دوره 11، شماره 42 - ( 12-1399 )                   سال11 شماره 42 صفحات 119-156 | برگشت به فهرست نسخه ها

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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. 2021; 11 (42) :119-156
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

URL: http://jemr.khu.ac.ir/article-1-2112-fa.html


چکیده:   (577 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.
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نوع مطالعه: كاربردي | موضوع مقاله: رشد و توسعه و سیاست های کلان
دریافت: 1399/9/3 | پذیرش: 1399/11/28 | انتشار: 1400/1/31

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