بررسی پایداری تلاطم در بورس اوراق بهادار تهران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری مهندسی مالی، دانشگاه یزد، یزد، ایران

2 دانشیار، گروه حسابداری و مالی، دانشگاه یزد، یزد، ایران.

3 استادیار، گروه مالی و بانکداری، دانشگاه علامه طباطبائی، تهران، ایران.

4 استادیار، گروه حسابداری و مالی، دانشگاه یزد، یزد، ایران.

چکیده

یکی از عوامل مهم تاثیرگذار بر مشارکت سرمایه‌گذاران در بازار سهام، وجود اطلاعات در مورد روند و تحولات تلاطم قیمت‌های این بازار است. در سال‌های گذشته تحریم‌های اقتصادی و شیوع همه‌گیری کووید-19، بازار سهام ایران را دستخوش تلاطم نموده است. کاهش مداوم شاخص کل بازار سهام یکی از پیامدهای پایداری امواج تلاطمی ناشی از این وقایع است. برخی از تئوری‌های مالی نشان داده‌اند که کاهش قیمت‌های سهام می‌تواند ناشی از وجود ریشه واحد در تلاطم بازده قیمت‌های این بازار باشد.  در پژوهش حاضر، فرضیه افت قیمت‌های سهام به‌دلیل وجود ریشه واحد در تلاطم، با داده‌های شاخص کل بورس اوراق بهادار تهران در بازه‌ی 5 مهر 1395 تا 28 اسفند 1400 و با استفاده از مدل تلاطم تصادفی معرفی شده توسط سو و لی (1999) مورد بررسی قرار گرفت. یافته‌های پژوهش حاضر حاکی از آن است تخمین پسین ضریب پایداری در مدل تلاطم تصادفی برابر با یک می‌باشد. بنابراین، نمی‌توان عملکرد نامناسب بازار و فرضیه سقوط شاخص کل بورس اوراق بهادار تهران را به‌دلیل پایداری تلاطم رد کرد. 

کلیدواژه‌ها

عنوان مقاله [English]

Investigating the Volatility Persistence in Tehran Stock Exchange

نویسندگان [English]

  • Moslem Nilchi 1
  • Daryush Farid 2
  • Moslem Peymani 3
  • Hamidreza Mirzaei 4
1 Ph.D. Candidate in Financial Engineering, Yazd Universtity, Yazd,
2 Associate Prof, Department of Accounting and Finance, Yazd University, Yazd, Iran.
3 Assistant Prof, Department of Finance and Banking, Allameh Tabataba'i University, Tehran, Iran.
4 Assistant prof, Department of Accounting and Finance , Yazd University, Yazd.Iran
چکیده [English]

One of the important factors affecting the participation of investors in the stock market is the existence of information about the trends and price volatility of this market. In the past years, the economic sanctions and the Covid-19 epidemic have affected the Iran stock market. The continuous decrease of the stock market index is one of the consequences of volatility persistence waves caused by these events. Some financial theories have shown that the decline in stock prices can be caused by the existence of a unit root in the volatility of the market's price returns. In this research, the hypothesis of the drop in stock prices due to the presence of a unit root in the volatility was investigated with the data of the Tehran Stock Exchange index between 2016.September.21 to 2022.March.19 and using the stochastic volatility model introduced by Su and Lee (1999). The findings of this paper indicate that the posterior estimate of the coefficient of ϕ in the Stochastic volatility model is equal to one, therefore, it is not possible to reject the inappropriate performance of the market and the hypothesis of the fall of the Tehran Stock Exchange index as a result of the volatility persistence.

کلیدواژه‌ها [English]

  • Unit Root
  • Volatility Persistence
  • Stock Price Index
  • Stochastic Volatility

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چشم انداز مدیریت مالی
دوره 12، شماره 39
مهر 1401
صفحه 9-31

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