دوره 8، شماره 27 - ( 1-1396 )
سال8 شماره 27 صفحات 205-177 |
برگشت به فهرست نسخه ها
Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:
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: (7471 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
فهرست منابع
1. Aghaee, M., & Mokhtarian, A.(2004). Factors affecting decision making of investors in Tehran Stock Exchange. Evaluation of accounting and auditing, 11(36), 3-25.
2. Arouri, M. E. H, & Rault, C. (2014). An Econometric Analysis of the Impact of Oil Prices on Stock Markets in Gulf Cooperation Countries. Emerging Markets and the Global Economy, 161-178. [DOI:10.1016/B978-0-12-411549-1.00008-9]
4. Arouri, M. E. H., Jouini, J., & Nguyen, D. K. (2011). Volatility spillovers between oil prices and stock sector returns: implications for portfolio management. Journal of International Money and Finance, 30(7), 1387-1405. [DOI:10.1016/j.jimonfin.2011.07.008]
6. Bahramfar, N., & shams alam, H.(2004). The effect of variables on stock futures Abnormal returns accounting firms listed in the Tehran Stock Exchange. Evaluation of accounting and auditing, 11(37), 23-50.
7. Corden, W. M. (1984). Booming sector and Dutch disease economics: survey and consolidation. oxford economic Papers, 36(3), 359-380. [DOI:10.1093/oxfordjournals.oep.a041643]
9. Corden, W. M., & Neary, J. P. (1982). Booming sector and de-industrialisation in a small open economy. The economic journal, 92(368), 825-848. [DOI:10.2307/2232670]
11. Cunado, J., & de Gracia, F. P. (2014). Oil price shocks and stock market returns: Evidence for some European countries. Energy Economics, 42, 365-377. [DOI:10.1016/j.eneco.2013.10.017]
13. Demiralay, S., & Gencer, H. G. (2014). Volatility Transmissions between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies. International Journal of Energy Economics and Policy, 4(3), 442.
14. Demirer, R., Lee, H. T., & Lien, D. (2015). Does the stock market drive herd behavior in commodity futures markets?. International Review of Financial Analysis, 39, 32-44. [DOI:10.1016/j.irfa.2015.02.006]
16. Gil-Alana, L. A., & Yaya, O. S. (2014). The relationship between oil prices and the Nigerian stock market. An analysis based on fractional integration and cointegration. Energy Economics, 46, 328-333. [DOI:10.1016/j.eneco.2014.10.001]
18. Heydari, H., & Bashiri, S. (2012). The relationship between real exchange rate uncertainty and stock price index at Tehran Stock Exchange: Some Evidence from VAR-GARCH model. Journal of Economic Modeling, 9(3), 71-92.
19. Hoseini Nasab, A., KHezri, M., Rasouli, A. (2011). The effect of oil price volatility on the stock return Tehran Stock Exchange: wavelet analysis and Markov switching. Energy Economics Studies, 28 (8), 31-60.
20. Hoseini Nasab, A., KHezri, M., Rasouli, A. (2011). The effect of oil price volatility on the stock return Tehran Stock Exchange: wavelet analysis and Markov switching. Energy Economics Studies, 28 (8), 31-60.
21. Jouini, J. (2013). Return and volatility interaction between oil prices and stock markets in Saudi Arabia. Journal of Policy Modeling, 35(6), 1124-1144.. [DOI:10.1016/j.jpolmod.2013.08.003]
23. KHataie, M., & Mousavi Nick, H. (2008). The effect of exchange rate fluctuations on economic growth given the level of development of financial markets. Iran's Economic Research, 12(37), 1-19.
24. McNelis, P. D. (2005). Neural networks in finance: gaining predictive edge in the market. Academic Press.
25. Mehrabian, A., & Borhanifard, M., J. (2013). Effect of fluctuations in oil prices on the stock price index petrochemical companies. E-Vision Conference National Iranian economy.
26. Phan, D. H. B., Sharma, S. S., & Narayan, P. K. (2015). Oil price and stock returns of consumers and producers of crude oil. Journal of International Financial Markets, Institutions and Money, 34, 245-262. [DOI:10.1016/j.intfin.2014.11.010]
28. Pour heihdari, A. (2010). Examine the determinants of stock price changes in the Tehran Stock Exchange. . Evaluation of accounting and auditing, 17(60), 31-60.
29. Rahnamaye, F,. Tajmir Reyhani, H., Smael Atoee, S. (2012). Comparison and analysis of oil price fluctuations in the exchange rate of return based petrochemical industries related to arbitrage pricing theory and dynamic regression model. Investment Knowledge. Evaluation of accounting and auditing, (1), 53-76.
30. Rezagholi Zadeh, M., Yavari, K., Sahabi, B., saleh abadi, A. (2013). Of alternative assets effect of fluctuations in the stock price index.. Evaluation of accounting and auditing, 1 (20), 43-64.
31. Sadeghi shahdani, M., & Mohseni, H. (2011). The impact of oil prices on stock market returns: Evidence from oil exporting countries in the Middle East. Research planning and energy policy, 1-16.
32. Samadi, S., Shirani fakhr, Z., Davarzadeh, M. (2007). Evaluation of the effect of stock price index of Tehran Stock Exchange, the price of gold and oil (modeling and forecasting). economic review, 2 (4), 25-47.
33. Shariati, A., Moradi, M., Zeratkish, Y. (2011). Evaluation of long-term relationships volatility of stock indexes and oil prices on economic growth in the current eight member countries. The first electronic meeting of the National Economic Outlook, 1-21.
34. Soytas, U., & Oran, A. (2011). Volatility spillover from world oil spot markets to aggregate and electricity. Applied Energy, 354-360. [DOI:10.1016/j.apenergy.2010.07.018]
36. Tsai, C. L. (2015). How do US stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis? Energy Economics, 50, 47-62.
37. Van Wijnbergen, S. (1984). TheDutch Disease': a disease after all? The Economic Journal, 41-55.
38. Vo, M. (2011). Oil and stock market volatility: A multivariate stochastic volatility perspective. Energy Economics, 956-965. [DOI:10.1016/j.eneco.2011.03.005]
40. Yahyazadehfar, M., Larimi, J., Faramarzi, R. (2007). Evaluate the impact of oil price shocks and income on real stock returns of companies listed on Tehran Stock Exchange . Studies Accounting and Auditing, 2(1), 1-33.
ارسال پیام به نویسنده مسئول
| بازنشر اطلاعات | |
 | این مقاله تحت شرایط Creative Commons Attribution-NonCommercial 4.0 International License قابل بازنشر است. |
