بررسي تأثير شوك هاي جهاني قيمت نفت خام و قيمت طلا بر بازار سهام ايران

Studying the Effect of Oil and Gold Shocks on Iran’s Stock Exchange

اكثر ﺗﺤﻘﯿﻘﺎت اﻧﺠﺎم ﺷﺪه در ﺧﺼﻮص ﺗﺄﺛﯿﺮ ﺷﻮك ﻗﯿﻤﺖ ﻧﻔﺖ ﺧﺎم ﺑﺮ ﺳﺎﯾﺮ ﺑﺎزارﻫﺎ در اﻗﺘﺼﺎد اﯾﺮان، ﺗﻨﻬﺎ ﯾﮏ ﺑﺨﺶ ﯾﺎ ﺑﺎزار را ﻣﺪﻧﻈﺮ ﻗﺮار داده و اﺛﺮات آن ﺑﻪ ﺻﻮرت ﺟﺎﻣﻊ و ﻫﻤﺰﻣﺎن ﻣﻮرد ﻣﻄﺎﻟﻌﻪ ﻗﺮار ﻧﮕﺮﻓﺘﻪ اﺳﺖ. ﻟﺬا، در اﯾﻦ ﻣﻄﺎﻟﻌﻪ ﺑﺎ اﺳﺘﻔﺎده از ﻣﺪل ﺧﻮدرﮔﺮﺳﯿﻮن ﺑﺮداري ﺳﺎﺧﺘﺎري 1)SVAR( ﮐﻪ اﻣﮑﺎن ﺑﺮرﺳﯽ ﻫﻤﺰﻣﺎن ﭼﻨﺪﯾﻦ ﺷﻮك را ﻓﺮاﻫﻢ ﻣﯽآورد، ﺑﻪ ﺑﺮرﺳﯽ اﺛﺮات ﺷﻮك ﻗﯿﻤﺖ ﺟﻬﺎﻧﯽ ﻧﻔﺖ ﺧﺎم و ﺷﻮك ﻗﯿﻤﺖ ﺟﻬﺎﻧﯽ ﻃﻼ ﺑﺮ ﺑﺎزار ﺳﻬﺎم در اﯾﺮان ﭘﺮداﺧﺘﻪ ﺷﺪ. ﺑﺮاي اﯾﻦ ﻣﻨﻈﻮر، دادهﻫﺎي ﻣﻮرد ﻧﯿﺎز ﺑﺼﻮرت ﻓﺼﻠﯽ ﻃﯽ دوره 1370:1-94:1 از ﺑﺎﻧﮏ ﻣﺮﮐﺰي ﺟﻤﻬﻮري اﺳﻼﻣﯽ اﯾﺮان و ﺗﺎرﻧﻤﺎي WDI ﺑﺎﻧﮏ ﺟﻬﺎﻧﯽ ﮔﺮدآوري ﺷﺪ. ﻧﺘﺎﯾﺞ ﺣﺎﮐﯽ از آن اﺳﺖ ﮐﻪ ﺷﻮك ﻣﺜﺒﺖ وارده ﺑﺮ ﻗﯿﻤﺖ ﺟﻬﺎﻧﯽ ﻧﻔﺖ ﺧﺎم در ﮐﻮﺗﺎهﻣﺪت اﺛﺮ ﻣﻌﻨﺎدار ﻣﺜﺒﺖ و در ﺑﻠﻨﺪﻣﺪت، اﺛﺮ ﻣﻌﻨﺎدار ﻣﻨﻔﯽ ﺑﺮ ﺷﺎﺧﺺ ﮐﻞ ﻗﯿﻤﺖ ﺳﻬﺎم اﯾﺮان دارد. ﻫﻢﭼﻨﯿﻦ، ﺷﻮك ﻣﺜﺒﺖ وارده ﺑﺮ ﻗﯿﻤﺖ ﺟﻬﺎﻧﯽ ﻃﻼ در ﮐﻮﺗﺎهﻣﺪت و ﺑﻠﻨﺪﻣﺪت اﺛﺮ ﻣﻌﻨﺎدار ﻣﻨﻔﯽ ﺑﺮ ﺷﺎﺧﺺ ﮐﻞ ﻗﯿﻤﺖ ﺳﻬﺎم اﯾﺮان دارد. ﻋﻼوه ﺑﺮاﯾﻦ، ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﺷﻨﺎﺧﺖ اﻏﻠﺐ ﺧﺎﻧﻮارﻫﺎ از ﺳﺮﻣﺎﯾﻪﮔﺬاري در زﻣﯿﻨﻪ ﻃﻼ ﻧﺴﺒﺖ ﺑﻪ ﺳﺎﯾﺮ ﺑﺎزارﻫﺎي ﺳﺮﻣﺎﯾﻪ، ﺳﺮﻣﺎﯾﻪﮔﺬاري در ﻃﻼ ﺑﻪ ﻋﻨﻮان ﯾﮏ رﻗﯿﺐ ﺟﺪي ﺑﺮاي ﺑﺎزار ﺳﺮﻣﺎﯾﻪ اﺳﺖ. ﺑﺮ اﯾﻦ اﺳﺎس واﮐﻨﺶ ﺷﺎﺧﺺ ﻗﯿﻤﺖ ﺳﻬﺎم در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان ﻧﺴﺒﺖ ﺑﻪ ﺷﻮك ﻗﯿﻤﺖ ﺟﻬﺎﻧﯽ ﻃﻼ ﺷﺪﯾﺪﺗﺮ از ﺷﻮك ﻗﯿﻤﺖ ﺟﻬﺎﻧﯽ ﻧﻔﺖ اﺳﺖ. در ﻧﻬﺎﯾﺖ، ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ اﺛﺮﭘﺬﯾﺮي ﺑﺎزار ﺳﻬﺎم اﯾﺮان از ﻣﺘﻐﯿﺮﻫﺎي ﺟﻬﺎﻧﯽ ﻣﺎﻧﻨﺪ ﻧﻮﺳﺎﻧﺎت ﻗﯿﻤﺖ ﺟﻬﺎﻧﯽ ﻧﻔﺖ ﺧﺎم و ﻗﯿﻤﺖ ﺟﻬﺎﻧﯽ ﻃﻼ، ﺑﯿﻤﻪ ﺳﻬﺎم ﺳﺮﻣﺎﯾﻪﮔﺬاران در ﻣﻘﺎﺑﻞ ﻧﻮﺳﺎﻧﺎت و ﺷﻮكﻫﺎي ﻧﺎﮔﻬﺎﻧﯽ ﭘﯿﺸﻨﻬﺎد ﻣﯽﺷﻮد.

In this research the effect of world’s crude oil shock and world’s gold price shock on Iran’s stock exchange were studied. For this purpose required data was gathered form Iran’s central bank and WDI during 1991:1-2015:1. For data analyzing Structural Vector Auto-Regressive (SVAR) and Impulse Response Function (IRF) were used. Results indicated that positive shock of world’s crude oil price has positive significant effect in short run and negative significant effect in long run on Iran’s stock exchange total index. Also, positive shock of world’s gold price has negative significant effect in short run and long run on Iran’s stock exchange total index. In addition paying attention to household’s known about investment in gold market in comparison to other capital markets, investment in gold market known as an important rival for stock market. Therefore, response of Iran’s stock exchange market to shock of world’s gold price is more that its response to shock of world’s crude oil price. Finally, according to sensitivity of Iran’s stock exchange market to world’s variables such as world’s crude oil and gold price, insuring investors stocks in contrast with impulse fluctuations and socks is suggestible.