نوع مقاله : مقاله پژوهشی

نویسندگان

1 دکتری اقتصاد مالی، دانشکده اقتصاد، دانشگاه سیستان و بلوچستان، سیستان و بلوچستان، زاهدان، ایران.

2 دانشیار اقتصاد، دانشکده اقتصاد، دانشگاه سیستان و بلوچستان، سیستان و بلوچستان، زاهدان، ایران

3 کیانا زینتی، کارشناس ارشد مدیریت صنعتی دانشگاه آزاد اسلامی واحد تبریز، تبریز ، ایران.

چکیده

معرفی:
بسیاری از سری­های زمانی اقتصادی و مالی به ویژه قیمت­های سهام مراحلی را گذرانده­اند که به نظر می­رسد رفتار آن­ها در آن مراحل به طور قابل ملاحظه­ای تغییر کرده است. علاوه بر این مطلب، توجه به ارتباط بین بازارهای مختلف به ویژه ارتباط بازارهای داخلی و بین­المللی برای بررسی رفتار متغیرهای مختلف اقتصادی و سری­های زمانی آن­ها حائز اهمیت است. با وجود اهمیت بررسی رابطه بین سه متغیر قیمت نفت خام، قیمت طلا و شاخص قیمت سهام، متاسفانه در داخل کشور تاکنون مطالعات کافی در این مورد انجام نشده است.
متدولوژی:
هدف اصلی این پژوهش، بررسی رابطه بین قیمت طلا، نفت و شاخص قیمت سهام بازار بورس اوراق بهادار تهران در تناوب ها و دامنه­های زمانی مختلف است. بنابراین در این پژوهش همبستگی بین بازار سهام، نفت خام و طلا با چارچوب چندمتغیره بررسی شده است که در این چارچوب همبستگی تناوب­های زمانی نیز در نظر گرفته شده است. علاوه بر این با توجه به اینکه مطالعات پیشین بیشتر بر اثرات نااطمینانی یک متغیر بر متغیرهای دیگر به صورت مجزا تاکید داشته­اند و به بررسی اثرات هم­زمان چندین متغیر بر متغیر دیگر نپرداخته­اند در این مطالعه تلاش شده است ارتباط بین سه متغیر فوق، در قالب ارتباط هم­زمان و با استفاده از تحلیل موجک بررسی شود. بعبارتی هدف اصلی این مقاله بررسی این مطلب است که آیا شاخص قیمت سهام بازار بورس تهران با قیمت دارایی­های بین­المللی نفت و طلا ارتباط دارد یا خیر؟ و آیا رابطه مقطعی بین سه متغیر مذکور در زمان­های مختلف و مناطق مختلف زمانی تغییر کرده است.
در راستای هدف مقاله، علاوه بر استفاده از تحلیل موجک و بررسی هم­بستگی چندگانه[1]، از روش آزمون­های علیت گرنجر و هم­انباشتگی نیز استفاده شده است. به منظور بررسی هم­انباشتگی از آزمون هم­انباشتگی جوهانسون استفاده شده است.  متغیرهای استفاده شده در این پژوهش داده­های روزانه سری­های زمانی قیمت طلا، قیمت نفت خام و شاخص قیمت سهام بازار بورس تهران از ژانویه 2003 تا می 2016 است.
یافته ها:
نتایج بدست آمده از این تحقیق (تحلیل­های حاصل از نرم افزار R) بدین صورت است: 1- سه سری زمانی فوق، در سرتاسر دوره همبستگی معنی­داری دارند. 2- رابطه بین بازار سهام در ایران و بازارهای بین­المللی نفت خام و طلا در مقیاس­های زمانی مختلف تغییر کرده است. 3- بر اساس نتایج هم­بستگی موجک شاخص قیمت سهام و قیمت نفت خام، در تناوب­های بالای 128 تا 1024 روز در تمام دوره (سال های 2003 تا 2016) همبستگی بالایی وجود دارد این موضوع نشان از هم­بستگی موقت بین شاخص قیمت سهام و قیمت نفت خام است  که در کوتاه­مدت نوسان می­کند. 4- بر اساس نتایج هم­بستگی موجک شاخص قیمت سهام و قیمت طلا، نواحی هم­بستگی زیادی در تناوب­های بالای 128 تا 1024 روز در کل دوره وجود دارد این موضوع نشان از هم­بستگی موقت بین شاخص قیمت سهام و قیمت طلا است که در کوتاه­مدت نوسان می­کند.
نتیجه:
 بنابراین با توجه به نتایج این تحقیق می­توان نتیجه گرفت دارایی نفت و طلا برای پوشش ریسک شاخص قیمت سهام مناسب نیستند و ساخت پورتفوی متشکل از این سه دارایی، پورتفوی مناسبی نیست چرا که تغییرات قیمت این متغیرها همبستگی معنی داری دارد. علاوه بر این موارد می­توان نتیجه گرفت در دنیای واقعی عوامل دیگری بر شاخص قیمت سهام اثرگذارند که شناسایی آن­ها و بررسی آن­ها در تحقیقات آتی پیشنهاد می­شود.
 
[1] . Multiple wavelet coherence

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Investigation Time–frequency co-movement between the Tehran Stock Price Index and prices of oil and gold using Multiple Wavelet Coherence

نویسندگان [English]

  • azam mohammadzadeh 1
  • Mohammad nabi shahiki tash 2
  • Kiana zinati 3

1 PhD in Financial Economics, university of Sistan and Baluchestan, Zahedan, Iran.

2 Associate Professor of Economics, University of Sistan and Baluchestan, Zahedan, Iran.

3 Master of Industrial Management, financial trends, Islamic Azad university Tabriz Branch.

چکیده [English]

INTRODUCTION
Many economic and financial time series, especially stock prices, have gone through stages in which their behavior seems to have changed significantly. This change in behavior in time series may be over time in terms of the mean value, variance, or covariance of the current values of the time series with its past values. Today, the analysis of a market separately from other markets is almost invalid and analysts need to conduct their analysis based on the relationships between different markets. In addition, it is important to pay attention to the relationship between different markets especially the relationship between domestic and international markets to study the behavior of different economic variables and their time series.
 
 
METHODOLOGY
Oil, gold and stock markets are complex, time-varying, nonlinear and multivariate economic systems that are affected by various factors such as political, military, economic, and supply and demand factors. And these few studies have focused on GARCH, VAR,… econometric methods that are based on linear regressions. Despite the importance of examining the relationship between the three variables of crude oil price, gold price, and stock price index, unfortunately insufficient studies have been done in this country. Given that the time series of crude oil, gold prices, and stock price indices are a combination of components of different cycles, the relationship between these variables has changed over time, and examining these variables separately provides only partial and perhaps misleading information. Therefore, in contrast to previous research, the correlation between the stock market, crude oil and gold has been investigated with a multivariate framework, in which the correlation of time intervals has been considered. In addition, due to the fact that previous studies have emphasized the effects of uncertainty of one variable on other variables separately and have not examined the simultaneous effects of several variables on another variable, in this study, the relationship between the three variables has been investigated in the form of simultaneous communication using wavelet analysis. The main purpose of this study is to investigate the relationship between the price of gold, oil and the stock price index of the Tehran Stock Exchange in different periods and time periods. In other words, in this research, we seek to answer these questions  whether the stock price index of Tehran Stock Exchange is related to the price of international oil and gold assets and whether the cross-sectional relationship between the three variables has changed at different times and in different time zones. In line with the purpose of this article, in addition to using wavelet analysis and multiple correlation analysis, Granger causality and co-integration tests have also been used. The Johansson co-integration test was used to examine co-integration. The variables used in this research are daily time series data  of gold price, crude oil price and stock price index of Tehran Stock Exchange from January 2003 to May 2016.
 
FINDINGS
The results obtained from this research (from R software) are as follows: 1- The above three time series have a significant correlation throughout the period. 2- The relationship between the stock market in Iran and the international markets of crude oil and gold has changed at different time scales. 3- Based on the results of the wavelet correlation of stock price index and crude oil price, in periods higher than 128 to 1024 days in the whole period (2003 to 2016) there is a high correlation. This issue indicates a temporary correlation between stock price index and crude oil price that fluctuates in the short term. 4- Based on the results of the correlation between the stock price index and the gold price, there are large correlation zones at intervals above 128 to 1024 days throughout the period. This issue indicates a temporary correlation between the stock price index and the gold price, which fluctuates in the short term.
 
 
 
 
CONCLUSION
Therefore, according to the results of this study, it can be concluded that oil and gold assets are not suitable to cover the risk of stock price index and building a portfolio consisting of these three assets is not a good  one because the price changes of these variables have a significant correlation. In addition, it can be concluded that in the real world, other factors affect the stock price index, which are suggested to be identified and studied in future research.

کلیدواژه‌ها [English]

  • stock price index
  • Gold price
  • Wavelet Analysis
  • Multiple Wavelet Coherency
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