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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 | ||
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