بررسی‌های بازرگانی

بررسی‌های بازرگانی

اثرات نامتقارن و سرایت تکانه های ارزی بر بازار سهام ایران

نوع مقاله : مقاله پژوهشی

نویسندگان
1 دانشجوی دکتری، گروه اقتصاد، واحد فیروزکوه، دانشگاه آزاد اسلامی، فیروزکوه، ایران
2 استادیار، گروه اقتصاد، واحد فیروزکوه، دانشگاه آزاد اسلامی، فیروزکوه، ایران
3 دانشیار گروه اقتصاد، واحد فیروزکوه، دانشگاه آزاد اسلامی، فیروزکوه، ایران
چکیده
هدف اصلی این مقاله، ارزیابی اثرات نامتقارن تکانه‌های ارزی بر بازده بازار سهام ایران است. بدین‌منظور، از مدل همبستگی شرطی پویا و روش APARCH بر اساس داده‌های روزانه سال‌های 1396:1 - 1402:3 استفاده شد. نتایج نشان داد تکانه‌های مثبت و منفی در بازار ارز ایران به‌کرّات یافت می‌شود. برآوردها آشکار کرد که بازار ارز بر بازار سهام موثر بوده و واکنش بازار سهام نسبت به تکانه‌های مثبت و منفی بازار ارز نامتقارن است. همچنین، رفتار بازار سهام نسبت به تکانه‌های منفی پایدار بوده؛ اما، آثار تکانه‌های مثبت ارزی به‌تدریج خنثی می‌شود. تکانه منفی بزرگ در بازار ارز، بازار سهام ایران را در سطح پایین پایداری قرار می‌دهد. افزون‌براین، نوسان بازار سهام ایران یک الگوی بسیار پایدار را نشان می‌دهد. نهایت اینکه یافته‌های همبستگی شرطی روشن ساخت تکانه‌های منفی ارزی در قیاس با تکانه مثبت، تأثیر بیشتری بر نوسانات بازار سهام داشته است.
کلیدواژه‌ها

موضوعات


عنوان مقاله English

The asymmetric and spillover effects of exchange rate on the stock market in Iran

نویسندگان English

Mansoreh Zeraati 1
Masoud Soufimajidpour 2
Mahmmod mahmmodzadeh 3
Mehdi Fathabadi 2
1 PhD Candidate, Department of Economics, Firoozkooh Branch, Islamic Azad University, Firoozkooh, Iran.
2 Assistant of Professor of Economics, Firoozkooh Branch, Islamic Azad University, Firoozkooh, Iran.
3 Assistant of Professor of Economics, Firoozkooh Branch, Islamic Azad University, Firoozkooh, Iran.
چکیده English





In this article, the asymmetric effects of exchange rate on the stock market were evaluated using daily data from 20/03/2016 to 21/06/2023 using cointegration, Dynamic Conditional Correlation and APARCH methods. The evidence shows that both shocks (positive/negative) and large shocks (positive/negative) are repeatedly found in the Dollar exchange rate. Estimates show that the exchange rate is effective on the stock market. The findings showed that the stock market reaction to the positive and negative shocks of exchange rate is asymmetric. The behavior of the stock market is stable towards negative shocks, but the effects of positive shocks are gradually neutralized. A large negative shocks in the exchange rate puts the stock market at a sustained low level. Also, the volatility of the stock market shows a very stable pattern. Dynamic Conditional Correlation findings show that negative shocks have a greater impact on conditional volatility compared to positive shocks.

کلیدواژه‌ها English

Asymmetric Effects / Contagion or Spillover Effects / Currency Shocks / Iranian Stock Market / APARCH Method
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دوره 22، شماره 125 - شماره پیاپی 125
خرداد و تیر 1403
صفحه 51-72

  • تاریخ دریافت 08 مهر 1402
  • تاریخ بازنگری 26 آذر 1402
  • تاریخ پذیرش 25 دی 1402