كليدواژه :
گارچ چند متغيره , شاخص سهام دبي , نوسانات شاخص بورس تهران , نوسانات قيمت جهاني نفت خام
چكيده فارسي :
يكي از اجزاي مهم بازارهاي مالي بورس اوراق بهادار است كه يك بازار متشكل رسمي خريد و فروش سهام تحت قوانين خاص است. نوسان به‌عنوان يك عامل مؤثر در تعيين ريسك سرمايه گذاري، ميتواند نقش مهمي در تصميم گيري سرمايه گذاران ايفا كند. يك تخمين مناسب از نوسانات قيمت سهام در يك دوره سرمايه گذاري نقطه آغازين بسيار مهمي در كنترل ريسك سرمايه گذاري است. يكي از عوامل اثرگذار بر شاخص قيمت سهام قيمت نفت و نوسانات نفتي است. نفت و فرآورده هاي آن به‌عنوان مهم ترين منبع انرژي در فرآيندهاي توليدي در جهان مورد استفاده قرار ميگيرد، از اين رو نوسان ها در قيمت نفت ميتواند بر هزينه توليد و سودآوري شركت هاي توليدي اثرگذار باشد. نفت براي برخي كشورهاي صادركننده مهمترين منبع درآمدي است و قيمت نفت و نوسانهاي آن مي تواند بر بازار سرمايه اثر بگذارد، به‌طوري‌كه در بسياري از كشورها كه مديريت درآمد نفتي مناسبي ندارند افزايش قيمت نفت با افزايش درآمد دولت و افزايش پايه پولي همراه شده كه آثار تورمي دارد. بنابراين در اين مقاله، به بررسي ميزان اثرپذيري نوسانات شاخص قيمت سهام تهران و شاخص سهام دوبي از قيمت جهاني نفت خام با استفاده از داده هاي ماهانه طي دوره زماني 2004-2016 و همچنين روش اقتصادسنجي گارچ چندمتغيره است. براسـاس نتايج پژوهش نوسانات قيمت جهـاني نفتخام اثر مثبت و معنيداري بر نوسانات شاخص بورس دوبيدارد، همچنين نوسانات قيمت جهاني نفت خام اثر مثبت و معنيداري بر نوسانات شاخص بورس اوراق بهادار تهران دارد. از سويي نوسانات شاخص بورس دوبي اثر مثبت و معنيداري بر نوسانات شاخص بورس اوراق بهادار تهران دارد.
چكيده لاتين :
One of the most important markets in each economy is capital markets. Undoubtedly, the conditions of these markets are influenced by other sectors and can affect other sectors of the economy. The stock market is one of the components of the capital market, and as part of the economy, its function is that if this market does not have a logical relationship with other sectors, then problems and deficiencies will arise in its operation. In the capital market, widespread fluctuations lead to the arrival and departure of a massive amount of capital. The Stock Exchange, an officially organized market for the purchase and sale of shares of companies under certain terms and conditions. The oil industry has always had a financial role in the economy, and its main function is to provide the currency needed by the countries. The economies of countries that rely heavily on oil revenues and foreign exchange earnings, the oil price fluctuations that originate from exogenous developments and the control of outside economic policymakers, are the largest source of disruption to the economies of the countries. Oil revenues are fluctuating. Therefore, fluctuation is one of the most important issues in the financial markets of the world. Oscillation, as an effective factor in determining the risk of investment, can play an important role in the decision making of investors. An appropriate estimation of stock price fluctuations or arbitrage transactions in an investment period is a very important starting point in controlling investment risk. One of the factors influencing the stock price index is oil prices and oil price fluctuations. Oil and its products are used as the most important source of energy in world production processes. Fluctuations in oil prices can affect the cost of production and profitability of manufacturing companies. Oil is considered to be the most important source of income for some of the exporting countries, and the price of oil and its fluctuations from this channel can also affect the real sector as well as the capital market, so that in many countries that do not have a good oil revenue management the price of oil has been accompanied by an increase in government revenues and an increase in the monetary base that has an impact on inflation. Increasing inflation also has a positive impact on stock prices; the World Oil Index is one of the most important indicators affecting economic factors and political factors in each country. The global oil price, as a powerful exogenous variable, is influenced by many macroeconomic variables, including the stock price index. The explanation of such a relationship is the policy makers' guideline in monetary and foreign policy directives. Therefore, the main focus of this paper is to examine the impact of the Tehran Stock Price Index (TEPIX) and the Dubai Dollar Index (DFM) Crude oil using monthly data over the period of 2004-2016 as well as the multivariate GARCH method. To do this, we first performed the Dickey-Fuller and Phillips-Peron stacking tests to check the variance of the variables, which is based on the results of this test at the root level of the unit, so that from all three variables, once the difference was made, and therefore all three variables with a load Mana differentiation, then we performed an ARCH test, which results in the existence of an Arch effect on the model remainders, and finally we estimated the multivariate GARCH model with the BEKK approach. According to research results, global oil price fluctuations have a positive and significant effect on the fluctuations of the Dubai stock exchange index, and the global oil price volatility has a positive and significant effect on Tehran Stock Exchange index fluctuations. On the other hand, Dubai Stock Exchange fluctuations (DFM) have a positive and significant effect on Tehran Stock Exchange Index (TEPIX) fluctuations.
