عنوان بررسی تأثیر شاخص‌های کالایی جهانی منتخب بر شاخص استخراج کانه‌های فلزی بورس اوراق بهادار تهران

نوع مقاله : علمی - پژوهشی

نویسندگان

1 استادیار گروه مالی و بانکداری، دانشگاه علامه طباطبائی، تهران، ایران

2 دانشیار، گروه مالی و بانکداری، دانشگاه علامه طباطبائی، تهران، ایران.

3 استادیار،گروه حسابداری، دانشگاه علامه طباطبائی، تهران، ایران.

4 دانشجوی دکتری مدیریت مالی، دانشگاه علامه طباطبائی، تهران، ایران.

چکیده

باتوجه به اهمیت بازار سهام و همچنین شاخص های کالایی به عنوان یک شاخص پیش نگر، در این مطالعه به تاثیر شاخص های کالایی جهانی منتخب بر شاخص استخراج کانه­های فلزی در بورس اوراق بهادار تهران پرداخته شده است. در این مقاله با استفاده از داده­های ماهانه در کشور و در بازه زمانی ششم اردیبهشت  سال 1391 تا سی ام دی ماه سال 1398 تأثیر شاخص فلزات صنعتی بلومبرگ و شاخص فلزات صنعتی نزدک بر شاخص استخراج کانه­های فلزی در بورس اوراق بهادار تهران با روش ARDL مورد بررسی قرار گرفته است. در این مطالعه به منظور بررسی وجود رابطه بلندمدت، از آزمون کرانه­ها استفاده شده است. به منظور کنترل اثر متغیرهای نقدینگی، تورم مصرف کننده، تورم تولید کننده و نرخ ارز در بازار غیر رسمی بر روی متغیرهای مستقل و وابسته، این متغیرها به عنوان متغیر کنترلی در مدل مورد استفاده قرار گرفتند. نتایج حاکی از آن است که شاخص های کالایی جهانی فلزات صنعتی بلومبرگ و شاخص فلزات صنعتی نزدک، دارای رابطه مثبت و معنادار با شاخص استخراج کانه­های فلزی در بورس اوراق بهادار تهران می باشند. در میان دو شاخص فوق، شاخص فلزات صنعتی نزدک نسبت به شاخص فلزات صنعتی بلومبرگ، بر روی شاخص کانه­های غیر فلزی تأثیر­گذارتر بود.

کلیدواژه‌ها


عنوان مقاله [English]

Survey the Impact of Selected Global Commodity Indexes on Metal Ore Mining Index of Tehran Stock Exchange

نویسندگان [English]

  • Mohammad Ali Dehghan Dehnavi 1
  • Mohammad Hashem Botshekan 2
  • MohammadJavad Salimi 3
  • Meisam Bagheri Kopaei 4
1 Assistant Prof, Department of Finance and Banking, Allameh Tabataba’i University, Tehran, Iran,
2 Associate Prof, Department of Finance and Banking, Allameh Tabataba’i University, Tehran, Iran.
3 Assistant Prof, Department of Accounting, Allameh Tabataba’i University, Tehran, Iran.
4 Ph.D Candidate in Financial Management, Allameh Tabataba’i University, Tehran, Iran.
چکیده [English]

Regarding the importance of the stock market and commodity indexes as a predictive index, in this study, the effect of selected global commodity indices on the index of metal ores in the Tehran Stock Exchange has been investigated. Using the monthly state data from April 25th, 2012 to January 20th, 2020, the impact of the index of Bloomberg industrial metals, and the index of Nasdaq industrial metals on the index of metal ores extraction in Tehran stock exchange were studied by ARDL method. To investigate the existence of the long-term relationship, a bound testing was used. In order to control the effects of liquidity, consumer’s inflation, producer’s inflation, and the exchange rate in the unofficial market on independent and dependent variables, these variables were used as control variables in the model. The results show that the global commodity indexes of CRB without energy, Bloomberg industrial metals index, and Nasdaq industrial metals index have a positive and meaningful relationship with the index of metal ores extraction in the Tehran stock exchange Among the above two indexes, the Nasdaq industrial metals index was more influential on the metal ores extraction index than the Bloomberg industrial metals index.

کلیدواژه‌ها [English]

  • Bloomberg Industrial Metals Index
  • Nasdaq industrial metals index
  • Index of Metal Ores Extraction
  • ARDL method
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