پیوند نامتقارن قیمت سهام و نرخ ارز در ایران: رویکرد خود رگرسیون آستانه گشتاور (MTAR)

نوع مقاله : مقاله پژوهشی

نویسنده

دیوان محاسبات کشور، تهران، ایران

چکیده

این مقاله بر تجزیه و تحلیل واکنش پویای قیمت سهام به تغییرات نرخ ارز در ایران از فروردین ماه 1385 تا تیر ماه 1402 از طریق چارچوب خود رگرسیون آستانه گشتاور متمرکز شده است. نتایج مدل آستانه نشان‌دهنده وجود رابطه بلندمدت آستانه نامتقارن (همجمعی) بین بازارهای سهام و ارز در ایران است که بیانگر امکان پیش‌بینی یک بازار از طریق بازار دیگر است و این موضوع در مغایرت با فرضیه بازار کارا می‌باشد. این یافته حاکی از آن است که بازارهای سهام و ارز به طور نامتقارن به یکدیگر وابسته هستند و این موضوع دستیابی به تنوع بخشیدن موثر پرتفوی را برای سرمایه‌گذاران کاملا غیرممکن می‌کند. علاوه بر این، قیمت سهام به تغییرات کوتاه مدت نرخ ارز و همچنین به طور نامتقارن به عدم تعادل مالی پاسخ می‌دهد. با توجه به تعدیل نامتقارن، واکنش قیمت سهام به فاز منفی عدم تعادل سریع‌تر (به صورت مطلق) نسبت به فاز مثبت عدم تعادل است. با توجه به نقش عدم تقارن، بانک مرکزی بهتر است از الگوی مداخله نامتقارن (با توجه به کاهش و افزایش نرخ ارز) برای تقویت پول داخلی و کاهش فشار بر بازار سهام پیروی کند

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Asymmetries in the Iran Stock Price – Exchange Rate Nexus: A Momentum Threshold Autoregressive (MTAR) Approache

نویسنده [English]

  • Hamed Khezrzadegan
Supreme Audit Court, Tehran, Iran
چکیده [English]

This paper focused on analyzing the dynamic response of stock prices to exchange rate changes in Iran from 1385M1 to 1402M4 through Momentum threshold autoregressive framework. The results of the threshold model show an asymmetric threshold long-run (cointegration) relationship between stock and foreign exchange markets in Iran, indicating the possibility to predict one market from another, and this is in contradiction with the efficient market hypothesis. This finding implies that stock and foreign exchange markets are asymmetrically interdependent, making it quite impossible for investors to achieve an effective diversification of their portfolios. Moreover, the stock prices respond to short-run changes in exchange rate as well as asymmetrically to financial disequilibrium. With respect to the asymmetric adjustment, the response of stock prices to negative phase of disequilibrium is faster (in absolute terms) than to positive phase of disequilibrium. Going by the role of asymmetry, the Central Bank should follow an asymmetric intervention pattern (with respect to exchange rate depreciation and appreciation) to strengthen the domestic currency and reduce pressure on stock market.

کلیدواژه‌ها [English]

  • Threshold cointegration
  • Asymmetric adjustment
  • Exchange rate
  • Stock prices

مراجع

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