پیوندهای مفید
اخبار و اعلانات
آمار
| تعداد نشریات | 25 |
| تعداد شماره‌ها | 954 |
| تعداد مقالات | 7,830 |
| تعداد مشاهده مقاله | 13,144,503 |
| تعداد دریافت فایل اصل مقاله | 9,312,952 |
بررسی اثر شوک ارزی بر بازده سهام در بازارهای بورس خاورمیانه | ||
| راهبرد مدیریت مالی | ||
| مقاله 3، دوره 11، شماره 3 - شماره پیاپی 42، مهر 1402، صفحه 51-72 اصل مقاله (490.95 K) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22051/jfm.2023.41364.2722 | ||
| نویسندگان | ||
| سیداحسان حسینی دوست* 1؛ علی اکبر قلی زاده2؛ نائله حمیدانور3 | ||
| 1استادیار گروه اقتصاد، دانشکده علوم اقتصادی و اجتماعی، دانشگاه بوعلی سینا | ||
| 2دانشیار گروه اقتصاد، دانشکده علوم اقتصادی و اجتماعی، دانشگاه بوعلی سینا | ||
| 3کارشناسی ارشد، دانشگاه بوعلی سینا | ||
| چکیده | ||
| بازار سهام نقش مهمی در گردآوری سرمایه و ایجاد پشتوانه مالی برای تولید ایفا میکند. کشورهای توسعه نیافته اغلب دارای بازارهای بورس کوچک نسبت به GNP خود هستند که این مسئله در مورد کشورهای صادرکننده نفت خاورمیانه بیشتر نمایان است. با حرکت این کشور ها به سمت جایگزینی درآمدها از سایر فعالیتهای اقتصادی مانند درآمدهای بازار بورس، تاثیر متغیرهای اقتصادی مختلف بر این بازارها مورد توجه قرار گرفته. در این میان، نحوه پاسخ بازارهای بورس خاورمیانه به شوکهای وارده از بازارهای موازی یا رقیب مانند بازار طلا و بازار ارز، از اهمیت ویژهای برخوردار شده است. فقدان مطالعه در این زمینه در کشورهای درحال توسعه و صادرکننده نفت در خاورمیانه محسوس میباشد، همچنین مطالعات گذشته نتایج متناقضی را در این خصوص حاصل کردهاند. بر این اساس، هدف پژوهش حاضر بررسی نحوه پاسخ بازده بازارهای سهام کشورهای منتخب خاورمیانه به شوکهای بازار ارز و بازار طلا به عنوان دو بازار رقیب و موازی میباشد. رویکرد تخمینی خودرگرسیونی برداری پنلی (PVAR) جهت برآورد مدل و توابع پاسخ به تکانه (IRF) جهت استخراج اثر شوکها در دوره 2010 تا 2021 مبتنیبر دادههای ماهانه بکارگرفته شدهاند. نتایج مطالعه حاضر نشاندهنده پاسخ مثبت بازارهای بورس خاورمیانه به شوک ارزی و شوک قیمت طلا است بگونهای که با افزایش قیمت ارز و قیمت طلا، بازده بازارهای سهام در خاورمیانه افزایش مییابد. همچنین نتایج تابع تجزیه واریانس (VDC) بیانگر آن است که بیشترین توضیح در تغیرات واریانس خطای پیشبینی ناشی از متغیر قیمت طلا بوده و متغیر ارز در درجه دوم اهمیت قرار میگیرد. | ||
| کلیدواژه‌ها | ||
| بازار سهام؛ شوک ارزی؛ شوک قیمت طلا؛ مدل PVAR | ||
| عنوان مقاله [English] | ||
| Investigating the Effect of Currency Shock on Stock Returns in Middle East Stock Markets | ||
| نویسندگان [English] | ||
| Seyed Ehsan Hosseinidoust1؛ Ali Akbar Gholizadeh2؛ Naele Hamidanvar3 | ||
| 1Assistant Professor of Economics, Department of Economics Faculty of Economics and Social Science, Bu-Ali Sina University, Hamedan-Iran | ||
| 2Associate Professor of Economics, Department of Economics Faculty of Economics and Social Science, Bu-Ali Sina University, Hamedan-Iran | ||
| 3M.A of Economics, Bu-Ali Sina University, Hamedan-Iran | ||
| چکیده [English] | ||
| Similar to other main markets in an economy the stock market is also affected by various shocks that can negatively or positively affect the stock market and subsequently the national economy. Despite the fact that the economies of the Middle East are generally dependent on oil revenues, the change in the views of their politicians in recent decades and moving towards the replacement of incomes from other economic activities, such as capital market incomes instead of traditional income channels, has caused to pay special attention to the impact of different economic variables on these markets. In the meantime, the way the stock markets of the Middle East economies respond to various shocks, especially the shocks of competing markets such as the gold market and the foreign exchange market, has gained so importance. Therefore, the aim of the present study is to investigate the response of stock market returns of selected Middle Eastern countries to the shocks of parallel markets such as the foreign exchange market and the gold market as two competing markets. The estimated panel vector autoregression (PVAR) approach was used to estimate the model and impulse response functions (IRF) to extract the effect of shocks in the period from 2010 to 2021 using monthly data. The results show the positive response of the Middle East stock markets to the currency shock and the gold price shock. Increase in the exchange rate and the gold price lead the returns of the stock markets in the Middle East economies to increase at the first month. Moreover, the results of the variance decomposition (VDC) reveal that the most explanation in the variation of the forecast error variance is caused by the gold price variable and the exchange rate stands as the second. | ||
| کلیدواژه‌ها [English] | ||
| Stock Market, Currency Shock, Gold Price Shock, PVAR Model | ||
|
سایر فایل های مرتبط با مقاله
|
||
| مراجع | ||
|
- Arbabian, S., Zamani, Z., & Sadeghi Mohammadi, N. (2017). The Effect of the Development of Financial Markets on Stock Market Risk. Development Strategy, No. 56. (In Persian)
- Bakhshani, S. (2014). Investigating the Effect of Exchange Rate Changes on Stock Prices and P/E Ratio Using SEM-PLS. Financial and Economic Policy Quarterly, No. 12, 149-164. (In Persian)
- Badri, A., Davalo, M., & Darri Nokurani, M. (2015). Investigating the Impact of Macroeconomic Variables on Stock Market Performance. Perspective of Financial Management, No. 13, 9-35. (In Persian)
- Jalaei, S.A.M., Hadye, A., & Rahimipour, A. (2014). Investigating the Impact of Currency Shocks on Stock Returns in Tehran Stock Exchange. Journals of Iranian Economics, No. 23, 135-161. (In Persian)
- Jamali, L., & Khodaparast Shirazi, J. (2018). Investigating the Impact of Global Crude Oil Price and Gold Price Shocks on Iran's Stock Market. Applied Economics, (9)30. (In Persian)
- Heydari, H., Shirkavand, S., & Abolfazli, S.R. (2014). Investigating the Simultaneous Effects of Oil Price and Gold Price Uncertainty on the Tehran Stock Exchange Price Index: Based on the Three-Variable GARCH Model. Journal of Financial Engineering and Securities Management, No. 22. (In Persian)
- Rajabian, M.A., Sabahi, A., Lotfalipour, M.R., & Behnameh, M. (2017). Investigating the Impact of Macroeconomic Stability Shocks on the Stock Market Price Index in Iran Using the Bayesian Vector Autoregression (BVAR) Model Approach. Economic Growth and Development Researches, No. 33. 79-90. (In Persian)
- Zare, H. & Rezaei, Z. (2008). The Effect of Money and Housing Markets on the Behavior of ohe Tehran Stock Exchange Market Index: A Vector Error Correction Model. Isfahan University Research Journal, (21)2. (In Persian)
- Zamaniyan, G., & Abuzari, A. (2011). Money Shocks and Dollarization of Iran's Economy. Applied Economic Studies in Iran, No. 5, 57-76. (In Persian)
- Saeidi, P. & Amiri, A. (2018). Investigating the Relationship between Macroeconomic Variables and the Total Index of the Tehran Stock Exchange. Economic Modeling Quarterly, No.4, 111-130. (In Persian)
- Sadeghi Shahdani, M., & Mohseni, H. (2017), Spillover and Transfer of Gold Coin Price Fluctuations on the Capital Market. Financial Economics, No. 44, 103-121. (In Persian)
- Asgar Nejad Noori, B. (2015). Effective Factors in Stock Returns of Companies Listed on the Tehran Stock Exchange: A Meta-Analysis Approach. Asset Management and Financing, (6)20, 29-50. (In Persian)
- Ebadi, J., Elahi, N., & Houshmand Gohar, S. (2018). The Effect of Mopney Shock on the Systemic Risk Index of Investment Funds. Economic Research and Policy, No. 89. (In Persian)
- Fotros, M.H. & Hoshidari, M. (2017). Relationships between Oil Price, Gold Price and Exchange Rate with Stock Index of Tehran Stock Exchange. Energy Economics, (14)58, 89-116. (In Persian)
- Mashayekh, S., & Jamshidi, T. (1400). Linear and Non-Linear Reaction of Stock Market Sectors to Gold, Currency and Oil Price Movements. Financial and Behavioral Researches in Accounting, No. 1, 36-54. (In Persian)
- Mohammadi, H., Karim, M.H., Hashemi, S., & Sargazi, A. (2018). The Effects of Economic Shocks on the Labor Market in Iran. Strategic and Macro Policy, No. 2. (In Persian)
- Mehrgan, N., & Ahmadi Ghomi, M.A. (2014). Monetary Shocks and Financial Markets: An Application of the PVAR. Economic Research and Policy, No. 75, 103-130. (In Persian)
- Najarzadeh, R., Aghaei Khondabi, M., & Rezaeipour, M. (2008). Investigating the Effect of Fluctuations of Money and Price Shocks on Stock Price Index of Tehran Stock Exchange Using Vector Autoregression Approach. Economic Research, No. 1, 147-175. (In Persian)
- Mangla, A., I., Rehman, R., Xue, W., Naseem, M., Ahmad, M. (2020). Exchange Rate, Gold Price and Stock Market Nexus: A Quantile Regression Approach. Risks Journal, No. 13, 8 – 86.
- Abimbola, A., Olusegun, A. (2017). Appraising the Exchange Rate Volatility, Stock Market Performance and Aggregate Output Nexus in Nigeria. Business and Economics Journal, Volume 8 Issue 1.
- Bakari Hassan, I., M. Azali, Lee Chin & Wan N.W. Azman-Saini. (2017). Macroeconomic Linkages and International Shock Transmissions in East Asia: A Global Vector Autoregressive Approach. Cogent Economics & Finance, (5)1.
- Borochkin, A. (2017). Macroeconomic Determinates of the Currency and Stock Market Shocks: A PVAR Approch. Digest Finance, (22)4, 379–391.
- Carassus, L., Rásonyi, M. (2020). Risk-Neutral Pricing for Arbitrage Pricing Theory. Journal of Optimization Theory and Applications, No. 18, 248–263.
- Fauziah., Moeljadi., & Ratnawati, K. (2015). Dynamic Relationship between Exchange Rate and Stock Prices in Asia. Journal of Economics, Finance and Accounting, 148-169.
- Hosseini, S., Dadras’moghadam, A. (2022). Modeling Monetary and Financial Shocks on the Stock Returns and the Country's Stock Exchange Industries. Journal of Iranian Economic, No. 1, 123-159.
- Huang, Q., Wang, X., & Zhang, Sh. (2021). The Effects of Exchange Rate Fluctuations on the Stock Market and the Affecting Mechanisms: Evidence from BRICS Countries. Journal of Economics and Finance, No. 56.
- Kennedy, K., Nourizad, F. (2016). Exchange Rate Volatility and Its Effect on Stock Market Volatility. Int. J. Hum. Cap. Urban Manage, 1(1), 37-46.
- Liang, Ch., Lin, J., Hsu, H. (2013). Re-examining the Relationships between Stock Prices and Exchange Rates in ASEAN-5 Using Panel Granger Causality Approach. Economic Modlling, No. 32, 543-560.
- Pan, M.S., Fok, R.C.W. & Liu, Y.A. (2007), Dynamic Linkages between Exchange Rates and Stock Prices: Evidence from East Asian Markets. International Review of Economics and Finance, (16)4, 503-520.
- Pesaran, M.H., & Smith, R.P. (2021). Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios. Econometrics and Statistics, No. 22.
- Shakhaowat, H., & Islam, S. (2019). Stock Market Development and Economic Growth in Bangladesh: An Empirical Appraisal. International Journal of Economics and Financial Research, (5)11, 252-258.
- Tule, M., Dogo, M., & Uzonwanne, G. (2017). Volatility of Stock Market Returns and the Naira Exchange Rate. Global Finance Journal, No. 25, 147-169.
| ||
|
آمار تعداد مشاهده مقاله: 516 تعداد دریافت فایل اصل مقاله: 216 |
||
