تبیین و بررسی مدل‌ تلاطم و سرریز بازارهای جهانی محصولات پتروشیمی و فلزات اساسی (مبتنی بر مدل‌های خانواده کاپولا)

محورهای موضوعی : دانش سرمایه‌گذاری

مهسا بناکار ¹ , هاشم نیکو مرام ² , حسن قالیباف اصل ³ , مهرزاد مینویی ⁴

1 - گروه مالی، دانشکده مدیریت و اقتصاد، واحد علوم تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران
2 - گروه مالی، دانشکده مدیریت و اقتصاد، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران
3 - گروه مدیریت، دانشکده علوم اجتماعی و اقتصادی، دانشگاه الزهرا، تهران، ایران
4 - گروه مدیریت صنعتی، دانشکده مدیریت، واحد تهران مرکزی، دانشگاه آزاد اسلامی، تهران، ایران

تاریخ دریافت : 1400/10/30 تاریخ پذیرش : 1400/11/13 تاریخ انتشار : 1402/04/01

کلید واژه: سرریزی تلاطم, سرایت مالی, توابع کاپولا, بازارهای جهانی,

چکیده مقاله :

نوسانات قیمت‌ کالاها در بازارهای جهانی همواره بر رفتار و تصمیمات سرمایه‌گذاران در بازارهای مالی موثر بوده است. در این پژوهش با استفاده از مدل‌های خانواده کاپولا سرایت مالی یا سرریزی تلاطم بازارهای جهانی محصولات پتروشیمی و فلزات اساسی بر شاخص قیمت سهام شرکت‌های پذیرفته شده بر شاخص قیمت سهام هشت صنعت منتخب بورس اوراق بهادار تهران طی بازه زمانی 10 سال (96-1387) مورد بررسی قرار گرفته است. روش پژوهش از نظر ماهیت انجام تحلیلی- توصیفی و به لحاظ هدف کاربردی است. آزمون فرضیات پژوهش با استفاده از رهیافت اقتصادسنجی مبتنی بر مدل‌های کاپولا و برنامه‌نویسی در نرم‌افزار MATLAB انجام شد. نتایج نشان می‌دهد که اثرات سرریز این متغیرها بر شاخص صنایع منتخب معنی‌دار اما متفاوت می‌باشد. بررسی مدل‌های مختلف روش کاپولا نشان داد که مدل‌ تی استیودنت بیشترین تناسب را در انتقال اثرات سرریز در دامنه‌های بالا و پایین دارند که این امر بیانگر وجود اثرات متقارن متغییرهای قیمت بازارهای جهانی محصولات پتروشیمی و فلزات اساسی دارای بر رفتار شاخص صنایع منتخب بورسی می‌باشد. و پس از آن مدل‌های کلایتون و گامبل در رتبه بعدی قرار دارد.

چکیده انگلیسی:

Fluctuations in commodity prices in global markets have always influenced the behavior and decisions of investors in financial markets. In this research, using the Copula family models, financial contagion or volatility spillover on global price of petrochemical products and base metals on the on the stock price index of eight selected industries of Tehran Stock Exchange listed companies during a period of 10 years (2008-2018) has been reviewed. The research method is descriptive-analytical in nature and applied in terms of purpose. The research hypotheses were tested using an econometric approach based on Copula models and programming in MATLAB software. The results show that the effects of overflow of these variables on the index of selected industries are significant but different.Examination of different models of Copula method showed that T-Student model is most suitable for transmitting spillover effects, which indicates the symmetrical effects of price variables in global markets of petrochemical products and base metals on the index performance of selected industries. And then Clayton and Gumble models are in the next rank.

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