اثرشوک ارز بر بازده بازار سرمایه تهران مدل "MS-FI-TGARCH"
محورهای موضوعی : دانش سرمایه‌گذاری
هاجر مرادیان
1
,
علی حقیقت
2
,
هاشم زارع
3
,
مهرزاد ابراهیمی
4
1 - مدیریت و حسابداری،مدیریت و حسابداری،یادگار امام،تهران،ایران
2 - اقتصاد، مدیریت و حسابداری،آزاد شیراز،شیراز،ایران
3 - عضو هیات علمی
4 - دانشگاه آزاد اسلامی شیراز ، شیراز، ایران
کلید واژه: "مارکوف حافظه بلندمدت گارچ آستانه نامتقارن", "بازده سهام", "شوک ارز",
چکیده مقاله :
چکیدهدر این تحقیق، نخستین بار، اثرات نامتقارن شوک ارز بر بازده بازار سرمایه در مدل MS-FITGARCH با نوآوری های: تغییر زمانی و عدم تقارن در واریانس شرطی ،وابستگی رژیم در اثر و جواب نامتقارن به شوک‌های وابسته به نوسانات بازار سهام و ارزو حافظه بلندمدت، در هر رژیم، بررسی می گردد . طی سالهای 2009-2017 ،درمدلMS-FIEGARCH(1,1) تک متغیره با احتمالات انتقال ثابت ،ضرایب حافظه بلند مدت واثرات نامتقارن،معناداروواریانس بالاو میانگین بالا مطابق با فاز رونق وواریانس پایین وبازده پایین مطابق با فاز رکود بود.با ورود متغیر نرخ ارز،واریانس پایین ومیانگین بالا، فاز رونق و واریانس بالا ومیانگین پایین مرتبط با فاز رکود گردید اما ضرایب شوک نرخ ارز برتابع واریانس بی معنا ومنجر به کاهش نرخ راست نمایی شد. بنابراین در افق هفتگی شوک‌های بازار ارز اثر معنا دار بر بازده سهام تهران ندارند.کلید واژه:"مارکوف حافظه بلندمدت گارچ آستانه نامتقارن"،"بازده سهام"،"شوک ارز"
Abstract: In this Research, for the first time, MRS-FITGARCH model is used to evaluate effects of exchange rate shocks on stock market returns with innovations that are: time changing and asymmetric effects in Conditional variance, regime dependent and asymmetric responds to shocks from stock market and exchange rates, long memory potential in the same time of regime changes. From 2009 to 2017, in univariate model with fixed transmission probability, long memory and asymmetric effects coefficient were Valued and high return mean and variance was recession phase and low return mean and variance was expansion phase. After adding exchange rate shocks, low return mean and high variance was recession phase and high return mean and low variance was expansion phase but exchange rate shocks coefficient was not valued and decreased the LR test, so in weekly times, its effects on TEPIX returns, was not valued.Key words: “MRSFITGARCH”,” stock return”, “exchange shock”
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