واکنش خطی و غیرخطی بخش‌های بازار سهام به حرکات قیمتی طلا، ارز و نفت

محورهای موضوعی : پژوهش های مالی و رفتاری در حسابداری

شهناز مشایخ ¹ (دانشیار گروه حسابداری، دانشکده علوم اجتماعی و اقتصادی، دانشگاه الزهرا (س)، تهران، ایران)
طیبه جمشیدی ² (دانشجوی دکتری حسابداری، دانشکده علوم اجتماعی و اقتصادی، دانشگاه الزهرا (س)، تهران، ایران)

تاریخ دریافت : 1400/03/16 تاریخ پذیرش : 1400/05/21 تاریخ انتشار : 1400/06/01

کلید واژه: قیمت طلا, واکنش‌های خطی و غیرخطی, بازار سهام, قیمت نفت, قیمت ارز,

چکیده مقاله :

هدف این پژوهش بررسی واکنش خطی و غیرخطی بخش‌های بازار سهام به حرکات قیمت طلا، ارز و نفت است. جامعۀ آماری پژوهش شرکت‌های عضو بورس اوراق بهادار تهران است. داده‌های پژوهش طی سال‌های 1389 تا 1399 بررسی شد. داده‌های پژوهش از نوع سری زمانی است و جهت آزمون فرضیۀ پژوهش از روش رگرسیون خطی و غیرخطی استفاده شده است. نتایج نشان داد که در کوتاه‌مدت قیمت سهام در وقفه‌های 1، 3 و 7 اثر مثبت و در وقفه‌های 2، 4، 6 و 8 اثر منفی بر قیمت سهام دورۀ جاری دارد. مطابق با آزمون والد در مجموع قیمت سهام به طور مثبت از وقفه‌های خود تأثیر می‌پذیرد. همچنین در بلندمدت هم شوک مثبت و هم شوک منفی قیمت نفت اثر معنادار بر شاخص سهام دارد، کشش شاخص به قیمت جهانی نفت‌های 1 درصد است. نرخ ارز و طلا برخلاف قیمت نفت، اثری مثبت بر قیمت سهام در ایران دارند. مطابق با نتایج ضرایب برآوردی الگوی غیرخطی نشان می‌دهد قیمت سهام در مجموع به طور مثبت از وقفه‌های خود تأثیر می‌پذیرد.

چکیده انگلیسی:

The purpose of this study is to investigate the linear and nonlinear response of stock market segments to gold, currency and oil price movements. The statistical population of the study is the companies that are listed in the Tehran Stock Exchange. Research data are reviewed during the years 2010 to 2020. The research data is time series and linear and nonlinear regression methods are used to test the research hypothesis. The results show that in the short run, stock prices in intervals 1, 3 and 7 have a positive effect and in intervals 2, 4, 6 and 8 have a negative effect on stock prices in the current period. According to the parent test, overall stock prices are positively affected by their breaks. Also, in the long run, both positive and negative shocks of oil prices have a significant effect on the stock index, the elasticity of the index to world oil prices is about 70%. Unlike oil prices, the exchange rate and gold have a positive effect on stock prices in Iran. According to the results of the estimated coefficients of the nonlinear pattern, the stock price as a whole is positively affected by its intervals

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