دوره 8، شماره 27 - ( 1-1396 )
سال8 شماره 27 صفحات 205-177 |
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Bordbar N, Heidari E. The Effect of World Oil Price Fluctuations on the Return of the Energy Intensive Industries Stock in Iran. jemr 2017; 8 (27) :177-205
URL: http://jemr.khu.ac.ir/article-1-1448-fa.html
URL: http://jemr.khu.ac.ir/article-1-1448-fa.html
بردبار نوشین، حیدری ابراهیم. اثر نوسانات قیمت جهانی نفت بر بازده سهام صنایع انرژی بر در ایران. تحقیقات مدلسازی اقتصادی. 1396; 8 (27) :177-205
1- دانشگاه خلیج فارس بوشهر ، noshin1090@yahoo.com
2- دانشگاه خلیج فارس بوشهر
2- دانشگاه خلیج فارس بوشهر
چکیده: (7542 مشاهده)
این مقاله رابطه بین نوسانات قیمت نفت و بازده سهام صنایع فلزات اساسی، فرآورده‌های نفتی و شیمیایی را با استفاده از مدل‌های خود رگرسیون برداری( (VARو خود رگرسیون ناهمسان واریانس شرطی چندمتغیره (MGARCH) در دوره زمانی فروردین 1383 تا اسفند 1393 به صورت تجربی تحلیل می‌کند. در این مطالعه از مدل VAR-GARCH که توسط لینگ و مکالیر (2003) توسعه‌یافته است، استفاده می‌شود. مزیت این مدل این است که، به مسئله‌ی بازده و نوسانات در بین مجموعه‌ی در نظر گرفته‌شده، می‌پردازد. نتایج نشان می‌دهد اثرات میانگینی بین بازار نفت و بازار سهام فلزات اساسی و فرآورده‌های نفتی وجود دارد ولی در مورد بازار سهام صنایع شیمیایی این اثرات صدق نمی‌کند. اثر نوسانات بین دو بازار قیمت جهانی نفت و صنایع شیمیایی و فلزات اساسی وجود ندارد ولی بین نوسانات بازار نفت و نوسانات بازده سهام فرآورده‌های نفتی رابطه معنی‌داری منفی وجود دارد. در تیجه سرمایه‌گذاران بایستی تا حد امکان وابستگی سبد پرتفوی خود ره به قیمت نفت کاهش دهند.
نوع مطالعه: كاربردي |
موضوع مقاله:
پولی و مالی
دریافت: 1394/12/17 | پذیرش: 1395/10/28 | انتشار: 1396/2/27
دریافت: 1394/12/17 | پذیرش: 1395/10/28 | انتشار: 1396/2/27
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