ارزیابی اثرات سرریز ریسک مثبت و منفی نرخ ارز، قیمت نفت خام و سکه بر بورس اوراق بهادار تهران

نوع مقاله: مقاله پژوهشی

نویسندگان

1 دانشیار اقتصاد دانشگاه تبریز

2 دکترای اقتصاد دانشگاه تبریز

چکیده

در این تحقیق، تأثیرات متقابل بین ریسک و بازده در بازارهای ارز، نفت خام، سکه و بورس تهران مورد ارزیابی قرار می‌گیرد. مطالعۀ حاضر از رهیافت توابع کاپولا برای بررسی ساختار همبستگی بهره برده و با استفاده از مفهوم ارزش در معرض خطر و ارزش در معرض خطر شرطی، به بررسی وجود سرریز ریسک بین بازارهای فوق پرداخته است. متغیرهای تحقیق شامل داده‌های هفتگی نرخ ارز آزاد، قیمت سبد نفتی اوپک، قیمت سکۀ طلا و شاخص کل بورس تهران طی دورۀ 28/04/1385 تا 01/01/1396 بوده است.
طبق نتایج تحقیق، همبستگی معنی‌داری بین متغیر شاخص بورس با نرخ ارز، شاخص بورس با قیمت نفت، شاخص بورس با قیمت سکه و نرخ ارز با قیمت نفت وجود داشته، به طوری که همبستگی بین شاخص بورس با نرخ ارز و نرخ ارز با قیمت نفت، در جهت منفی و با شدت یکسان همبستگی در دامنه‌های بالا و پائین توزیع و همبستگی بین شاخص بورس با قیمت نفت خام و شاخص بورس با قیمت سکه، در جهت مثبت و با شدت متفاوت همبستگی در دو دامنۀ بالا و پائین بوده و همبستگی قوی‌تر در دامنۀ مثبت توزیع قوی‌تر از دامنۀ منفی بوده است.
همچنین سرریز ریسک بین بازار سهام و بازار سکه بیشتر از بازارهای دیگر بوده و بازار سکه بیشتر به عنوان ابزاری برای مواجه با ریسک بازار سهام و کارکرد نرخ ارز و قیمت نفت خام بیشتر به عنوان متغیری بنیادی برای ارزیابی تأثیر بر سودآوری شرکت‌های بورسی بوده است. حالت‌های دیگر به ندرت سرریز ریسک معنی‌داری نشان داده‌اند.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

An Appraisal of Downside and Upside Risk Spillovers of Exchange Rates, Crude Oil and Gold Prices on Tehran Stock Exchange

نویسندگان [English]

  • Mohammad Mehdi Barghi Osguei 1
  • Reza Saghafi Kelvanag 2
1 Associated Professor of Economics, University of Tabriz
2 Ph.D. in Economics, University of Tabriz
چکیده [English]

In this Paper, we examined the upside and downside Risk spillovers between exchanges rates, crude oil, gold, and stock prices in Iranian financial markets. Due to special characteristics of financial data, we used copula methods to assess correlation between returns of the markets and using VaR and CoVaR approaches we examined the risk spillovers between markets. Our data spans from 2006-07-19 to 2017-03-21. Results show that the correlations between the exchange rates and the stock prices, as well as the oil prices and the exchange rates were symmetric but the correlations between the gold prices and the stock prices as well as the crude oil prices and stock market were asymmetric and strong in the upper tails. CoVaR analysis shows that risk spillover effects between the stock and gold prices are stronger than the other variables. The relationship between exchange rates and oil prices against stock prices are considered to be mostly between returns but there are some risk spillovers too. In most cases upper risk spillovers are stronger than lower ones.

کلیدواژه‌ها [English]

  • Financial Markets
  • Spillover Effects
  • VaR
  • CoVaR
  • Copulae
  1. تقوی، مهدی؛ بیابانی، شاعر؛ (1382)، اثرات تغییر نرخ ارز بازار آزاد و جریان نقد آتی بر ارزش سهام شرکتهای سهامی عام پذیرفته شده در بورس اوراق بهادار تهران، مجلۀ پژوهشنامه اقتصادی، 3، 3-4، 13-38.
  2. دوراندیش، علی؛ شریعت، احسان؛ ارزنده، نادر؛ (1393)؛ بررسی اثرات سرریز نوسانات نرخ ارز بر شرکت‌های صنعت کشاورزی در بورس تهران؛ مجله اقتصاد کشاورزی و توسعه؛ 28 (2)؛ 177-184.
  3. حیدری، حسن؛ بشیری، سحر؛ (1391)، بررسی رابطه بین نااطمینانی نرخ واقعی ارز و شاخص قیمت سهام در بورس اوراق بهادار تهران: مشاهداتی بر پایه مدل VAR-GARCH، تحقیقات مدل‌سازی اقتصادی، 3، 71-92.
  4. جهانگیری، خلیل؛ حکمتی فرید، صمد؛ (1393)، مطالعه آثار سرریز تلاطم بازارهای سهام، طلا، نفت و ارز، تحقیقات حسابداری و حسابرسی، 56، 159-192.
  5. شهبازی، کیومرث؛ رضایی، ابراهیم؛ صالحی، یاور؛ (1392)، تاثیر شوکهای قیمت نفت بر بازدهی سهام در بورس اوراق بهادار تهران: رهیافت SVAR، فصلنامۀ علمی پژوهشی دانش مالی تحلیل اوراق بهادار، 6، 18، 125-136.
  6. ،محمدرضا؛ نیکبخت، فاطمه؛ (1389)، بررسی تاثیر بی ثباتی نرخ واقعی ارز بر شاخص سود نقدی و قیمت بورس اوراق بهادار تهران، فصلنامۀ بورس اوراق بهادار تهران، 3، 11، 43-59.
 
  1. Abadie, A., (2002). Bootstrap tests for distributional treatment effects in instrumental variables models. Journal of American Statistical Association 97(457), 284-292.
  2. Abounouri, I. & Abdullahi, M. (2013). Dynamic Relationship between Exchange Rate and Tehran Stock Exchange Index Using Multivariate GARCH Model. Iranian Journal of Trade Studies, 17(65), 65-86 (In Persian).
  3. Adrian, T., & Brunnermeier, M. K. (2016). CoVaR. The American Economic Review, 106(7), 1705-1741.
  4. Abdalla, I.S.A., Murinde, V., (1997). Exchange rate and stock price interactions in emerging financial markets: Evidence on India, Korea, Pakistan, and Philippines. Applied Financial Economics 7, 25–35.
  5. Ajayi, R.A., Friedman, J., Mehdian, S.M., (1998). On the relationship between stock returns and exchange rates: Test of Granger causality. Global Finance Journal 9, 241–251.
  6. Anshul, J., Biswal, P.C., (2016). Dynamic linkages among oil price, gold price, exchange rate, and stock market in India. Resources Policy, 49, 179-185.
  7. Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217-229.
  8. Blanchard, Olivier J., (1984), ‘Current and Anticipated Deficits, Interest Rates, and Economic Activity,’ European Economic Review, 25: 7-27.
  9. Breymann, W., Dias, A., & Embrechts, P. (2003). Dependence structures for multivariate high-frequency data in finance.
  10. Chen, N., Roll, R. and Ross, S. (1986). Economic Forces and the Stock Market. Journal of Business.  59, 383-403.
  11. Chow, E.H., Lee, W.Y., Solt, M.S., (1997). The exchange rate risk exposure of asset returns. Journal of Business 70, 105–123.
  12. Doorandish, A. & Shariat, E. & Arzandeh, N. (2014). The Study of Volatility Spillover Effects of The Exchange Rate on Agricultural Industry Index Listed on The Stock Exchange. Journal of Agricultural Economics & Development, 2(28), 177-184 (In Persian).
  13. Diamandis, P., Drakos, A., (2011). Financial liberalization, exchange rates and stock prices:exogenous shocks in four Latin America countries. Journal of Policy Modeling 33, 381-394.
  14. Frankel, J.A., (1983). Monetary and portfolio-balance models of exchange rate determination. In: J. S. Bhandari, & B. H. Putnam (Eds.), Economic interdependence and flexible exchange rates. Cambridge, MA: MIT Press.
  15. Frenkel, Jacob, and Assaf Razin, 'The Mundell-Fleming Model a Quarter Century Later: A Unified Exposition' IMF Staff Papers, December 1987, 34: 567-620.
  16. Ghalibaf Asl, H. (2002). Assessment of Effect of Exchange Rates on the Value of Stocks in Iran. Master's Thesis, Faculty of Management, University of Tehran, Tehran, Iran (In Persian).
  17. Gavin, M. (1989) The stock market and exchange rate dynamics, Journal of International Money and Finance, 8, 181-200.
  18. Girardi, G., Ergün, A.T., (2013). Systemic risk measurement: Multivariate GARCH estimation of CoVaR. Journal of Banking and Finance 37, 3169-3180.
  19. Giovannini, A. and Jorion, P. (1989). The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets. Journal of Finance. 307-325.
  20. Griffin, J. M., Nardari, F., Stulz, R.M., (2004). Are daily cross-border equity flows pushed or pulled? Review of Economics and Statistics, 86(3), 641-657.
  21. Hansen, B. E. (1994). Autoregressive conditional density estimation. International Economic Review, 705-730.
  22. Hau, H., Rey, H., (2006). Exchange rates, equity prices, and capital flows. The Review of Financial Studies 19, 273-317.
  23. Heidari, H. & Bashiri, S. (2012). Investigating The Relationship Between Real Exchange Rate Uncertainty and Stock Price Index In Tehran Stock Exchange Using VAR-GARCH Models. Journal of Economic Modeling Research, 3(9), 71-93 (In Persian).
  24. Jahangiri, Kh. & Hekmatifarid, S. (2015). Investigating the Effects of Volatility Spillover between Stock, Gold, Oil and Exchange Markets. Journal of Economic Research, 15(56), 161-164 (In Persian).
  25. Jorion, P. (1990). The Exchange-Rate Exposure of U.S. Multinationals. The Journal of Business, 63 (3), 331-345.
  26. Karimzadeh, M. (2006). Examination Long Run Relationship Between Stock Price Index and Monetary Macroecnomic Variables by Using Cointegration Techniqu in Economy of Iran. Journal of Economic Research, 8(26), 41-54 (In Persian).
  27. Lin, C-H., (2012). The comovement between exchange rates and stock prices in the Asian emerging markets. International Review of Economics and Finance 22, 161-172.
  28. Michelis, L., Ning, C., (2010). The dependence structure between the Canadian stock market and the USD/CAD exchange rate: a copula approach. Canadian Journal of Economics 43, 1016-1039.
  29. Nahidi, M. & Nikbakht, F. (2010). Study the Effect of Volatility of Real Exchange Rate on Dividend and Price Index (TEDPIX) in Tehran Stock Exchange. Quarterly Journal of Securities Exchange, 3(11), 43-59 (In Persian).
  30. Najjarzadeh, R, & Aghaei, M. & Rezaeepour, M. (2009). The Impact of Price and Exchange Rate Fluctuations on Stock Price Index in Tehran Stock Market: Using a Vector Auto-Regression Method. Journal of Economic Research, 1(9), 147-175 (In Persian).
  31. Nelsen, R.B., (2006). An Introduction to Copulas. Springer-Verlag, New York.
  32. Nieh, C-C., Lee, C-F., (2001). Dynamic relationship between stock prices and exchange rates for G-7 countries. The Quarterly Review of Economics and Finance, 41, 477-490
  33. Ning, C., (2010). Dependence structure between the equity market and the foreign exchange market–a copula approach. Journal of International Money and Finance, 29, 743-759.
  34. Patton, A. J., (2006). Modelling asymmetric exchange rate dependence. International Economic Review 47(2), 527-556.
  35. Pavlova, A., & Rigobon, R. (2007). Asset prices and exchange rates. Review of Financial Studies20(4), 1139-1180.
  36. Phylaktis, K., Ravazolo, F., (2005). Stock prices and exchange rate dynamics. Journal of International Money and Finance, 24, 1031-1053.
  37. Reboredo, J.C., (2012). Modelling oil price and exchange rate co-movements. Journal of Policy Modeling 34(3), 419-440.
  38. Reboredo, J.C., (2013). Is gold a safe haven or a hedge for the US dollar? Implications for risk management. Journal of Banking and Finance 37, 2665-2676.
  39. Reboredo, J.C., Ugolini, A., (2015). Systemic risk in European sovereign debt markets: A CoVaR-copula approach. Journal of International Money and Finance 51, 214–244.
  40. Reboredo, J.C., Miguel A. Rivera-Castro, Ugolini, A., (2016). Downside and pside risk spillovers between exchange rates and stock prices. Journal of Banking & Finance 62, 76–96.
  41. Ross, S., Westerfield, R. W. and Jaffe, J. (1999), Corporate Finance, 5th ed. New York: McGraw-Hill.
  42. Shahbazi, K. & Rezaei, E. & Salehi, Y. (2013). The Impact of Oil Price Shocks on the Stock Returns of Tehran Stock Exchange (TSE). Financial Knowledge of Securities Analysis, 6(18), 125-136 (In Persian).
  43. Shojaei, A. & Khezri, M. & Beygi, T. (2011). Assessment of Effects of Exchange Rates Market of Tehran Stock Exchange Using Markov Switching Regime. Journal of Applied Economics, 2(6), 113-141 (In Persian).
  44. Taghavi, M. & Biabani, Sh. (1993). The Effects of Exchange Rates Changes and Future Cash Flow on the Value of Stocks in Tehran Stock Exchange. Journal of Economic Bulletin, 10(26), 13-38 (In Persian).
  45. Tehrani, R. & Navvabi, A. & Arian, A & Hoseyni, S. (2011). Assessment of the Relationship between Exchange Rates Fluctuations and Stock Returns in Tehran Stock Exchange. Quarterly Journal of Securities Exchange, 6(17), 87-101 (In Persian).
  46. Tobin, J., (1969). A general equilibrium approach to monetary theory. Journal of Money, Credit, and Banking 1, 15–29.
  47. Vakilifar, H. & Alifarri, M. (2015). The Effect of Currency Rate Fluctuation on stock Return of Companies Admitted in Tehran Stock Exchange. Journal of Management System, 9(30), 83-98 (In Persian).
  48. Wang, Y-C., Wu, J-L., Lai, Y-H., (2013). A revisit to the dependence structure between the stock and foreign exchange markets: A dependence switching copula approach. Journal of Banking and Finance 37, 1706–1719.
  49. Zare, H. & Rezaei, Z. (1996). The Effect of Exchange Rates, Gold Coins and Real State on Tehran Stock Exchange, A VAR Aproach. Journal of Financial Accounting Research, 2(21), 99-112 (In Persian).