بررسی سرایت میان بازارهای پولی و مالی در ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری مدیریت مالی، گروه مدیریت مالی، دانشکده مدیریت و اقتصاد، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران،

2 استاد و عضو هیات علمی، گروه مدیریت مالی، دانشکده مدیریت و اقتصاد، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران

3 دانشیار و عضو هیات علمی، گروه مدیریت، دانشکده مدیریت، واحد تهران مرکزی، دانشگاه آزاد اسلامی، تهران، ایران

چکیده

بروز شوک‌ در بازارهای پولی و مالی باعث تلاطم و بر هم خوردن روابط درون بازار بالاخص ارتباط میان ریسک و بازده دارایی‌ها سرمایه‌ای شده و وجود همبستگی پویا میان بازارها باعث می‌گردد اثر شوک در یک بازار به دیگر بازارها نیز سرایت نماید. در این تحقیق اثر سرایت میان بازارهای پولی و مالی ایران با استفاده از تحلیل همبستگی پویا میان واریانس‌ها و میانگین پویای شرطی بازده‌های روزانه، حاصل از برآوردهای FIAPARCH تک‌متغیره بازارها طی یک دوره یازده ساله، از ابتدای سال 1386 تا پایان سال 1396 و با استفاده از الگوریتم کارلگوک در شناسایی نقاط شکست ساختاری در بازده‌های بازارها مورد بررسی قرار گرفته است. نتایج نشان‌دهنده عدم تأثیر رخدادهای سیاسی داخلی بر بروز شوک در بازارها و همچنین وجود اثر سرایت میان بازارهاست. همچنین مشخص گردید که سرمایه‌گذاران در طول دوره تلاطم و پس از آن رفتار گله‌ای از خود نشان داده و پس از پایان تلاطم و ایجاد آرامش مجدد در بازار، با توجه به آموخته‌ها و تغییرات ایجاد شده در مطلوبیت‌ها با توجه به رخدادهای پیش‌آمده و نگرش‌های جدید به ریسک و بازده، رفتار سرمایه‌گذاری خود را تغییر می‌دهند.

کلیدواژه‌ها

عنوان مقاله [English]

Investigating the Effects of Contagion Between Monetary and Financial Markets of Iran

نویسندگان [English]

  • Mehrdad Dadmehr 1
  • Freydoon Rahnama Roodposhti 2
  • Hashem Nikoumaram 2
  • Mir Feyz Fallah Shams 3
1 Ph.D Candidate in Financial Management, Department of Management, Faculty of Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran,
2 Professor of Management, Department of Management, Faculty of Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran
3 Associate Professor of Management, Department of Management, Faculty Member of Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
چکیده [English]

The occurrence of shocks in monetary and financial markets causes turbulence and disrupt relations among markets in particular the relation between risk and return of capital assets. Either, the dynamic correlation that exists among markets makes the effect of shocks contagions from one market to other markets. In this study, we investigate the effect of contagion among the monetary and financial markets of Iran using analysis of multivariate dynamic correlation among “conditional dynamic” variance and averages of daily market returns that were obtained by FIAPARCH model during 2007-2018 and using the Kargolok algorithm to identify structural breaking point in time series of market returns. The results indicate that the domestic political events have no effect on the occurrence of market shocks and the existence of the effect of contagion among those market. Also, we found that investors show heard behavior during and after turbulence period and when the turmoil ends and stability returns to the market, according to learning and changes that occurred in their utilities due to events and their new attitudes towards risks and returns, will change their investment behavior. 

کلیدواژه‌ها [English]

  • Monetary and Financial Markets
  • Dynamic Conditional Correlation
  • Contagion
  • Kargolok Algorithm
  • FIAPARCH Model

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