سنجش پویایی‌های اتصالات فرکانسی و ریسک سیستمی در بازار سهام ایران
محورهای موضوعی : اقتصاد مالی
پریسا مهاجری
1
*
,
رضا طالبلو
2
,
زهرا ذبیحی
3
1 - اقتصاد نظری، دانشکده اقتصاد، دانشگاه علامه طباطبائی
2 - اقتصاد نظری، دانشکده اقتصاد، دانشگاه علامه طباطبائی
3 - دانشجوی اقتصاد مالی-اقتصادسنجی، دانشکده اقتصاد، دانشگاه علامه طباطبائی
کلید واژه: ریسک سیستمی, اتصالات فرکانس, سرریز تلاطمات, مدل خودرگرسیون برداری با پارامترهای متغیر در طول زمان (TVP-VAR),
چکیده مقاله :
هدف اصلی مقاله حاضر، بررسی انتقال ریسک در مجموعه‌ای از صنایع بورسی بازار سهام ایران از طریق ترکیب اتصالات فرکانس (بارانیک و کرهلیک، 2018) با رویکرد اتصالات مستخرج از خودرگرسیون برداری با پارامترهای متغیر در طول زمان (آنتوناکاکیس و همکاران، 2020) است. در این مقاله با تمرکز بر تلاطمات بازده 20 صنعت طی دوره زمانی 01/07/1388 تا 31/06/1402، شاخص‌های اتصالات پویا و ایستا در بازه فرکانس اندک، میانه و بالا برآورد می‌شوند. یافته‌های مقاله حاکی از آن است که: نخست، هم‌حرکتی بسیار قوی طی زمان در صنایع بورسی وجود داشته و در سال‌های اخیر، بیش از 80 درصد تلاطمات هر صنعت، ریشه در ریسک سیستمی دارد. دوم، سرریز تلاطمات عمدتاً در بازه‌های زمانی کوتاه‌مدت رخ می‌دهد و اتصالات بلندمدت در بازار سهام عموماً نقش کلیدی ندارد. سوم، کانه‌های غیرفلزی، املاک و فلزات اساسی بزرگترین انتقال‌دهندگان تلاطمات در بازار سهام محسوب می‌شوند و در مقابل، صنایع قند و شکر، حمل و نقل و فرآورده‌های نفتی، دریافت‌کنندگان اصلی شوک‌ها هستند. چهارم، فرآیند انتقال ریسک در اغلب صنایع به سرعت انجام می‌شود به‌طوری‌که بیش از 70 درصد تلاطمات در بازه زمانی 1 تا 10 روز کاری انتقال می‌یابد. پنجم، اتصالات قوی و دوطرفه‌ای بین چهار صنعت بزرگ کامودیتی‌محور وجود دارد. تحلیل اتصالات بین‌بخشی از یک سو به منزله راهنمای مهمی در تدوین سیاست‌های محرک رشد و طراحی اقدامات پیشگیرانه برای جلوگیری از انتشار ریسک سیستمی برای سیاستگذاران محسوب می‌شود و از سوی دیگر ابزاری کارآمد برای تشکیل سبد بهینه سرمایه‌گذاری در انطباق با ریسک‌های سیستمی است.
In this paper, we investigate the dynamics of risk transmission among a set of listed industries of the Iranian stock market by combining frequency connectedness (Barunik and Krehlik, 2018) with the time-varying connectedness approach (Antonakakis et al., 2020). In this article, focusing on the return volatilities of 20 industries during the period of 1388/07/01 to 1402/06/31, the static and dynamic connectedness Indices are estimated for low, medium and high frequency. The results reveal several noteworthy findings: First, there has been a very strong co-movement over time in the stock market industries and more than 80% of each industry’s volatilities being attributed to systemic risk in recent years. Second, volatility spillovers are primarily concentrated in the short-term, while long-term connectedness plays a less pivotal role. Third, non-metal ores, real estate and basic metals emerge as the biggest transmitters of shocks in the stock market, while sugar, transportation and petroleum products are the principal receivers of these shocks. Fourth, the risk transmission process in most industries is rapid, with more than 70% of the volatility being transferred within 1 to 10 days. Fifth, there are strong pairwise connectedness between the four major commodity-oriented industries. Our exploration of inter-sectoral connectedness serves as a vital guide for policymakers in designing growth-stimulating policies and implementing appropraite measures to mitigate the systemic risk contagion. Additionally, it provides a valuable tool for constructing optimal investment portfolios that are resilient against systemic risks.
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