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بررسی اثر سرایتی ریسک سیستمی میان صنایع اصلی در بورس اوراق بهادار تهران: رویکرد شبکه رخداد دنباله‌ای محور | ||
| راهبرد مدیریت مالی | ||
| مقاله 6، دوره 12، شماره 1 - شماره پیاپی 44، فروردین 1403، صفحه 113-138 اصل مقاله (1.9 M) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22051/jfm.2024.43587.2819 | ||
| نویسنده | ||
| الهام فرزانگان* | ||
| استادیار اقتصاد، گروه علوم اقتصادی و اجتماعی، دانشگاه بوعلی سینا-مجتمع آموزش عالی نهاوند(ویژه دختران)، همدان، ایران | ||
| چکیده | ||
| ریسک سیستمی ثبات بازار مالی را به خطر می‌اندازد، چرا که شکست هر بخش می‌تواند به کل سیستم مالی آسیب برساند. ازاین‌رو اندازه‌گیری دقیق ریسک سیستمی و تجزیه‌وتحلیل مکانیزم انتقال ریسک‌های مالی میان بخش‌‌های مختلف برای محافظت سیستم مالی دربرابر ریسک‌های سیستمی، از اهمیت خاصی برخوردار است. لذا در پژوهش حاضر، یک شبکه رخداد دنباله‌ای محور ساخته می‌شود تا با استفاده از آن اثر سرایتی ریسک سیستمی و وابستگی متقابل ریسک‌های دنباله‌ای میان صنایع در بورس اوراق بهادار تهران بررسی شود. بدین‌منظور، 29صنعت اصلی در بورس اوراق بهادار تهران، متشکل از 196 شرکت فعال، طی دوره زمانی 1397 الی 1401 که دوره‌های استرس مختلفی را پوشش می‌دهد مورد آزمون قرار می‌گیرند. برای اندازه‌گیری پروفایل‌های ریسک، ریزش‌های مورد انتظار شرطی (CoES) محاسبه می‌شود. ماتریس‌های مجاورت زمان متغیر که براساس مشابهت بین پروفایل‌های ریسک هر جفت گره بدست می‌آیند نشان می‌دهند که ارتباط متقابل در شبکه وجود دارد. پروفایل‌های ریسک صنایع به‌طور مثبت همبسته هستند؛ صنعت بانک‌ها و موسسات اعتباری و صنعت بیمه و بازنشستگی هیچ‌گونه نقشی در تنوع‌بخشی ریسک طی رخدادهای دنباله‌ای، ندارند. با محاسبه نمره ریسک سیستمی و استفاده از تکنیک تجزیه ریسک سیستمی، می‌توان نتیجه گرفت که بجز صنایع مالی، سایر صنایع، صنایع مهم سیستمی در شبکه محسوب می‌شوند. نتایج حاصل از مدل رگرسیون کوانتیل شبکه‌ای رخداد دنباله‌ای محور در کوانتیل‌های مختلف، نشان می‌دهد که همه صنایع در انتقال ریسک تحت شرایط حدی بازار، نقش دارند. یافته‌های حاصل از این پژوهش، از اهمیت کاربردی برای مقامات نظارتی جهت اصلاح سیاست‌های مالی و بهبود چارچوب‌های سیاست‌های کلان برخوردار است و نیز برای تصمیم‌گیری سرمایه‌گذاران در تخصیص دارایی‌ها مفید واقع می‌شوند. | ||
| کلیدواژه‌ها | ||
| صنایع؛ ریزش مورد انتظار شرطی؛ ریسک سیستمی؛ تحلیل شبکه‌ای؛ سرایت ریسک | ||
| عنوان مقاله [English] | ||
| Investigating of Systematic Risk Contagion Effect among Industries listed in Tehran Stock Exchange: the Tail Event driven Network | ||
| نویسندگان [English] | ||
| Elham Farzanegan | ||
| Assistant Professor of Economics, Department of Economics and Social Sciences, Nahavand Higher Education Complex, Bu-Ali Sina University, Hamedan, Iran. | ||
| چکیده [English] | ||
| The Tehran Stock Exchange and its industries have contributed to the risk of tail events occurring in recent years, such as the U.S. and European sanctions against Iran and the COVID-19 pandemic. Industries affected by these crises have become more connected. Crisis episodes have raised risk spread within the financial system. Whenever an impulse hits an industry, it is quickly transmitted to other industries through a contagion mechanism, which ultimately causes fluctuations in the whole system. Stress situations suggest that promoting financial stability should be a priority for regulators and academic researchers. For this purpose, analyzing the systemic risk contagion and tail risk interconnectedness among industries is important to enhance the stock market’s safety and design the related macroprudential policies. The stock market plays a vital role in the financial system by allocating resources and facilitating price discovery. However, Tehran Stock Exchange is a completely immature market, which greatly increases the possibility of risk contagion to the entire market. For example, the collapses of stock price bubbles in the Tehran Stock Exchange over the past two decades resulted in huge losses in the net worth of investors and was followed by a recession. The financial turmoil highlights the importance of measuring systemic risk in the stock market. Interconnections among industries in a network imply that a shock in one industry may lead to risk transmission between related industries, causing risk contagion to the entire stock market. Therefore, investigating the risk interrelationships between industries and identifying the systematically linked industries is essential to effectively predict the systemic risks and control risk spread in the stock market. This study analyzes the risk interdependence among the main industries listed on the Tehran Stock Exchange. In particular, the risk contagion effects among industries are analyzed under extreme market conditions. | ||
| کلیدواژه‌ها [English] | ||
| CoES, Industry Sectors, Network Analysis, Risk Contagion, Systemic Risk | ||
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سایر فایل های مرتبط با مقاله
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