سرریز میان بازار ارز و صنایع منتخب بورس اوراق بهادار تهران: مبتنی بر رویکرد VAR-BEKK-GARCH

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار، گروه مالی، واحد تهران مرکزی، دانشگاه آزاد اسلامی، تهران، ایران.

2 کارشناسی ارشد، گروه مالی، واحد تهران شمال، دانشگاه آزاد اسلامی، تهران، ایران.

3 دکتری، گروه اقتصاد، دانشگاه مازندران، بابلسر، ایران.

4 دکتری، گروه مالی، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران.

چکیده

هدف پژوهش حاضر، بررسی سرریز میان بازار ارز و صنایع منتخب بورس اوراق بهادار تهران است. جامعۀ آماری این پژوهش شامل بازار ارز ایران و صنایع فلزات اساسی، محصولات شیمیایی و فرآورده‌های نفتی پذیرفته شده در بورس اوراق بهادار تهران در بازۀ زمانی 1391 لغایت 1401 و در سه دورة تحریم، برجام و پسابرجام است. برای آزمون فرضیه‌ها نیز از روش‌شناسی مبتنی بر مدل VAR-BEKK-GARCH استفاده شده است. نتایج نشان داد که در دورۀ تحریم، سرریز نوسان به صورت دوطرفه بین صنعت فلزات اساسی و بازار ارز و یک‌طرفه از بازار ارز به محصولات شیمیایی و فرآورده‌های نفتی وجود داشته است. همچنین، در دورۀ برجام، سرریز نوسان بین صنعت فلزات اساسی و بازار ارز و محصولات شیمیایی و بازار ارز وجود ندارد، در صورتی که سرریز نوسان بین فرآورده‌های نفتی و بازار ارز به صورت دو طرفه وجود داشته است. در دورۀ پسابرجام سرریز یک‌طرفه از بازار ارز به صنعت فلزات اساسی و دوطرفه بین صنعت محصولات شیمیایی و بازار ارز وجود داشته است. به علاوه، بین صنعت فرآورده‌های نفتی و بازار ارز در این دوره سرریز نوسانی مشاهده نشده است. از آنجا که سرریز تلاطم بین بازارها نشان‌دهندة وابستگی بالا بین آن‌ها است، با ایجاد ثبات نسبی در بازارها، می‌توان شاهد ایجاد تعادل بود. از این رو، تبین جامع و دقیق روابط میان بازارهای مالی در حوزه سیاست‌گذاری اقتصادی و مالی نیز می‌تواند مورد توجه سیاست‌های مالی دولت در سطح کلان و نهاد ناظر بازار سرمایه قرار گیرد.

کلیدواژه‌ها

عنوان مقاله [English]

Spillover Between Currency Market and Selected Industries of Tehran Stock Exchange: Based on the VAR-BEKK-GARCH Approach

نویسندگان [English]

  • Mojtaba Rostami Noroozabad 1
  • Ahmad Noei 2
  • Milad Shahrazi 3
  • Saman Rahmani Noroozabad 4
1 Assistant Prof., Department of Finance, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
2 MSc., Department of Finance, North Tehran Branch, Islamic Azad University, Tehran, Iran.
3 Ph.D., Department of Economics, Mazandaran University, Babolsar, Iran.
4 Ph.D., Department of Finance, Science and Research Branch, Islamic Azad University, Tehran, Iran.
چکیده [English]

The purpose of this research is to investigate the spillover between the foreign exchange market and selected industries of the Tehran Stock Exchange. The statistical population of this research includes Iran's foreign exchange market and basic metal industries, chemical products and petroleum products accepted in the Tehran Stock Exchange in the period of 2013 to 2014 and in three periods of sanctions, JCPOA and post-JCPOA. The methodology based on the VAR-BEKK-GARCH model has also been used to test the hypotheses. The results showed that during the embargo period, there was a two-way spillover between the base metal industry and the foreign exchange market and one-way from the foreign exchange market to chemical products and petroleum products. Also, during the JCPOA period, there is no fluctuation overflow between the basic metals industry and the foreign exchange market and chemical products and the currency market, while there is a two-way fluctuation fluctuation between the petroleum products and the foreign exchange market. In the post JCPOA period, there has been a one-way spillover from the foreign exchange market to the basic metals industry and a two-way spillover between the chemical products industry and the foreign exchange market. In addition, no fluctuations have been observed between the oil products industry and the currency market in this period. Since the overflow of turbulence between the markets shows a high dependence between them, by establishing relative stability in the markets, we can witness the creation of balance. Therefore, the comprehensive and accurate explanation of the relationships between financial markets in the field of economic and financial policy can also be considered by the financial policies of the government at the macro level and the capital market supervisory body.

کلیدواژه‌ها [English]

  • Currency Market
  • Tehran Stock Exchange
  • Volatility Spillover
  • Multivariate GARCH

مراجع

Aftab, M., Ahmad, R., Ismail, I. and Phylaktis, K. (2021). Economic integration and the currency and equity markets nexus. International Journal of Finance and Economics, 26, 5278-5301.
Bahmani-Oskooee, M. and Saha, S. (2015). On the relation between stock prices and exchange rates: a review article. Journal of Economic Studies, 42(4), 707-732.
Bouri, E., de Boyrie, M. E., & Pavlova, I. (2017). Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries. International Review of Financial Analysis, 49, 155–165.
Cakan, E. and Ejara, D.D. (2013). On the relationship between exchange rates and stock prices: evidence from emerging markets. International Research Journal of Finance and Economics, 111: 115-124.
Chang, H. W., Chang, T., & Wang, M. CH. (2024). Revisit the impact of exchange rate on stock market returns during the pandemic period. North American Journal of Economics and Finance, 70, 1-10.
Chkili, W., Neguyen, D. (2014). Exchange rate movements and stock market returns in a regime- witching environment: evidence for BRICS countries. Res. Int. Bus. Finance, 31, 46–56.
Chkili, W., Neguyen, D. (2014). Exchange rate movements and stock market returns in a regime-switching environment: evidence for BRICS countries. Res. Int. Bus. Finance, 31, 46–56.
Dehbashi, V., Mohammadi, T., Shakeri, A., & Bahrami, J. (2020). The Responses of Stock, Gold and Foreign Exchange Markets to Financial Shocks: VAR-MGARCH Approach. Iranian Journal of Economic Research, 25(83), 1-27. (In Persian)
Ding, L. (2021). Conditional correlation between exchange rates and stock prices. The Quarterly Review of Economics and Finance, 80, 452-463.
Doong, S., Yang, S. Y., & Wang, A. (2005). The dynamic relationship and pricing of stocks and exchange rates: Empirical evidence from Asian emerging markets. Journal of American Academy of Business, 7(1), 118–123.
Dourandish, A., Shariat, E., & Arzande, N. (2014). The Study of Volatility Spillover Effects of the Exchange Rate on Agricultural Industry Index Listed on The Stock Exchange. Journal of Agricultural Economics and Development, 28(2), 177-184.
El-Diftar, D. (2023). The impact of exchange rates on stock market performance of the Emerging 7. Journal of Capital Markets Studies, 7(2), 125-139.
Erdogan, S., Gedikli, A., Çevik, E. I. (2020). Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries. Borsa _Istanbul Review, 20(4), 322-333.
Feng, Q., Sun, X., Liu, C., & Li, J. (2021). Spillovers between sovereign CDS and exchange rate markets: The role of market fear. The North American Journal of Economics and Finance, 55, Article 101308.
Feng, Q., Wang, Y., Sun, X., Li, J., Guo, K., & Chen, J. (2022). What drives cross-border spillovers among sovereign CDS, foreign exchange and stock markets? Global Finance Journal, 100773.
Francis, B.B., Hunter, D.M., Hasan, I. (2002). Return-volatility linkages in the international equity and currency markets. Bank of Finland Discussion Paper No. 9/2002.
Hosseinioun, N. S., Behname, M., & Ebrahimi Salari, T. (2016). Volatility Transmission of the Rate of Returns in Iranian Stock, Gold and Foreign Currency Markets. Iranian Journal of Economic Research, 21(66), 123-150. (In Persian)
Huang, W. Q., & Liu, P. (2023). Cross-market risk spillovers among sovereign CDS, stock, foreign exchange and commodity markets: An interacting network perspective. International Review of Financial Analysis, 90(2), 25-36.
Hung, N.T. (2019). An analysis of CEE equity market integration and their volatility spillover effects. Eur. J. Manag. Bus. Econ.
Hung, N.T. (2019). Equity market integration of China and Southeast Asian countries: fur-ther evidence from MGARCH-ADCC and wavelet coherence analysis. Quant. Financ. Econ.3 (2), 201–220.
Hung, N.T. (2020). Volatility spillovers and time-frequency correlations between Chinese and African stock markets. Reg. Stat.10 (02), 63–82.
Inci, A. C., & Lee, B. S. (2011). Dynamic relations between stock returns and exchange rate changes. European Financial Management, 20(1), 71–106.
Jawaid, S.T. and Ui Haq, A. (2012). Effects of interest rates, exchange rate and their volatilities on stock prices: evidence from banking industry of Pakistan. Theoretical and Applied Economics, 8, 153-166.
Jebran, K., Iqbal, A. (2016). Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian countries. Financ. Innov.2 (3), 1–20.
Kanas, A. (2000). Volatility spillovers between stock returns and exchange rate changes: international evidence. J. Bus. Finance Account.27 (3–4), 447–467.
Keshavarz Haddad, G., Ebrahimi, S. B., & Jafar Abadi, A. (2011). Volatility and Return Transmission among Cement Industry Stock Prices: An Application of Multivariate FIGARCH Modeling in High Frequency Financial time Series. Iranian Journal of Economic Research, 16(47), 129-162. (In Persian)
Khan, M.K. (2019). Impact of exchange rate on stock returns in shenzhen stock exchange: analysis through ARDK approach. International Journal of Economics and Management, 1(2), 15-26.
Khiabani, N, & Dehghani, M. (2014). The Role of Oil Market in Explaining the Volatility of Gold and Foreign Exchange (Dollars/Euro) Markets. Iranian Economic Research, 19(58), 207-238. (In Persian)
Kiliç, R. (2016). Regime-dependent exchange-rate pass-through to import prices. International Review of Economics and Finance, 41, 295-308.
Lakshmanasamy, T. (2021). The relationship between exchange rate and stock market volatilities in India: ARCH-GARCH estimation of the casual effects. International Journal of Finance Research, 2(4), 245-259.
Lin, C. H. (2012). The comovement between exchange rates and stock prices in the Asian emerging markets. International Review of Economics and Finance, 22(1), 161–172.
Lindman, S., Tuvhag, T., Jayasekera, R., Uddin, G. S., & Troster, V. (2020). Market Impact on financial market integration: Cross-quantilogram analysis of the global impact of the euro. Journal of Empirical Finance, 56, 42–73.
Maysami, R.C., Howe, L.E. and Hamzah, M.A. (2004). Relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of Singapore’s all-S sector indices. Jurnal Pengurusan, 24, 47-77.
Mechri, N., Ben Hamad, S., Peretti, C.D. and Charfi, S. (2018). The Impact of Exchange Rate Volatilities on Stock Market Dynamics: Evidence from Tunisia and Turkey. SSRN, available at: https://ssrn.com/abstract53304040.
Mohseni, H, & Sadeghi Shahdani, M. (2019). Exchange Rate Volatility Spillovers to Iran Capital Market. Journal of Applied Theories of Economics, 6(1), 77-96. (In Persian)
Mouna, A. and Anis, J. (2017). Stock market, interest rate and exchange rate risk effects on non financial stock returns during the financial crisis. Journal of the Knowledge Economy, 8, 898-915.
Moussa, F. and Delhoumi, E. (2021). The asymmetric impact of interest and exchange rate on the stock market index: evidence from MENA region. International Journal of Emerging Markets, 17(10), 1746-8809.
Ngene, G. M., Hassan, M. K., & Alam, N. (2014). Price discovery process in the emerging sovereign CDS and equity markets. Emerging Markets Review, 21, 117–132.
Nieh, C. C., & Lee, C. F. (2001). Dynamic relationship between stock prices and exchange rates for G-7 countries. The Quarterly Review of Economics and Finance, 41(4), 477–490.
Nikoomaram, H., Pourzamani, Z., & Dehghan, A. (2015). Spillover Effect the on Contest Import & Export oriented industries. Financial knowledge of securities analysis, 8(25), 1-18. (In Persian)
Nusair, S. A., & Olson, D. (2022). Dynamic relationship between exchange rates and stock prices for the G7 countries: A nonlinear ARDL approach. J. Int. Financ. Markets Inst. Money, 78, 1-20.
Qing, Y.K. and Kusairi, S. (2019). The effect of money supply, exchange rate, and interest spread toward the performance of stock market in Malaysia. Widyakala Journal, 6(2), 142-149.
Sakti, M. R. P., & Harun, M. D. Y. (2013). Relationship between islamic stock prices and macroeconomic variables: Evidence from Jakarta stock exchange islamic index. Global Review of Islamic Economics and Business, 1(1), 71-84.
Sefidbakht, E., & Ranjbar, M. H. (2017). Volatility Spillover between Oil Price, Exchange Rates, Gold Price and Stock Market Indexes with Structural Breaks. Financial Engineering and Portfolio Management, 8(33), 51-87. (In Persian)
Sichoongwe, K. (2016). Effects of exchange rate volatility on the stock market: the Zambian experience. Journal of Economics and Sustainable Development, 7(4), 114-119.
Sikhosana, A., & Aye, G. C. (2018). Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa. Economic Analysis and Policy, 60, 1-8.
Sui, L., Sun, L. (2016). Spillover effects between exchange rates and stock prices: evi-dence from BRICS around the recent global financial crisis. Res. Int. Bus. Finance. 36, 459–471.
Sun, X., Wang, J., Yao, Y., Li, J., & Li, J. (2020). Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective. International Review of Financial Analysis, 68, Article 101271.
Tsai, I. C. (2012). The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach. Journal of International Financial Markets, Institutions and Money, 22(3), 609–621.
Tudor, C., & Popescu-Dutaa, C. (2012). On the causal relationship between stock returns and exchange rates changes for 13 developed and emerging markets. Procedia, 57, 275–282.
Tule, M., Dogo, M., Uzonwanne, G. (2018). Volatility of stock market returns and the naira exchange rate. Contents lists available at, 35, 97-105.
Wong, H. T. (2017). Real exchange rate returns and real stock price returns. International Review of Economics and Finance, 49, 340-352.
Wong, H. T. (2022). The impact of real exchange rates on real stock prices. Journal of Economics, Finance and Administrative Science, 27(54), 262-276.
Wong, H.T. (2018). Volatility spillovers between real exchange rate returns and real stock price returns in Malaysia. International Journal of Finance and Economics, 24, 131-149.
Wu, R.S. (2005). International transmission effect of volatility between the financial mar-kets during the Asian financial crisis. Trans. Stud.12, 19–35.

فایل ها

هم رسانی

ارجاع به این مقاله

آمار