اثرشوک ارز بر بازده بازار سرمایه تهران مدل "MS-FI-TGARCH"
محورهای موضوعی : دانش سرمایه‌گذاری
هاجر مرادیان
1
(مدیریت و حسابداری،مدیریت و حسابداری،یادگار امام،تهران،ایران)
علی حقیقت
2
(اقتصاد، مدیریت و حسابداری،آزاد شیراز،شیراز،ایران)
هاشم زارع
3
(عضو هیات علمی)
مهرزاد ابراهیمی
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”
Aloui, C., Jammazi, R. (2009). The Effects of Crude Oil Shocks on Stock Market Shifts Behavior: A Regimes Witching Approach. Energy Economics Vol 31(5), PP: 789–799
Bahmani-Oskooee, M, Saha, Sujata. (2015). Do exchange rate changes have symmetric or asymmetric effects on stock prices? Global Finance Journal, vol 31, PP: 57-72
Chkili, W., Nguyen, D.K. (2014) Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries, Research in International Business and Finance. Vol 31, PP: 46-56
Chkili, Walid, Aloui, Chaker, NguyenDuc, Khuong. (2012). Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates. Journal of International Financial Markets Institutions & Money. Vol 22, PP: 738-757
Chortareas, Georgios and et al. (2012).Switching to floating exchange rates, Devaluations, and stock returns in MENA countries, International Review of Financial Analysis Vol 21, PP: 119–127.
Dunne, Peter, Hau, Harald, Moore Michael. (2010). International order flows: Explaining equity and exchange rate returns. Journal of International Money and Finance. Vol 29, PP: 358-386
Diamandis, P.F., Drakos, A.A. (2011). Financial liberalization, exchange rates and stock prices: exogenous shocks in four Latin America countries. Journal of Policy Modeling Vol 33, PP: 381–394.
Dornbush, R., Fisher, S. (1980). Exchange rates and the current account. The American Economic Review Vol 70, PP: 960–971.
Hamilton, J.D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica Vol 57, PP: 357–384.
Hamilton, J.D., Susmel, R. (1994). Autoregressive conditional heteroscedasticity and changes in regime. Journal of Econometrics Vol 64, PP: 307–333.
Henry, O. (2009). Regime switching in the relationship between equity returns and short-term interest rates. Journal of Banking and Finance Vol 33, PP: 405–414.
Hwang .Y (2001) "Asymmetric long memory GARCH in exchange return.” Economics Letters,Vol 73, PP: 1–5
Kutty, G. (2010). The relationship between exchange rates and stock prices: the case of Mexico. North American Journal of Finance and Banking Research Vol 4, PP: 1–12.
Liang, C.C, Lin, J.B, Hsu, H.C (2013). "Reexamining the relationships between stock prices and exchange rates in ASEAN-5 using panel Granger causality approach."Economic Modelling, Vol 32, PP: 560–563
Lin, C.H, (2012). "The comovement between exchange rates and stock prices in the Asian emerging market." International Review of Economics and Finance, Volu 22, PP: 161–172
Tsagkanos,A,Siriopoulos,C.(2013).Along-run relationship between stock price index and exchange rate: A structural nonparametric cointegrating regression approach. Int. Fin. Markets, Inst. And Money Vol 25, PP: 106– 118.
Tsen, W. H, (2017). "Real exchange rate returns and real stock price returns.” International Review of Economics & Finance. Vol 49, PP: 340–352
Walid, C., Chaker, A., Masood, O., Fry, J. (2011). Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach, Emerging Markets Review Vol 12, PP: 272-292.
_||_