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  • رابطه سرریز شبکه ای بازدهی بازارهای سرمایه‌گذاری با رویکرد دیبولد و یلماز

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عنوان URL للمقالة


رقم المقالة : FEJ-2003-2536 (R1) زيارة : 263 الصفحة: 446 - 478

20.1001.1.22519165.1399.11.44.20.5

نوع المخطوط: ابحاث

رابطه سرریز شبکه ای بازدهی بازارهای سرمایه‌گذاری با رویکرد دیبولد و یلماز

الموضوعات :

سیدامیرمهدی هاشمی 1 , محمد خدایی وله زاقرد 2 , عباس معمارنژاد 3 , اصغر ابوالحسنی 4

1 - گروه مدیریت مالی، واحد علوم و تحقیقات،دانشگاه آزاد اسلامی، تهران، ایران
2 - گروه مدیریت مالی، واحد تهران شمال، دانشگاه آزاد اسلامی، تهران، ایران
3 - گروه اقتصاد،واحد علوم و تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران
4 - گروه اقتصاد و حسابداری، دانشگاه پیام نور، تهران، ایران

تاريخ الإرسال : 06 الإثنين , شعبان, 1441 تاريخ التأكيد : 24 الجمعة , شعبان, 1441 تاريخ الإصدار : 05 الثلاثاء , صفر, 1442

الکلمات المفتاحية: بورس, سر ریز نوسانات نامتقارن, خودرگرسیون برداری,

ملخص المقالة :

بازار سرمایه یکی از مهترین منابع تامین مالی بنگاه های اقتصادی در بلند‌مدت است. از آنجاییکه بازار سرمایه همواره از موضاعات مدنظر سیاست‌گذاران و سرمایه‌گذاران بوده است پرداختن به عوامل اثر گذار بر آن از اهمیت بالایی برخوردار است.اثرات سرریز و سرایت در بین بازارهای مالی باتوجه به ارتباط و حساسیت سرمایه به رخدادهای اقتصادی و غیر اقتصادی در دهه اخیر از اهمیت بالایی در مطالعات انجام شده در حوزه ادبیات مالی و اقتصادی برخوردار شده است. مطالعه حاضر نیز به بررسی اثرات سرریز در بازدهی بازارهای ارز، طلا، نفت، شاخص جهانی فلزات، مسکن و بخش بانکی برشاخص بورس اوراق بهادار طی دوره زمانی 1385 تا 1398 و به صورت ماهانه پرداخته است. به منظور افزایش دقت در تحلیل روند رشد اقتصادی ایران، افزایش انعطاف پذیری نتایج و برآورد اثرات سر ریز به صورت نامتقارن از مدل سرریز نوسانات با استفاده از رویکرد دیبولد و یلماز بهره گرفته شده است.

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_||_

 

 

 

. DOI: 10.1016/j.jeconom.2014.04.012.

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Abdelghani Echchabi1, Dhekra Azouzi “Oil Price Fluctuations and Stock Market Movements: An Application in Oman”   DOI: 10.13106/jafeb.2017.vol4.no2.1

Acharya, V., L. Pedersen, T. Philippe, and M. Richardson, “Measuring Systemic Risk,” Manuscript, Stern School, New York University,2010

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Adusei, Michael (2014), Does Economic Growth Promote Financial Development? Research in Applied Economics, Vol 6, No 2, PP: 209-220.

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