سرریز تلاطمی بازار نفت در بازار سهام با الگوی نوسانات تصادفی چند متغیره بیزی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار گروه مدیریت و کارآفرینی، دانشکده علوم انسانی، دانشگاه کاشان، کاشان، ایران.

2 دانشجوی دکتری مالی-مهندسی مالی، دانشگاه یزد، یزد، ایران.

چکیده

به دلیل نوسانات چشمگیر بازار نفت و اثرگذاری آن بر شاخص‌های اقتصاد مالی ماهیت و اندازه همبستگی میان بازار نفت و بازارهای مالی از موضوعات مورد توجه محققین و سیاست‌گذارن است. ریشه این توجه در نقشی است که بازارهای مالی در توسعه کشورها دارند. در تحقیقات بسیاری ارتباط بین قیمت‌های نفت و بازار سهام با استفاده از روش‌های مختلف GARCH برداری مورد بررسی قرار گرفته است. در پژوهش حاضر از الگوی تلاطم تصادفی ساختاری بیزی چند متغیره (BMSV) معرفی شده توسط هاروی و دیگران (1994) که جایگزین قدرتمند الگوهای GARCH برداری است به منظور بررسی سرریز تلاطم بازار انرژی (بازده نفت اپک) در بازار سهام ایران استفاده شده است. نتایج نشان دهنده آن است که مدل BMSV بین بازده سهام و بازده نفت وجود سرریز تلاطمی مثبت (0.838) این دو بازار را تایید می‌نماید. بنابراین، وقوع شوک‌های مثبت در قیمت‌های نفت منجر به رشد در شاخص سهام خواهد شد. نتایج این بررسی برای سرمایه‌گذاران در بازار سهام از اهمیت بالایی در امر سرمایه گذاری برخوردار است. بخصوص آنکه مشخص شد بازده سهام با ضریب سرریز تلاطمی بازده نفت همبستگی بالایی دارد. لذا، اخبار بازار انرژی یک عامل کلیدی بسیار با اهمیت در تصمیم‌گیری‌های مربوط به سرمایه‌گذاری در بازار سهام می‌باشد. زیرا استفاده از این اطلاعات منجر به حداقل سازی ریسک سرمایه‌گذاری در بازار سهام می‌شود.

کلیدواژه‌ها

عنوان مقاله [English]

Investigating Spillover between the Oil Markets and Stock Market Volatility using Bayesian Multivariate Stochastic Volatility Model

نویسندگان [English]

  • Ali Farhadian 1
  • Moslem Nilchi 2
1 Assistant Prof., Management and Entrepreneurship Department, Kashan University, Kashan, Iran.
2 Ph.D. Candidate in Finance, Yazd University, Yazd, Iran.
چکیده [English]

One of the major concerns of researchers and policy makers in recent years is the nature and magnitude of the correlation between financial markets and the oil market. The focus is on the role that both markets play in developing countries. The relationship between oil prices and the stock market has been studied in many studies. The methods used to study this issue have been used in the GARCH approach. In this study, using the BMSV model of the multivariate econometric Volatility model introduced by Harvey and others (1994), a survey of the spillover of energy market Volatility (OPEC oil yield) in the Iranian stock market was presented. In the results, BMSV for stock returns-oil returns showed a positive Volatility spillover (0.838) in these two markets. The results of this survey are of great importance to investors in the stock market. In particular, it was found that the amount of Volatility spillover is highly correlated with oil yield. Therefore, the energy market news is a key factor in making decisions on investing in the stock market. Because the use of this information minimizes the risk of investing in the stock market.

کلیدواژه‌ها [English]

  • Energy Economy
  • Volatility
  • Bayesian Structural Multivariate Stochastic Volatility
  • Volatility spillover
  • Oil Market

مراجع

  • رستمی, مجتبی, مکیان, سید نظام الدین. (1398). آزمون ریشه واحد بیزی با لحاظ مشاهدات پرت: مطالعه موردی بازده روزانه 50 شرکت فعال بورس تهران. مدلسازی اقتصادسنجی, 4(3), 59-86. doi: 10.22075/jem.2019.17640.1295
  • Cologni, M. Manera, Oil prices, inflation and interest rates in a structural Cointegrated VAR model for the G-7 countries, Energy Econ. 30 (2008) 856–888.
  • Ajmi, A. N., El-montasser, G., Hammoudeh, S., and Nguyen, D. K. (2014) “Oil Prices and MENA Stock markets: new Evidence from Nonlinear and Asymmetric Causalities During and after the Crisis Period”, Applied Economics, 46(18), 2167-2177. DOI: 10.1080/00036846.2014.896987.
  • Aloui C. and Jammazi, R. (2009) “The effects of crude oil shocks on stock market shifts behaviour: a regime switching approach”, Energy Economics, 31, 789-799. DOI:10.1016/j.eneco.2009.03.009.
  • Apergis, N. and Miller, S. M. (2009) “Do Structural Oil-Market Shocks Affect Stock Prices?” Energy Economics, 31(4), 569–575. DOI:10.1016/j.eneco.2009.03.001.
  • Lin, W.K. Presley, A.O. Micheal, Oil Price Fluctuation, Volatility Spillover and the Ghanaian Equity Market: Implication for Portfolio Management and Hedging Effectiveness, Energy Econ. 42 (2014) 172–182.
  • Babatunde, M.A., Adenikinju, O., and Adenikinju, A.F. (2013) “Oil Price Shocks and Stock Market behaviour in Nigeria”, Journal of Economic Studies, 40(2), 180-202. DOI.org/10.1108/01443581311283664.
  • Bouri, E. and Demirer, R. (2016) “On the Volatility Transmission Between Oil and Stock Markets: a Comparison of Emerging Importers and Exporters”, Economia Politica: Journal of Analytical and Institutional Economics, Forthcoming. DOI 10.1007/s40888-016-0022-6
  • Boyer, M.M. and Filion, D. (2007) “Common and fundamental factors in Stock Returns of Canadian oil and Gas Companies”, Energy Economics, 29, 428–453. DOI:10.1016/j.eneco.2005.12.003.
  • M. Jones, G. Kaul, Oil and stock markets, J. Finance 51 (1996) 463–491
  • Bouri, Return and Volatility Linkages between Oil Prices and the Lebanese Stock Market in Crisis Periods, Energy 89 (2015) 365–371.
  • Ewing, B.T. and Malik, F. (2016) “Volatility Spillovers between Oil Prices and the Stock Market under Structural Breaks”, Global Finance Journal, 29(1), 12-23. DOI:10.1016/j.gfj.2015.04.008
  • Malik, B.T. Ewing, Volatility Transmission between Oil Prices and Equity Sector Returns, Int. Rev. Financ. Anal. 18 (2009) 95–100.
  • Filis, G., Degiannakis, S., and Floros, C. (2011) “Dynamic Correlation between Stock Market and Oil Prices: The Case of Oil-Importing and Oil-Exporting Countries”, International Review of Financial Analysis, 20(3), 152-164. DOI:10.1016/j.irfa.2011.02.014
  • Gatfaoui, H. (2016) “Linking the Gas and Oil Markets with the Stock Market: Investigating the U.S. Relationship”, Energy Economics, 53, 5-16. DOI.org/10.1016/j.eneco.2015.05.021
  • Grieb, T. (2015) “Mean and Volatility Transmission for Commodity Futures”, Journal of Economics and Finance, 39(1), 100–118. DOI 10.1007/s12197-012-9245-8
  • Guesmi, K. and Fattoum, S. (2014) “Return and Volatility Transmission between Oil Prices and Oil-Exporting and Oil-importing Countries”, Economic Modelling, 38(1), 305-310. DOI:10.1016/j.econmod.2014.01.022
  • Hamilton, J. D. (2009) “Understanding Crude Oil Prices”, Energy Journal, 30(2), 179–206. DOI: 10.3386/w14492
  • Hammoudeh, S., Dibooglu, S. and Aleisa, E. (2004), “Relationships among US Oil Prices and Oil Industry Equity Indices”, International Review of Economics and Finance, 13(4), 427-453. DOI: 10.1016/S1059-0560(03)00011-X
  • Huang, R.D., Masulis, R.W., and Stoll, H.R. (1996) “Energy Shocks and Financial Markets”, Journal of Futures Markets, 16(1), 1–27. DOI: 10.1002/ (SICI) 1096-9934(199602)16:1<1::AIDFUT1>3.0.CO; 2-Q
  • Hamilton, Oil and the Macroeconomy since World War II, J. Polit. Econ. 91 (2) (1983) 228–248.
  • Park, R.A. Ratti, Oil Price Shocks and Stock Markets in the U.S. and 13 European Countries, Energy Econ. 30 (2008) 2587–2608
  • I. Miller, R.A. Ratti, Crude Oil and Stock Markets: Stability, Instability and Bubbles, Energy Econ. 31 (2009) 559–568.
  • Jammazi, R. and Aloui, C. (2010) “Wavelet Decomposition and Regime Shifts: Assessing the Effects of Crude Oil Shocks on Stock Market Returns”, Energy Policy, 38(3), 1415–1435. DOI:10.1016/j.enpol.2009.11.023
  • Jones, D.W., Lelby, P.N., and Paik, I.K. (2004) “Oil Price Shocks and the Macroeconomy: What has been learned since 1996?” Energy Journal, 25(4), 1–32.
  • Khalfaoui, R., Boutahar,M., Boubaker, H. (2015) “Analyzing Volatility Spillovers and Hedging between Oil and Stock Markets: Evidence from Wavelet Analysis”, Energy Economics, 49, 540–549. DOI:10.1016/j.eneco.2015.03.023
  • Kilian, L. and Park, C. (2009) “The impact of Oil Price Shocks on the U.S. Stock Market”, InternationalEconomic Review, 50(4), 1267-1287. DOI: 10.1111/j.1468-2354.2009.00568.x
  • Arouri, A. Lahiani, D.K. Nguyen, Return and Volatility Transmission between World Oil Prices and Stock Markets of the GCC Countries, Econ. Model. 28 (2011) 1815–1825
  • M. Hutchison, Structural change and the Macroeconomic Effects of Oil Shocks: Empirical evidence from the United States and Japan, J. Int. Money Finance 12 (6) (1993) 587–606.
  • Maghyereh, A. and Maghyereh, A. (2007) “Oil Prices and Stock Markets in GCC Countries: new Evidence from Nonlinear Cointegration Analysis”, Managerial Finance, 33(7), 449-460. DOI. org/10.1108/03074350710753735
  • Oberndorfer, U. (2009) “Energy prices, volatility, and the Stock Market: Evidence from the Eurozone”, Energy Policy, 37(12), 5787–5795
  • Sadorsky, Correlations and Volatility Spillovers between Oil Prices and the Stock Prices of Clean Energy and Technology Companies, Energy Econ. 34 (2012) 248–255
  • Sadorsky, Oil Price Shocks and Stock Market Activity, Energy Econ. 21 (1999) 449–469
  • Jammazi, Cross dynamics of Oil–Stock Interactions: A Redundant Wavelet Analysis, Energy 44 (2012) 750–777.
  • S. Chen, Do higher oil prices push the stock market into bear territory? Energy Econ. 32 (2010) 490–495.

فایل ها

اشتراک گذاری

ارجاع به این مقاله

آمار