دوره 11، شماره 42 - ( 10-1399 )
سال11 شماره 42 صفحات 156-119 |
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:
AbbasiDarkhaneh A, Askari F, Hashemi Dizaj A. Measurement of Communication and Systematic Risk in Tehran Stock Exchange Index (with Linear and Nonlinear Granger Causality Approach and Regression Switching). jemr 2020; 11 (42) :119-156
URL: http://jemr.khu.ac.ir/article-1-2112-fa.html
URL: http://jemr.khu.ac.ir/article-1-2112-fa.html
عباسی درخانه عابد، عسکری فرید، هاشمی دیزج عبدالرحیم. اندازه‌گیری ارتباطات و ریسک سیستماتیک در شاخص صنایع بورس اوراق بهادار تهران (با رهیافت علیت گرنجر خطی و غیرخطی و سویچینگ رگرسیون). تحقیقات مدلسازی اقتصادی. 1399; 11 (42) :119-156
1- دانشگاه آزاد اسلامی واحد ابهر
2- دانشگاه آزاد اسلامی واحد ابهر ،farid.askarii99@gmail.com
3- دانشگاه محقق اردبیلی
2- دانشگاه آزاد اسلامی واحد ابهر ،
3- دانشگاه محقق اردبیلی
چکیده: (4273 مشاهده)
در این پژوهش با استفاده از روش‌های علیت گرنجر خطی و غیرخطی و سویچینگ رگرسیون، ارتباطات بین بازده شاخص صنایع مهم در بازه زمانی 1387 تا 1398 به منظور سرمایه‌گذاری در راستای رشد و توسعه اقتصادی مورد بررسی قرار گرفت. براساس نتایج بدست آمده در دو دوره 1387 تا 1392 و 1397 تا 1398:6 ارتباطات بین بازده شاخص صنایع مورد بررسی به بیشترین مقدار رسیده است. در رویکرد علیت گرنجر خطی بر اساس معیار مرکزیت، بازده شاخص فلزات، ماشین‌آلات و سرمایه‌گذاری دارای بیشترین اهمیت هستند و بازده شاخص ارتباطات و بانکی دارای کمترین اهمیت هستند. همچنین می‌توان گفت که میزان تأثیرگذاری و تأثیرپذیری بازده شاخص صنایع به خوبی تحت تأثیر میزان نوسانات بازار سهام است و این اهمیت به صورت نامتقارن است. در رویکرد علیت گرنجر غیرخطی براساس معیار مرکزیت، بخش ارتباطات دارای کمترین اهمیت است و صنایع فلزات اساسی، شیمیایی و ماشین‌آلات دارای بیشترین اهمیت هستند. در بازه 1397 تا 1398، بخش بانکی، صنایع خودرویی و ارتباطات دارای بیشترین اهمیت و تولیدات نفتی و فلزی دارای کمترین اهمیت به منظور سرمایه‌گذاری هستند.
نوع مطالعه: كاربردي |
موضوع مقاله:
رشد و توسعه و سیاست های کلان
دریافت: 1399/9/3 | پذیرش: 1399/11/28 | انتشار: 1400/1/31
دریافت: 1399/9/3 | پذیرش: 1399/11/28 | انتشار: 1400/1/31
فهرست منابع
1. Abbasids Ezzatullah, Nasir al-Islami Ibrahim, Sanei Ehsan. Optimal investment horizon in the total index (Tepix) and its comparison with the indices of automotive, sugar, pharmaceutical, financial and banking industries in Tehran Stock Exchange. Economic Modeling Research. jemr. 2018; 9 (33) :221-244. (in Persian) [DOI:10.29252/jemr.9.33.221]
2. Abu Dhari, Ayub, Shahikitash, Mohammad Nabi, Taliblu, Reza. The relationship between systematic risk and corporate income tax (Case study of Tehran Stock Exchange). Journal of Economic Research, 2014: (54) 14, 132 - 101. (in Persian)
3. Adabi firozjai, bagher, Mehrara, Mohsen, Shapur Mohammadi: Estimating and evaluating the value at risk of Tehran Stock Exchange based on window simulation method. Economic Modeling Research. 2016; 6 (23): 35-72. (in Persian). [DOI:10.18869/acadpub.jemr.6.23.35]
4. Ashfaq Saira, Usman Ayub. Ghulam Mujtaba. Naveed Raza. Gainers and losers with higher order portfolio risk optimization. Physica A: Statistical Mechanics and its Applications Volume 563, 1 February 2021, 125416 [DOI:10.1016/j.physa.2020.125416]
5. Abdel-Latif Abla, Hubert Schmitz (2010), "The Politics of Investment and Growth in Egypt", Working Paper 546, Economic Research Forum, September, P. 2.
6. Billio, M., Getmansky, M., Lo, W. A., Pelizzon, L. (2012). Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, Journal of Financial Economics, 104 (3), 535 - 559. [DOI:10.1016/j.jfineco.2011.12.010]
7. Brimble, M. A. (2003). The Relevance of Accounting Information for Valuation and Risk.
8. Burkart, M., Ellingsen, T. (2004). In- Kind Financial: A Theory of Trade Credit. American Economic Review, 94 (3), 569 - 590. [DOI:10.1257/0002828041464579]
9. Dehghan Khavari, Saeed, Mir Jalili, Seyed Hossein. Interaction of systematic risk with stock returns in Tehran Stock Exchange. Financial Economics,2019: 13 (49), 257-282. (in Persian)
10. Donald E. Knuth. The Art Of Computer Programming Vol 1. Third Edition. Addison-Wesley, 1997. ISBN4-89683-201-0.
11. Douglas B. West. Introduction to Graph Theory, Second Edition. Prentice Hall,(2001). ISBN 0-13-014400-2.
12. Ezzati, Kajal. Investigating the relationship between the ability of accruals and non-systematic stock risk based on the CAPM model and the Fama and French model in companies listed on the Tehran Stock Exchange. Quarterly Journal of Management and Accounting Studies, 2016: (2) 2, 282 - 267. (in Persian)
13. Gregoriou, G. (2011). Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, Palgrave. DOI: 10.1057/9780230295216. [DOI:10.1057/9780230295216]
14. Hamilton, J. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, 57 (2), 357-387. [DOI:10.2307/1912559]
15. Hajiha, Zahra, Safari, Fatemeh. Investigating the relationship between systematic stock risk and stock return skewness. Journal of Asset Management and Financing,2018: (1) 6, 10 - 1. (in Persian)
16. Ibrahim. K., & Haron . R. (2016). Examining systematic risk on malaysian firms: panel data evidence . Journal of global business and social entrepreneurship (gbse) , 2(1), 26 - 30.
17. Jalali, Umm Al-Banin, Ansari Samani, Habib, Hatefi, Majid. The effect of political risk on foreign direct investment in Iran. Journal of Economic Growth and Development Research, 2017: 8 (29), 157-174. (in Persian)
18. Jamei, Reza, Azizi, Benjamin. Investigating the effect of disclosing organizational social responsibilities on the level of cash holdings through special risk and systematic risk in companies listed on the Tehran Stock Exchange. Journal of Accounting Advances,2018: (2) 10, 130-97. (in Persian)
19. Lee, Yongwoong. Daniel Rösch. HaraldScheule. Systematic credit risk in securitised mortgage portfolios. Journal of Banking & Finance Volume 122, January 2021, 105996. [DOI:10.1016/j.jbankfin.2020.105996]
20. Mehrara Mohsen, Soheili Habib. Estimation of information risk dynamics in Tehran Stock Exchange. Economic Modeling Research. 2018; 8 (32): 55-90. (in Persian) [DOI:10.29252/jemr.8.32.55]
21. Mehrara, Mohsen, Falahati, Zabihullah, Heidari Zahiri, Nazi. Investigating the Relationship between Systematic Risk and Stock Returns in Tehran Stock Exchange (from 2008 to 2013) Using Capital Asset Pricing Model, Economic Progress Policy Quarterly,2013: (1) 1, 91-67. (in Persian)
22. Mojtahedi, Fatemeh, Mojavarian, Seyed Mojtaba, Hosseini Yakani, Seyed Ali. Determining the optimal portfolio with systematic risk modeling: Selected food industry companies of Tehran Stock Exchange. Agricultural Economics and Development, 2020: 34 (2), 149-161. (in Persian)
23. Moradmand Jalali, Milad, Hasanlu, Khadijeh. Assess the share of banks, insurance and investment companies in systematic risk. Quarterly Journal of Islamic Financial Studies and Banking,2015: (4) 2, 92-67. (in Persian)
24. Oordt, V. M., Zhou, C. (2018). Systemic risk and bank business models. Journal of APPLIED ECONOMETRICS, 34 (3), 365 - 384. [DOI:10.1002/jae.2666]
25. Piri, Parviz, Heidari, Hassan, Raouf, Samira. The relationship between systematic risk and economic value added in Iran. Quarterly Journal of Economic Research and Policy,2013: (66) 21, 186-169. (in Persian)
26. Poledna Sebastian. SerafínMartínez-Jaramillo. Fabio Caccioli. Quantification of systemic risk from overlapping portfolios in the financial system. Journal of Financial Stability Available online 15 October 2020, 100808 [DOI:10.1016/j.jfs.2020.100808]
27. Philippon, T., & Richard, M. (2010). Measuring Systemic Risk. International Journal of Business and Management, 4 (3), 1 - 46.
28. Rajabzadeh, Ali, Ghasemi, Ahmad Reza, Azar, Adel, Hosseini, Ruhollah. Explain and evaluate the priority indicators of industrial projects for optimal planning in the economy. Quarterly Journal of Industrial Economics Research,2018: 2 (3), 23-44. (in Persian)
29. Rahbar, Farhadaf Behzadi Sufiani, Mohsen, Isfahani, Pouria.The nonlinear effect of effective factors on the production of Iranian industrial enterprises: Threshold model. Quarterly Journal of Industrial Economics Research.2019: 3 (7) 17-7. (in Persian)
30. Rasekhi, Saeed, Asadi, Seyed Peyman, Sheidaei, Zahra. Dynamics of risk-return relationship in the Iranian stock market: New evidence using the GARCH-JUMP model. Iranian Journal of Economic Research,2015: (66) 21, 83-59. (in Persian)
31. Shahabadi, Abolfazl, Naziri, Mohammad Kazem, Hawaj, Sahar. Investigating the effect of macroeconomic variables on systematic risk of automotive, cement, pharmaceutical and food industries, Quarterly Journal of Economic Development Research,2011: (1) 7, 88-69. (in Persian)
32. Schwarcz, L. S. (2019). SYSTEMATIC REGULATION OF SYSTEMIC RISK, WISCONSIN LAW REVIEW, 1 - 53.
33. Serafeim, G., Ioannu, I., & Cheng, B. (2013). Corporate Social Responsibility and Access to Finance. Strategic Management Journal, 35 (1), 1 - 23. [DOI:10.1002/smj.2131]
34. Shenoy, Jaideep & Williams, Ryan, (2017). "Trade credit and the joint effects of supplier and customer financial characteristics," Journal of Financial Intermediation, Elsevier, 29(C), 68 - 80. [DOI:10.1016/j.jfi.2015.09.001]
35. Udi Manber. Introduction to Algorithms - A Creative Approach. MIT Press and Addison-Wesley, 1989. ISBN 2-12037-201-0.
36. Vadiee Noghabi, Mohammad Hossein, Yari, Fatemeh, Rafiei, Mehdi. Credit rating and systematic risk of the company, the first international conference and the third national conference on management research and humanities, May 2017, University of Tehran. (in Persian)
37. Viral, V., Acharya, L, H., Pedersen, Thomas, P., & Matthew, R. (2017), "Measuring Systemic Risk", The Review of Financial Studies, 30 (1), 2-47. [DOI:10.1093/rfs/hhw088]
38. West, T., & A.C. Worthington, (2006), "Macroeconomic Risk Factor in Australian Commercial Real Estate, Listed Property Trust and Property Sector Stock Returns: A Comparative Analysis Using GARCH - M", Journal of Financial Management of Property and Construction, 11(2), 21- 31. [DOI:10.1108/13664380680001083]
ارسال پیام به نویسنده مسئول
| بازنشر اطلاعات | |
 | این مقاله تحت شرایط Creative Commons Attribution-NonCommercial 4.0 International License قابل بازنشر است. |
