وابستگی بین بازدهی بورس، بازدهی طلا و گسترش ویروس کرونا در ایران: رویکرد توابع کاپیولا

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشیار گروه اقتصاد دانشکده علوم اجتماعی دانشگاه رازی، کرمانشاه، ایران

2 مربی گروه اقتصاد دانشگاه پیام نور، همدان، ایران

چکیده

تأثیر گسترش ویروس کووید 19 جزو جدایی ناپذیر اقتصادهای دنیا شده است. در این راستا تأثیر آن بر بازارهای مالی به عنوان یک شاخص موثر اقتصاد مطرح است. هدف پژوهش حاضر الگوسازی وابستگی بین بازدهی بورس، طلا و کووید 19 در کشور ایران است. در این تحقیق به تجزیه وتحلیل رابطه میان بازده بازارهای بورس اوراق بهادار، سکه و کووید 19 با استفاده از روش توابع کاپولا و شبیه‌سازی مونت کارلو با زنجیره مارکوف با استفاده از نرم افزار متلب در دوره زمانی 1399-1398 و با استفاده از داده‌های روزانه پرداخته شده است. براساس نتایج این تحقیق بین بازدهی بازار بورس و بیماری کووید 19 وابستگی دنباله­ای بالایی و پایینی مشابه وجود دارد و در زمان بازدهی شدید مثبت و منفی، وابستگی آن‌ها بیشتر خواهد شد و به عبارت دیگر سرایت وجود دارد.  همچنین بین بازارهای طلا و بیماری کووید 19 وابستگی دنباله‌ای متقارن وجود دارد. بنابراین با گسترش شیوع کووید 19، بازدهی بازار طلا ثابت باقی مانده است.

کلیدواژه‌ها

عنوان مقاله [English]

The Dependence of Returns in Stock Exchange Returns and Gold Markets with Spread of Covid-19 Virus in Iran: The Copula Functions Approach

نویسندگان [English]

  • Shahram Fattahi 1
  • Saeed Kian poor 2
1 Associate Professor of Economics, Faculty of Social Sciences, Razi University, Kermanshah, Iran
2 MA in Economics, Department of Economics, Payame Noor University of Hamedan, Hamedan, Iran.
چکیده [English]

The spread of covid19 virus has become an integral part of the world's economies. In this regard, its impact as an effective indicator on financial markets is important. The purpose of this study is modelling the relationship between the returns of stock and gold markets with the corona virus in Iran. Hence in this study, the relationship between stock market and gold market returns and corona virus are analyzed using the copula functions method and Monte Carlo simulation with Markov chain in the period 2020 with daily data by MATLAB software. According to the results of this study, there is a similar sequence between stock market returns and corona virus for highest and lowest sequences, and their dependence will increase at the time of strong positive and negative returns. In other words, there is transmission. Also, there is a symmetrical tail dependence between the gold market and corona virus. Thus, the return of the gold market has remained stable during the spread of corona virus.

کلیدواژه‌ها [English]

  • Coin Market
  • Corona
  • Stock Market
  • Tail Functions
  • Yield

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