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

مراجع

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