بررسی ارتباط نامتقارن قیمت نفت و پاندمی کووید-19 با ارزش معامله در بورس اوراق بهادار

محورهای موضوعی : دانش سرمایه‌گذاری

معصومه دادگر ¹ , ویدا ورهرامی ²

1 - دانشجوی دکترای توسعه اقتصادی ، دانشکده اقتصاد و علوم اجتماعی، دانشگاه الزهرا،
2 - عضو هیئت علمی دانشکده اقتصاد و علوم سیاسی، دانشگاه شهید بهشتی

تاریخ دریافت : 1399/05/25 تاریخ پذیرش : 1399/09/10 تاریخ انتشار : 1402/07/01

کلید واژه: بازار سهام, ارزش معامله بورس, قیمت نفت, ویروس کرونا, NARDL,

چکیده مقاله :

پیش بینی بازار بورس در هر دوره‌ای دشواری‌هایی به همراه داشته و ارزش معاملات بورس تحت تاثیر عوامل مختلف بوده است. از جمله این عوامل، حوزه نفت و گاز به ویژه در کشورهای وابسته به درآمد حاصل از فروش آنها بوده است. از طرفی شیوع پاندمی کووید-19 به تغییراتی عمیقی در هر دو حوزه منجر گردیده است. لذا در مقاله پیش رو، ارتباط بین قیمت‌های نفت و بازار بورس ایران با توجه به شیوع پاندمی کرونا مورد بررسی قرار می‌گیرد. شناخت پویایی‌های رفتار شاخص ارزش معامله بورس می‌تواند به پیش‌بینی دقیق تر رفتار آتی این متغیر کمک کند. بر این اساس، هدف اصلی این مقاله تحلیل بررسی ارتباط نامتقارن قیمت نفت، همچنین به طور هم‌زمان تاثیر تعداد مبتلایان ویروس کرونا، شاخص رسانه‌ای، شاخص هراس، شاخص اخبار جعلی، شاخص پوشش رسانه‌ای و شاخص احساس ویروس کرونا بر ارزش معامله بورس ایران، مورد مطالعه قرار می‌گیرد. در مقاله حاضر، از الگوی خودتوضیح با وقفه‌های گسترده غیرخطی(NARDL) در دوره زمانی (1399:05:15-1398:11:30) استفاده شده است. نتایج نشان می‌دهد که در بلندمدت افزایش قیمت نفت، اثر معنی دار نامتقارن بر ارزش معامله بورس دارد. از سوی دیگر در کوتاه‌مدت میزان مبتلایان کووید-19 رابطه مثبت بدون معنی و شاخص رسانه ای ویروس کرونا رابطه منفی با معنی با ارزش معامله بورس دارد.

چکیده انگلیسی:

Forecasting the stock market in each period has been difficult and the value of stock trading has been affected by various factors. Among these factors have been the oil and gas sector, especially in countries that depend on the revenue from their sales. On the other hand, the outbreak of Covid-19 pandemic has led to profound changes in both areas. Therefore, in this article, the relationship between oil prices and the Iranian stock market is examined with respect to the prevalence of the Corona pandemic. Understanding the behavior dynamics of the stock exchange value index can help to more accurately predict the future behavior of this variable. Accordingly, the main purpose of this paper is to analyze the asymmetric relationship between oil prices, as well as the simultaneous impact of the corona pandemic news and the rate of corona virus infection on the value of the Iranian stock exchange. In the present paper, nonlinear Autoregressive Distributed Lag (NARDL) in the time period (1399: 05: 15-1398: 11: 30) has been used. The results show that in the long run, rising oil prices have a significant asymmetric effect on stock exchange value. On the other hand, in the short run, the rate of Covid-19 patients has a positive relationship without meaning and the Covid-19 media index has a negative relationship with meaning with the value of stock exchange trading.

منابع و مأخذ:

A.Salisu, Afees ; O.Isah, Kazeem ;. (2017). Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach. Economic Modelling, 66, 258-271. doi:https://doi.org/10.1016/j.econmod.2017.07.010
 Al-Awadhi, Abdullah M. ; Alsaifi, Khaled ; Al-Awadhi, Ahmad ; Alhammadi, Salah ;. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance. doi:https://doi.org/10.1016/j.jbef.2020.100326
 Aravind, M.; Manojkrishnan, C. G.;. (2020). COVID-19: Effect on leading pharmaceutical stocks listed with NSE. International Journal of Research in Pharmaceutical Sciences, 31‒36. doi:https://doi.org/10.26452/ijrps.v11iSPL1.2014
 Ashraf, Badar Nadeem;. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities? Research in International Business and Finance. doi:https://doi.org/10.1016/j.ribaf.2020.101249
 Ashraf, Badar Nadeem ;. (2020). Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets. Journal of Behavioral and Experimental Finance. doi:https://doi.org/10.1016/j.jbef.2020.100371
 Aviral , Tiwari Kumar; Trabelsi, Nader; Alqahtani, Faisal; Bachmeier, Lance;. (2019). Modelling systemic risk and dependence structure between the prices of crude oil and exchange rates in BRICS economies: Evidence using quantile coherency and NGCoVaR approaches. Energy Economics, 81, 1011-1028. doi:https://doi.org/10.1016/j.eneco.2019.06.008
 Azimli, Asil ;. (2020). The impact of COVID-19 on the degree of dependence and. Finance Research Letters. doi:https://doi.org/10.1016/j.frl.2020.101648
 Azimli, Asil ;. (2020). The oil price risk and global stock returns. Energy. doi:https://doi.org/10.1016/j.energy.2020.117320.
 Baker, Scott R. ; Bloom, Nicholas ; Davis, Steven J. ; Kost, Kyle J. ; Sammon, Marco C. ; Viratyosin, Tasaneeya ;. (2020). The Unprecedented Stock Market Impact of COVID-19. NBER WORKING PAPER SERIES.
 Baldwin, Richard ; di Mauro, Beatrice Weder ;. (2020). Mitigating the COVID. CEPR Press.
 Caggiano, Giovanni ; Castelnuovo, Efrem ; Figueres, Juan Manuel ;. (2019). Economic Policy Uncertainty Spillovers in Booms and Busts. Oxford Bulletin of Economics and Statistics. doi:https://doi.org/10.1111/obes.12323
 Capelle-Blancard, Gunther ; Desroziers, Adrien ;. (2020). The Stock Market Is not the Economy? Insights from the COVID-19 Crisis. Social Science Research Network.
 Cepoi, Cosmin-Octavian ;. (2020). Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil. Finance Research Letters. doi:https://doi.org/10.1016/j.frl.2020.101658
 Charfeddine, Lanouar; Barkat, Karim;. (2020). Short- and long-run asymmetric effect of oil prices and oil and gas revenues on the real GDP and economic diversification in oil-dependent economy. Energy Economics, 89. doi:https://doi.org/10.1016/j.eneco.2020.104680
 Chen, Mei-Ping ; Lee, Chien-Chiang ; Lin, Yu-Hui ; Chen, Wen-Yi ;. (2018). Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis. Economic Research-Ekonomska Istraživanja. doi:https://doi.org/10.1080/1331677X.2018.1456354
بررسی ارتباط نامتقارن قیمت نفت و پاندمی کووید- 19 با ارزش معامله در بورس اوراق بهادار / معصومه دادگر و همکاران
213 دوره 12 / پیاپی 47 / پائیز 1402
 Chiang, Chern; Lin, Shih; Lin, Tsung; Wang, Tzung; Yeh, Hung; Chen, Jung; Tsai, Chia; Hung, Yi; Li, Yi; Liu, Ping; Chang, Kuan; Wang, Kang; Chao, Ting; Shyu, Kou; Yang, Wei; Ueng, Kwo; Chu, Pao; Yin, Wei; Lin, Jiunn;. (2018). 2018 consensus of the Taiwan Society of Cardiology and the Diabetes Association of Republic of China (Taiwan) on the pharmacological management of patients with type 2 diabetes and cardiovascular diseases. Journal of the Chinese Medical Association, 81(3), 189-222. doi:https://doi.org/10.1016/j.jcma.2018.01.001
 Chkir, Imed ; Guesmi, Khaled ; Brayek, Ben Angham ; Naoui, Kamel ;. (2020). Modelling the nonlinear relationship between oil prices, stock markets, and exchange rates in oil-exporting and oil-importing. Research in International Business and Finance. doi:https://doi.org/10.1016/j.ribaf.2020.101274
 Davis, Steven J.; Haltiwanger, John;. (2001). Sectoral job creation and destruction responses to oil price changes. Journal of Monetary Economics, 465-512. doi:https://doi.org/10.1016/S0304-3932(01)00086-1
 Devpura, Neluka ; Narayan, Paresh Kumar ;. (2020). Hourly Oil Price Volatility: The Role of COVID-19. Energy RESEARCH LETTERS. doi:https://doi.org/10.46557/001c.13683
 Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The Adjustment of Stock Prices to New Information. International Economic Review, 10, 1-21. doi:10.2307/2525569
 Ghosh, Sajal; Kanjilal, Kakali;. (2016). Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests. Energy Economics, 53, 111-117. doi:https://doi.org/10.1016/j.eneco.2014.11.002
 Gisser, Micha ; Goodwin, Thomas H. ;. (1986). Crude Oil and the Macroeconomy: Tests of Some Popular Notions: Note. Journal of Money, Credit and Banking, 95-103. doi:10.2307/1992323
 Goodella, J. W., & Huynhb, T. L. (2020). Did Congress trade ahead? Considering the reaction of US. Finance Research Letters. doi:https://doi.org/10.1016/j.frl.2020.101578
 Gopinath, Gita ;. (2020). Limiting the economic fallout. In R. Baldwin, & B. W. di Mauro, Mitigating the COVID. CEPR Press.
 Hamilton, James D. ;. (1983). Oil and the Macroeconomy since World War II. Journal of Political Economy, 228-248. doi:https://doi.org/10.1086/261140
 Hanke, Michael ; Kosolapova, Maria ; Weissensteiner, Alex ;. (2020). COVID-19 and Market Expectations: Evidence from Option-Implied Densities. Economics Letters. doi:https://doi.org/10.1016/j.econlet.2020.109441
 He, Feng ;. (2020). Asymmetric Volatility Spillovers between International Economic Policy Uncertainty. The North American Journal of Economics and Finance, 51. doi:https://doi.org/10.1016/j.najef.2019.101084
 He, Pinglin ; Sun, Yulong; Zhang, Ying ; Li, Tao ;. (2020). COVID–19’s Impact on Stock Prices Across Different Sectors—An Event Study Based on the Chinese Stock Market. Emerging Markets Finance and Trade, 56, 2198-2212. doi:https://doi.org/10.1080/1540496X.2020.1785865
 Hooker, Mark A. ;. (2002). Are Oil Shocks Inflationary? Asymmetric and Nonlinear Specifications versus Changes in Regime. Journal of Money, Credit and Banking, 34(2), 540-561.
 Ikechukwu, Kelikume; Omotayo, Muritala;. (2019). The impact of changes in oil price on stock market:. International Journal of Management, Economics and Social Sciences, 8(3), 169 –194. doi:DOI:10.32327/IJMESS.8.3.2019.11
 Kamran Khan, Muhammad ; Teng, Jian-Zhou ; Khan, Muhammad Imran ;. (2019). Asymmetric impact of oil prices on stock returns in Shanghai stock exchange: Evidence from asymmetric ARDL model. PloS one. doi:https://doi.org/10.1371/journal.pone.0218289
 Kang, Wensheng; Ratti, Ronald A. ;. (2015). Oil shocks, policy uncertainty and stock returns in China. Economics of Transition and Institutional Change, 23(4). doi:https://doi.org/10.1111/ecot.12062

_||_