تغییرات توزیعی بازده دارایی‌های مالی در دوره‌های قبل و بعد از کووید 19 بر پایه قانون توانی، تابع نمایی کشیده و توابع q-گوسی
الموضوعات :
رسول رضوانی
1
,
غلامرضا عسکرزاده
2
1 - گروه مهندسی مالی، واحد یزد، دانشگاه آزاد اسلامی، یزد، ایران
2 - گروه مدیریت مالی، واحد یزد، دانشگاه ازاد اسلامی، یزد، ایران
الکلمات المفتاحية: توزیع بازده, قانون توانی, دارایی‌های ریسکی,
ملخص المقالة :
شناسایی رفتار توزیعی بازده دارایی‌های ریسکی از ضروریاتی است که توجه بسیاری از محققان را به خود جلب کرده است. چرا که آگاهی و شناخت دقیق‌تر رفتار توزیعی بازده در انها، امکان انجام پیش بینی‌های دقیق‌تر از وضعیت آتی بازار را فراهم می‌کند، به خصوص در تعیین ارزش در معرض ریسک این دارایی‌ها که وابستگی مستقیم با شکل توزیعی بازده دارد.هدف پژوهش حاضر بررسی تغییرات توزیعی بازده دارایی‌های مالی در دوره‌های قبل و بعد از کووید 19 بر پایه قانون توانی، تابع نمایی کشیده و توابع q-گوسی است. در این راستا، 3 متغیر شاخص کل بورس، قیمت طلا و نرخ ارز مورد بررسی و اطلاعات مربوط به آنها در هریک از روزهای معاملاتی طی دوره 07/01/1395 تا 29/10/1401 جمع آوری شد. به منظور آزمون فرضیات، بااستفاده از آزمون کلموگروف-اسمیرنوف، به مقایسه توزیع تجربی بازده‌ها با هریک از توزیع‌های مذکور پرداخته شد. نتایج نشان داد که توزیع‌های لگاریتمی این دارایی‌ها از هیچ یک از توزیع‌های احتمال حاصل از قانون توانی، نمایی کشیده و q-گاوسی تبعیت نمی‌کنند.
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