هم‌حرکتی بین قیمت نفت و بازده بازار سهام ایران: رویکرد تجزیه و تحلیل موجک

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استاد گروه اقتصاد، دانشکدۀ علوم اقتصادی و اجتماعی، دانشگاه بوعلی‌سینا، همدان، ایران

2 استادیار گروه اقتصاد، دانشکدۀ علوم انسانی، دانشگاه آیت الله بروجردی، بروجرد، ایران

10.22084/aes.2021.24350.3303

چکیده

در اقتصاد ایران بخش نفت از جایگاه قابل توجهی برخوردار است؛ به طوری که تغییرات قیمت نفت، بخش­ها و بازارهای مختلف اقتصادی از جمله بازار سهام را تحت تاثیر قرار می­دهد. بازار سهام از بازارهای مهم مالی است که به­صورت بالقوه می­تواند در شکل یک مجرای کارآ پس­انداز و نقدینگی­های سرگردان کشور را جذب و با تبدیل آن به سرمایه­گذاری، رشد و توسعه اقتصادی را بهبود بخشد. بنابراین بررسی ارتباط بین قیمت نفت و عایدی بازار سهام کشور مهم و ضروری است. با توجه به اهمیت موضوع، هدف پژوهش حاضر بررسی هم­حرکتی بین قیمت نفت اوپک و عایدی بازار بورس تهران است. برای تجزیه و تحلیل ارتباط بین دو متغیر از رویکرد همدوسی موجک و داده­های روزانه طی دوره 2009-2021 استفاده شده ­است. یافته­ها نشان می­دهند بین قیمت نفت و عایدی بازار سهام رابطه مثبتی وجود دارد. تحلیل داده­ها در مقیاس زمانی سالانه حاکی است طی دوره 2011 - 2009 قیمت نفت و عایدی بازار سهام هم فاز هستند و رابطه مثبتی بین آنها مشاهده می­شود؛ از دسامبر 2011 تا آگوست 2015 هر دو متغیر هم فاز هستند و قیمت نفت عامل حرکت بازار سهام است. در دوره زمانی 2015 تا 2021 هر دو متغیر هم فاز هستند، اما همدوسی بین قیمت­ نفت و بازده بازار سهام مشاهده نمی­شود.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Co-Movement Between Oil Price and Iranian Stock Market Returns: Wavelet Analysis Method

نویسندگان [English]

  • Mohammad HaSsan Fotros 1
  • Reza Maaboudi 2
1 Professor, Department of Economics, Faculty of Economic and Social Sciences, Bu Ali Sina University, Hamadan, Iran
2 Assistant Professor, Faculty of Humanities, Ayatollah Borujerdi University, Borujerd, Iran
چکیده [English]

In the Iranian economy, the oil sector has a significant position; So that changes in oil price affect various economic sectors and markets, including the stock market. The stock market is one of the principal financial markets that can potentially attract the country's uncontrolled savings and liquidity in the form of an efficient channel and improve economic growth and development by turning it into investment. Therefore, it is essential to examine the relationship between oil price and Iran's stock market returns. Given the importance of the issue, the purpose of this paper is to investigate the co-movement between OPEC oil price and returns of the Tehran Stock Exchange market. To analyze the relationship between two variables, applied the wavelet coherence approach and utilized daily data during the period of 2009-2021. Findings show there is a positive correlation between oil prices and stock market returns. Comparison of the data in annual time-frequency scale indicated that the oil price and stock market returns are in phase from 2009 to 2011, and is observed a positive relationship between them. From December 2011 to August 2015, both variables are in phase, and oil price is the leading factor in the stock market. During the period 2015 to 2021, both variables are in phase, but coherency between oil price and stock market returns is not observed.

کلیدواژه‌ها [English]

  • Oil Price
  • Tehran Stock Exchange’s Return
  • Wavelet Analysis Method
  • coherence
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