بررسی تأثیر پویایی‎‌های قیمت نفت بر مومنتوم صنایع در بورس اوراق بهادار تهران

نوع مقاله : علمی - پژوهشی

نویسندگان

1 کارشناسی ارشد مهندسی مالی، دانشگاه خوارزمی، تهران، ایران.

2 استادیار گروه مدیریت مالی و مهندسی مالی، دانشگاه خوارزمی، تهران، ایران

3 استادیار گروه مدیریت مالی و مهندسی مالی، دانشگاه خوارزمی، تهران، ایران.

چکیده

یکی از عوامل تأثیرگذار بر بازدهی بازار سهام، تغییر بازده نفت و نوسانات آن است که می‌توان از آن در توضیح بازدهی و اتخاذ استراتژی‎های سودآور در بازار سرمایه کمک گرفت. با عنایت به اهمیت تأثیر تغییر قیمت نفت خام بر بازده سهام در صنایع مختلف، در این پژوهش با استفاده از داده‏های ماهانه دوره زمانی 1388 تا 1397، بررسی می‏شود که آیا بازده نفت و نوسان بازده نفت بر سودآوری استراتژی مومنتوم صنایع در بورس تهران تاثیر دارند. همچنین علاوه بر بررسی پایداری نتایج به دست آمده، بازده استراتژی مومنتوم مبتنی بر داده‌های قیمت نفت خام با بازده استراتژی مومنتوم متعارف مقایسه می‏شود. نتایج پژوهش نشان می‏دهد که نوسان مشروط بازده نفت و بازده بازار سهام قادر به توضیح بازده مومنتوم صنایع، بازده پرتفوی صنایع برنده و بازده پرتفوی صنایع بازنده هستند. بررسی‏ها نشان می‏دهد نتایج پایدار بوده و نوسان بازدهی نفت پس از کنترل متغیرهای کلان اقتصادی، قدرت توضیح دهندگی بالایی دارد. همچنین استراتژی مومنتوم متعارف، بازده بالاتری نسبت به استراتژی مومنتوم مبتنی بر نفت نتیجه می‏دهد. 

کلیدواژه‌ها

عنوان مقاله [English]

The Effect of oil price dynamics on industry momentum in Tehran stock Exchange

نویسندگان [English]

  • Shima Aleheidar 1
  • Mohammad Ebrahim Aghababaei 2
  • Mohammad Eghbalnia 3
1 Msc in Financial Engineering, Kharazmi University, Tehran, Iran.
2 Assistant Prof, Department of Financial Management and Financial Engineering, Kharazmi University, Tehran, Iran
3 Assistant Prof, Department of Financial Management and Financial Engineering, Kharazmi University, Tehran, Iran.
چکیده [English]

One of the factors affecting stock market returns is the change in oil return and volatility that can help explain the returns and adopt profitable strategies. Considering the importance of the impact of the crude oil price changes on stock return in different industries, this study uses monthly data from 2009 to 2018 to determine whether oil return volatility affect the profitability of Tehran stock exchange strategy? Besides of robustness of the results, the efficiency of the momentum strategy based on crude oil price data is compared with the efficiency of the conventional momentum strategy. The results show that the conditional oil return volatility and the stock market return are able to explain the momentum return of industries, the portfolio return of the winner industries and the portfolio return of loser industries. The study shows that the results are robust and the oil return volatility after controlling for macroeconomic variables has high explanatory power. The momentum strategy also yields higher returns than oil-based momentum strategy.

کلیدواژه‌ها [English]

  • Stock market
  • Winner industries
  • Loser industries
  • Oil return volatility
  • momentum strategy

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