12(3), 299-308.
Ge Z. (2023). The asymmetric impact of oil price shocks on China stock market: Evidence from quantile-on-quantile regression. The Quarterly Review of Economics and Finance. 89, 120-125
Ghaderi S, & Shahrazi M. (2020). The effect of global commodity price index on stock returns of Tehran Stock Exchange: Bayesian Markov rotation approach. Financial Research. 22(1), 90-109. (In Persian).
Hamilton, JD. (1983). Oil and macroeconomy since World War II. J Polit. Econ, 92, 228-248.
Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica: Journal of the econometric society, 357-384.
Huang RD, Masulis RW, & Stoll HR. (1996). Energy shocks and financial markets. J Futures Mark, 16(1), 1-27.
Hwang I, & Kim J. (2021). Oil price shocks and the US stock market: A nonlinear approach. Journal of Empirical Finance. 64, 23-36.
Jones CM, Kaul G. (1996). Oil and the stock markets. J Finance. 51(2), 463-91.
Kilian L, & Park C. (2009). The impact of oil price shocks on the US stock market. Int Econ Rev, 50(4), 1267-87.
Kilian L. (2009). Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market. Am Econ Rev, 19, 1053-69
Liu X, Wang Y, Du W, & Ma Y. (2022). Economic policy uncertainty, oil price volatility and stock market returns: Evidence from a nonlinear model. North American Journal of Economics and Finance. 62, 101-114.
Miller JI, & Ratti RA. (2009). Crude oil and stock markets: stability, instability, and bubbles. Energy Econ. 31, 559–568.
Mishra S, Sharif A, Khuntia S, Meo SA, & Khan SAR. (2019). Do oil prices impede Islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile approach. Resour Pol, 62, 292-304.
Najafiestamal S, Hosseini Sh, & Memarnejad A, Ghafari F. (2021). Investigating the effect of financial crisis transmission mechanism and Markov switching causality on selected indices of Iran Stock Exchange. Financial Economics. 15(3), 59-87. (In Persian).
Ross Stephen A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13 ,341–360.
Park J, & Ratti RA. (2008). Oil price shocks and stock markets in the US and 13 European countries. Energy Econ, 30(5), 2587-608.
Raei R, Mohamadi SH, & Saranj A. (2014). Dynamics of Tehran Stock Exchange using Garch-exponential model in average Markov switching. Financial Research. 16(1), 77-98. (In Persian).
Reboredo JC. (2010). Nonlinear effects of oil shocks on stock returns: a Markov regime-switching approach. Appl Econ, 42, 3735-44.
Sadeghi Shahedani M, & Mohseni H. (2013). Impact of oil prices on stock returns: Evidence from Middle East oil exporting countries. Journal of Energy Planning and Policy Research. 1(3), 1-16. (In Persian).
Sadorsky P. (1999). Oil price shocks and stock market activity. Energy Econ, 21(5), 449-69.
Shahbazi Q, Rezaei E, & Salehi Y. (2013). Impact of oil price shocks on stock returns in Tehran Stock Exchange: SVAR approach. Financial Knowledge of Securities Analysis. 18(2), 125-136. (In Persian).
Sharma S. (2017). Oil price shocks and American depositary receipt stock returns. Res Int Bus Finance, 42, 1040-56
Shirinbakhsh SH, Bazazan F, & Zareei M. (2015). The effect of oil price shocks on the stock market price index SVAR approach. Asset Management and Financing. 3(2), 15-32. (In Persian).
Tayyebnia A, & Ghasemi F. (2006). The role of oil shocks in Iran's economic business cycles. Economic Research Paper. 23(4), 49-80. (In Persian). | ||
|
آمار تعداد مشاهده مقاله: 8,698 تعداد دریافت فایل اصل مقاله: 465 |
||
