آسیب‌پذیری شبکه سرایت بازار سهام ایران: رویکرد نظریه شبکه‌های پیچیده

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار بخش اقتصاد دانشکده اقتصاد، مدیریت و علوم اجتماعی دانشگاه شیراز، شیراز، ایران

2 دانشجوی دکتری اقتصاد بخش اقتصاد دانشکده اقتصاد، مدیریت و علوم اجتماعی دانشگاه شیراز، شیراز، ایران

10.29252/jem.2022.226674.1745

چکیده

در دنیای امروز، ساختارهای بهم پیوسته اقتصادهای مدرن باعث شده تا سرایت بحران از یک بخش یا یک کشور به سایر کشورها یا بخش‌های اقتصادی رخ بدهد. شواهد تجربی نشان داده است که بازارها با یکدیگر در ارتباط هستند و حرکت آن‌ها از هم جدا نیست. در پژوهش حاضر به منظور بررسی سرایت در بازار سهام ایران رویکردی نو ارایه می‌شود. نخست با رویکرد تحلیل اقتصادی، یک شبکه از 36 صنعت منتخب اقتصاد ایران مطابق با صنایع فعال در بازار سهام تشکیل و وزن یال هایی که آن‌ها را بهم متصل می‌کند مطابق با آخرین جدول 36 بخشی داده- ستانده مربوط به سال 1395 که در سال 1399 انتشار یافته تعیین می‌شود. در مرحله بعد یک شبکه همبستگی میان شاخص بازار سهام این 36 صنعت مطابق با داده‌های 243 روز معاملاتی در سال 1399 تشکیل می‌گردد. در این پژوهش با استفاده از معیارهای مرکزیت رویکردی ارایه می‌شود تا صنایع کلیدی بازار سهام مشخص گردند. مقایسه نتایج دو شبکه نشان می‌دهد در موارد محدودی در هر دو شبکه، صنعت فلزات اساسی، صنعت بانک‌ها، سرمایه‌گذاری و سایر واسطه‌های مالی و صنعت زراعت مطابق با تعدادی از معیارهای مرکزیت رتبه اول را کسب نموده‌اند و صنایع مهمی در ارتباط با اثر سرایت به شمار می‌آیند. اما در سایر موارد دو شبکه نتیجه مشابهی نداشته‌اند که نشان می‌دهد روابط میان شاخص بازار سهام صنایع صرفا بر مبنای روابط اقتصادی میان صنایع شکل نگرفته است. نتایج این پژوهش هم به سیاست‌گذاران و هم به سهامداران کمک می‌کند تا به محض مشاهده بحران در بخش‌های مهم بازار سهام تصمیمات مناسب اتخاذ نمایند.

کلیدواژه‌ها

عنوان مقاله [English]

Vulnerability of Contagion Network in Iran Stock Market: Complex Networks Theory Approach

نویسندگان [English]

  • Parviz Rostamzadeh 1
  • Zeinab Yadegar 2
1 Assistant Professor of Economics, Faculty of Economics, Management and Social Sciences, Shiraz University, Shiraz, Iran
2 Ph.D. Candidate in Economics, Faculty of Economics, Management and Social Sciences, Shiraz University, Shiraz, Iran
چکیده [English]

In today's world, the interconnected structures of modern economies have caused the crisis to spread from one sector or country to other countries or sectors of the economy. Empirical evidence has shown that markets are interconnected and do not move apart. In the present study, a new approach is presented to investigate the contagion effect in Iran stock market. First, with the economic analysis, a network of 36 selected industries of Iran's economy is formed in accordance with the industries active in the stock market and the weight of the edges that connect them is determined according to the input- output table of Iran. In the next step, a correlation network is formed between the stock market indices of these 36 industries by using centrality criteria, Key industries are identified and then attacked. Comparison of the results of the two networks show that only in a limited number of cases in both networks, the basic metals industry, the banking industry, investment and other financial intermediaries, and the agricultural industry have won first place in accordance with a number of centrality criteria. But in other cases, the two networks have not the same results, which shows that economic relations among industries do not dominate their stock market index relations alone. The results of this study help both policymakers and shareholders to make appropriate decisions as soon as they see a crisis in important industries of the stock market.

کلیدواژه‌ها [English]

  • Contagion Effect
  • Stock Market
  • Complex Networks
  • Input-Output Table

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