مدل‌سازی حافظه بلندمدت و تغییرات رژیم بازده بورس اوراق بهادار تهران و اثرات نامتقارن شوک‌های بازار نفت بر روی آن

نوع مقاله: مقاله پژوهشی

نویسندگان

1 دانشیار گروه اقتصاد دانشکده علوم اجتماعی، دانشگاه رازی ، کرمانشاه، ایران

2 دانشیار دانشیار گروه اقتصاد دانشکده علوم اجتماعی، دانشگاه رازی ، کرمانشاه، ایران

3 دانشجوی دکتری دانشگاه رازی ، کرمانشاه، ایران

چکیده

در این پژوهش  با ارائه مدلی کاملاً جدید در سطح ملی و بین­المللی، چارچوبی کاربردی برای تعیین دقیق­ شوک‌های بازارهای خارجی بر بازده قیمت سهام فراهم شده است؛ به طوریکه با استفاده از داده­های ماهیانه سال­های 1377 تا 1396 و مدل GARCH آستانه انباشته­ی کسری راه­گزینی مارکوف (MS-FITGARCH) سعی در بررسی شوک‌های قیمت نفت بر روی بازده بازار سهام و مدل‌سازی جامع ویژگی­های واریانس ناهمسان، اثر اهرمی، خوشه‌ای بودن تلاطم‌ها، حافظه بلندمدت در چارچوب رژیم­های مختلف رکود و رونق بازده بازار سهام شده است. به‌علاوه مدل همبستگی شرطی پویای GARCH آستانه انباشته­ی (DCC-FITGARCH) جهت بررسی ارتباط نوسانات بازار نفت و بورس اوراق بهادار مورد استفاده قرار گرفته است. نتایج تحقیق حاضر بیانگر معنادار بودن ضرایب مدل و لزوم استفاده از مدل معرفی شده در تحقیق در جهت مدل‌سازی بازده نوسانات بورس اوراق بهادار تهران دارد. بر اساس نتایج رژیم یک وضعیت­های رکود و رژیم دو وضعیت­های رونق در بورس اوراق بهادار تهران را تسخیر می­کند. نتایج مدل MS-FITGARCH بیانگر اثر مثبت معنادار شوک‌های قیمت نفت تنها بر روی میانگین بازده بورس در رژیم­های رونق دارد، به‌طوری‌که اثرات فوق در رژیم رکود معنادار نیست. همچنین نتایج مدل DCC-FITGARCH در تطابق با مدل اول قرار داشته و بیانگر همبستگی شرطی مثبت قوی‌تر نوسانات بازار سهام و بازار نفت در دوره­های رونق اقتصادی است.

کلیدواژه‌ها


*      پایتختی اسکویی، سید علی، و شافعی، احسان (1393). بررسی تأثیر نوسانات قیمت نفت بر تغییرات شاخص قیمت سهام در ایران. فصلنامه مطالعات اقتصاد انرژی، سال دهم،43،229-205.

*      ثقفی،علی و قنبریان، رضا (1394). بررسی رابطه پویا بین قیمت نفت و شاخص‌های بازار سرمایه ایران. فصلنامه تحقیقات مدلسازی اقتصادی شماره 20.

*      حسینی نسب، سید ابراهیم، خضری، محسن، و رسولی، احمد (1390). تعیین اثرات قیمت نفت بر روی بازده سهام بورس اوراق بهادار تهران کاربرد آنالیز موجک و راه گزینی مارکوف. فصلنامه مطالعات اقتصاد انرژی،29،60-31.

*      زاهدی تهرانی، پریوش (1390). تعیین راهبرد سرایت نوسانات بازارهای سرمایه بین‌المللی بر بورس اوراق بهادار تهران. مجله مطالعات مدیریت راهبردی،11،153-131.

*      عباسی، ابراهیم،هاشمی نژاد، منیژه، و کریمی ، جعفر(1394).بررسا اثرات نامتقارن نوسانات قیمت نفت بر روی بازار سهام بورس اوراق بهادار تهران با استفاده از مدل MS-EGARCH .فصلنامه روند سال بیست و دوم شماره 72 .127-105

*      میرهاشمی دهنوی، سیدمحمد. (1394). آثار نامتقارن شوک های  قیمت نفت بر بازار سهام، مطالعه موردی کشورهای صادر کننده نفت. فصلنامه سیاست­های مالی و اقتصادی، سال سوم شماره 11-85-108

*      Aloui, C., 2007. Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period. Quantitative Finance 7, 1–17.

*      Aloui, C., Jammazi, R., 2009. The Effects of Crude Oil Shocks on Stock Market Shifts Behavior: A Regimes Witching Approach. Energy Economics 31(5), 789–799.

*      Aloui, C., Jammazy, R., Dhakhlaoui, I., 2008. Crude Oil Volatility and Stock Market Returns. Journal of Energy Markets 1, 69–96.

*      Arfaoui, M., Rejeb, A. (2016). Oil, Gold, US dollar and Stock market interdependencies: A global analytical insight. Journal of Mpra Paper , 70452. Available at: https://mpra.ub.uni-muenchen.de/70452.

*      Aydemir, O., Demirhan, E., 2009. The relationship between stock prices and exchange rates: evidence from Turkey. International Research Journal of Finance and Economics 23, 207–215.

*      Bae, J., Kim, C.J., Nelson, C.R., 2007. Why are stock returns and volatility negatively correlated? Journal of Empirical Finance 14, 41–58.

*      Baillie, R. T., Bollerslev, T., Mikkelsen, H.O., 1996. Fractionally integrated generalized au-toregressive conditional heteroskedasticity., Journal of Econometrics 74, 3.30.

*      Bauwens, L., Preminger, A., Rombouts, J.V.K., 2006. Regime Switching GARCH Models. CORE Discussion Paper, no. 2006-11.

*      Bittlingmayer, G., 2005. Oil and Stocks: Is it War Risk? Working Paper Series, University of Kansas.

*      Black, F., 1976. Studies of stock market volatility changes. Proceedings of the American Statistical Association, Business and Economic Statistics Section, pp. 177–181.

*      Blanchard, O.J., Gali, J., 2007 .The Macroeconomic Effects of Oil Price Shocks: Why are 2000s so Different from the 1970s? National Bureau of Economic Research. Working Paper 13368.

*      Bollerslev, T.P, 1986. Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 31, 307-327.

*      Bollerslev, T.P., 1987. A conditional time series model for speculative prices and rates of returns. Review of Economics and Statistics 69, 524–554.

*      Bollerslev, T.P., 1987. A conditional time series model for speculative prices and rates of returns. Review of Economics and Statistics 69, 524–554.

*      Branson, W.H., 1983. Macroeconomic determinants of real exchange risk. In: Herring, R.J. (Ed.), Managing Foreign Exchange Risk. Cambridge University Press, Cambridge. 1983.

*      Branson, W.H., Henderson, D.W., 1985. The specification and influence of assets markets. In: Jones, R.W., Kenen, P.B. (Eds.), Handbook of International Economics, 2. Amsterdam, Elsevier.

*      Broadstock. D.C., Filis, G. (2014). Oil price shocks and stock market returns: New evidence from the United States and China. Journal of International Financial Markets- Institutions and Money ,33, 417-433.

*      Brunner, A.D. 1991, Testing for Structural Breaks in U.S. Post-War Inflation Data, mimeographed, Board of Governors of the Federal Reserve System,Washington D.C.

*      Cai, J., 1994. A Markov model of unconditional variance in ARCH. Journal of Business and Economic Statistics 12, 309–316.

*      Chu, C.S.J., Santoni, G., Liu, T., 1996. Stock market volatility and regime shifts in the return. Information Science 94, 179–190.

*      Ciner, C., 2001. Energy shocks and financial markets: nonlinear linkages. Studies in Nonlinear Dynamics and Econometrics 5, 203–212.

*      Chen, N.F., Roll, R., Ross, S.A., 1986. Economic Forces and the Stock Market. Journal of Business 59, 383–403.

*      Clements, M.P., Krolzig, H.M., 2002. Can oil shocks explain asymmetries in the US business cycle? Empirical Economics 27, 185–204.

*      Cologni, A., Manera, M., 2008. Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries. Energy Economics 38, 856–888.

*      Cologni, A., Manera, M., 2009. The Asymmetric Effects of Oil Shocks on Output Growth: a Markov-Switching Analysis for G7 Countries. Economic Modelling 26, 1–29.

*      Diamantis, P.F., 2008. Financial liberalization and changes in the dynamic behaviour of emerging market volatility: evidence from four Latin American equity markets. Research in International Business and Finance 22, 362–377.

*      Ding, Z., Granger, C.W.J., Engle, R.F., 1993. A long memory property of stock market returns and a new model. J. Empirical Finance 1, 83–106.

*      Diamandis, P.F., Drakos, A.A., 2011. Financial liberalization, exchange rates and stock prices: exogenous shocks in four Latin America countries. Journal of Policy Modeling 33, 381–394.

*      Dornbush, R., Fisher, S., 1980. Exchange rates and the current account. The American Economic Review 70, 960–971.

*      Dueker, M., 1997. Markov switching GARCH processes and mean reverting stock market volatility. Journal of Business and Economics Statistics 15, 26–34.

*      Dumas, B., Solnik, B., 1995. The world price of foreign exchange risk. Journal of Finance 50, 445–477.

*      Engle, R.F. (2002). Dynamic conditional correlation - A simple class of multivariate GARCH models, Journal of Business and Economic Statistics 20, 339–350.

*      Edwards, S., Susmel, R., 2003. Interest-rate volatility in emerging markets. The Review of Economics and Statistics 85, 328–348.

*      Elyasiani, E., Mansur, I. and Odusami, B., 2011. Oil Price Shocks and Industry Stock
Returns, Energy Economics, 33, 966-974

*      Flavin, T.J., Panopoulou, E., Unalmis, D., 2008. On the stability of domestic financial market linkages in the presence of time-varing volatility. Emerging Markets Review 9, 280–301.

*      Filardo, A.J., 1994. Business-cycle phases and their transitional dynamics. Journal of Business and Economic Statistics 12, 299–308.

*      Filardo, A.J., Gorgon, S.F.,1998. Business cycle durations. Journal of Econometric 85, 99–123.

*      Frankel, J., 1983. Monetary and portfolio balance models of exchange rate determination. In: Bhandari, J., Putnam, B. (Eds.), Economic Interdependence and Flexible Exchange Rates. MIT Press, Cambridge, MA, pp. 84–114.

*      Garcia, R., Perron, P., 1996. An analysis of the real interest rate under regime shifts. Review of Economics and Statistics 78, 111–125.

*      Gil-Alana, L.A., Yaya, O.S. (2014). The relationship between oil prices and the Nigerian stock market. An analysis based on fractional integration and cointegration. Energy Economics, 46, 328-333.

*      Gold Smith, W. Reymond. 1969. Financial Structure and Development New Hower, CT: Uyale U. Press.

*      Glosten, L. R., Jagannathan, R., Runkle, D.E., 1993. On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks, Journal of Finance, 48(5), 1779-1801.

*      Gray, S.F., 1995. An analysis of conditional regime-switching models. Working Paper, Fuqua School of Business, Duke University.

*      Guidolin, M., Timmermann, A., 2006. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns. Journal of Applied Econometrics 21, 1–22.

*      Hamilton, J.D., 1983. Oil and the Macroeconomy since World War II. Journal of Political Economy 91, 228–248.

*      Hamilton, J.D., 1989. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57, 357–384.

*      Hamilton, J.D., 1996. Specification testing in Markov-switching time series models. Journal of Econometrics 70, 127–157.

*      Hamilton, J.D., 2003. What is an oil shock? Journal of Econometrics 113, 363–398.

*      Hamilton, J.D., 2008. Oil and the macroeconomy, In: Durlauf, S., Blume, L. (Eds.), The New Palgrave Dictionary of Economics, 2nd Ed. Palgrave MacMilan Ltd.

*      Hamilton, J.D., Susmel, R., 1994. Autoregressive conditional heteroscedasticity and changes in regime. Journal of Econometrics 64, 307–333.

*      Hammoudeh, S., Choi, K., 2007. Characteristics of permanent and transitory returns in oil-sensitive emerging stock markets: the case of GCC countries. International Financial Markets, Institutions & Money 17, 231–245.

*      Huang, R.D., Masulis, R.W., Stoll, H.R., 1996. Energy Shocks and Financial Markets. Journal of Futures Markets 16, 1–27.

*      Henry, O., 2009. Regime switching in the relationship between equity returns and short-term interest rates. Journal of Banking and Finance 33, 405–414.

*      Hishiyima, K., 1998. Some evidence of regime shifts in international stock markets. Managerial Finance 24, 30–55.

*      Holmes, M.J., Wang, P., 2003. Oil and the asymmetric adjustment of the U.K output: a Markov switching approach. International Review of Applied Economics 17, 181–192.

*      Hooker, M., 1999. Exploring the Robustness of the Oil Price–Macroeconomy Relationship. Federal Reserve Board (FEDS) Working paper, 1999-43.

*      Ismail, M.T., Isa, Z., 2008. Identifying regime shifts in Malaysian stock market returns. International Research Journal of Finance and Economics 15, 44–57.

*      James, B. Ang. 2008. What are the mechanisms linking financial development and economic growth in Malaysia, Economic Modeling, 251pp: 38-53.

*      Jammazi, R., Aloui, C., 2009. Wavelet Decomposition and Regime Shifts: Assessing the Effects of Crude Oil Shocks on Stock Market Returns. Energy Policy.

*      Jiranyakul, Komain., 2014. Does oil price uncertainty transmit to the Thai stock market?,
Journal of Finance and Banking, Vol. 1, No. 4, 18-29.

*      Jones, C.M., Kaul, G., 1996. Oil and the Stock Markets. Journal of Finance, vol. 51. American Finance Association, pp. 463–491.

*      Jorion, P., 1990. The exchange rate exposure of the U.S. multinationals. Journal of Business 63, 331–345.

*      Jorion, P., 1991. The pricing of exchange rate risk in the stock market. Journal of Financial and Quantitative Analysis 26, 363–376.

*      Kenourgios, D., Samitas, A. 2007. Financial Development and Economic Growth in a Transition Economy, Journal of Financial Decision Making 31, 35-48.

*      Kilian, L., Park, C., 2007. The Impact of Oil Price Shocks on the U.S. Stock Market. Centre for Economic Policy Research Discussion Paper 6166.

*      King, G. Robert., Levine, Ross. 1993. Financial Intermediation and Economic Development, financial Intermediation in the Construction of Europe, Eds: Colin Mayer and Xavier vives.London: Center for economic Policy, PP: 89-153.

*      Kim, C.J., Nelson, C.R., 1999. Friedman’s plucking model of business fluctuations: tests and estimates of permanent and transitory components. Journal of Money, Credit and Banking 31, 317–334.

*      Kutty, G., 2010. The relationship between exchange rates and stock prices: the case of Mexico. North American Journal of Finance and Banking Research 4, 1–12.

*      Kwak, Y. H. and Ingall, L., 2007. Exploring Monte Carlo Simulation Applications for Project Management, in: Risk Management 9, 44-57.

*      Lamoureaux, C., Lastrappes,W., 1990. Persistence in variance, structural change and the GARCH model. Journal of Business and Economic Statistics 8, 225–234.

*      Levine, R., Demirguc, A.Kunt. 2008. Finance, Financial Sector Policies, and Long Run Growth, World Bank, Policy Research, pp : 44-69.

*      Levine, Ross., Zervos, Sara. 1996. Stock Mankats, Danks and Economic Growth, World Bank Policy Research. working paper.

*      Lu, F., Qiao, H., Wang, S., Lai, K.K., Li, Y., 2017. Time-varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets Original Research Article. Environmental Research, Volume 152, 351-359.

*      Maheu, J.M., McCurdy, T.H., 2000. Identifying bull and bear markets in stock returns. Journal of Business and Economic Statistics 18, 100–112.

*      Manera, M., Cologni, A., 2006. The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis for the G-7 Countries. Working Papers 2006, 29. Fondazione Eni Enrico Mattei.

*      Mckinan, I. Ranald. 1973. Money and Capital in Economic development , Washington, DC: Brooking Institution.

*      Miller, J.I., Ratti, R.A., 2009. Crude Oil and Stock Markets: Stability, Instability, and Bubbles. Energy Economics 31, 559–568.

*      Mollick, V.A., Assefa, T.A., 2013. U.S. stock returns and oil prices: The tale from daily data and the 2008–2009 financial crisis Original Research Article. Energy Economics, Volume 36, 1-18.

*      Mork, K.A., 1989. Oil and the macroeconomy when prices go up and down: an extension of Hamilton's results. Journal of Political Economy 97, 703–708.

*      Mun, K.C., 2007. Volatility and correlation in international stock markets and the role of exchange rate fluctuations. Journal of International Financial Markets Institutions and Money 17, 25–41.

*      Nelson, D.B., 1991. Conditional heteroscedasticity in asset returns: a new approach. Econometrica 59, 347–370.

*      Ning, C., 2010. Dependence structure between the equity market and the foreign market —a copula approach. Journal of International Money and Finance 29, 743–759.

*      Park, J., Ratti, R.A., 2008. Oil Price Shocks and Stock Markets in the U.S. and 13 European Countries. Energy Economics 30, 2587–2608.

*      Patrick, H. 1966. Financial Development and Economic growth in underdeveloped countries, Economic development and cultural change, 12 2, pp: 174-89.

*      Phylaktis, K., Ravazzolo, F., 2005. Stock prices and exchange rate dynamics. Journal of International Money and Finance 24, 1031–1053.

*      Raymond, J.E., Rich, R.W., 1997. Oil and the macroeconomy: a Markov state switching approach. Journal of Money, Credit, and Banking 29, 193–213.

*      Ritab, S., Khouri, Al. 2007. Financial Sector Development and Sustainable Economic Growth , Advances in Financial Economics, 12. pp: 345-360.

*      Roll, R., 1992. Industrial structure and the comparative behavior on international stock market indices. Journal of Finance 47, 3–41.

*      Sadorsky, P.,1999.Oil price shocks and stock market activity. Energy Economics 21, 449–469.

*      Schaller, H., Norden, S., 1997. Regime switching in stock market returns. Applied Financial Economics 7, 177–192.

*      Serletis, A. and L. Xu., 2017. The Zero Lower Bound and Crude Oil and Financial Markets
Spillovers. Macroeconomic Dynamics (forthcoming).

*      Show,E.S. 1973. Financial Deepening in Economic Development. New York: oxford university press.

*      Silvennoinen, A., Thorp, S. (2013). Financialization, crisis and commodity correlation dynamics. Journal of Financ Mark Inst Money ,24, 42–65.

*      Suleiman, Abu-Bader., Aamer, S. Abu-Qarn. 2007. Financial development and economic growth, Journal of Policy Modeling.

*      Turner, M.C., Startz, R., Nelson, C.F., 1989. A Markov model of heteroskedasticity, risk, and learning in the stock market. Journal of Financial Economics 25, 3–22.

*      Walid, C., Chaker, A., Masood, O., Fry, J., 2011. Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach, Emerging Markets Review 12, 272-292.

*      Wang, P., Theobald, M., 2008. Regime-switching volatility of six East Asian emerging stock markets. Research in International Business and Finance 22, 267–283.

*      Watson, M.W., 1986. Univariate detrending methods with stochastic trends. Journal of Monetary Economics 18, 49–75.

*      Wei, C., 2003. Energy, the stock market, and the putty-clay investment model. American Economic Review 93(1), 311–323.

*      Yang, S.Y., Doong, S.C., 2004. Price and volatility spillovers between stock prices and exchange rates: empirical evidence from the G-7 countries. International Journal of Business and Economics 3, 139–153.

*      Yau, H.Y., Nieh, C.C., 2009. Testing for cointegration with threshold effect between stock prices and exchange rates in Japan and Taiwan. Japan and World Economy 21, 292–300.

*      Zakoian, M., 1994. Threshold Heteroscedastic Models, Journal of Economic Dynamics and Control, 18, 931-955.

*      Zhao, H., 2010. Dynamic relationship between exchange rate and stock price: evidence from China. Research in International Business and Finance 24, 103–112