رابطۀ‌ بین مداخلات غیردارویی دولت‌ طی دورۀ شیوع ویروس کووید-19 با بازار سهام ایران: نقش واکسیناسیون عمومی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشیار گروه اقتصاد، دانشکدۀ علوم اقتصادی و اداری، دانشگاه مازندران، بابلسر، ایران.

2 دانشجوی دکتری اقتصاد، گروه اقتصاد، دانشکدۀ علوم اقتصادی و اداری، دانشگاه مازندران، بابلسر، ایران.

3 کارشناسی ارشد اقتصاد، گروه اقتصاد، دانشکدۀ مهندسی پیشرفت، دانشگاه علم و صنعت، تهران، ایران.

چکیده

درپی شیوع ویروس کووید-19 در اواخر سال 2019م. دولت‌ها برای مقابله با گسترش روزافزون این ویروس از یک‌سری سیاست‌های سخت‌گیرانه و مداخلات غیردارویی (NPI) نظیر فاصله‌گذاری اجتماعی و قرنطینه‌های اجباری استفاده نموده و لذا روند معاملات بازارهای جهانی، ازجمله بازار سهام، به‌شدت تحت‌تأثیر قرار گرفت. در ادامه، شروع واکسیناسیون عمومی، صنایع و گروه‌های مختلف را تحت‌تأثیر قرار داد و منجر به ایجاد تغییراتی در معاملات بازار سهام کشورها، ازجمله بورس اوراق بهادار تهران گردید. پژوهش حاضر با به‌کارگیری الگوی غیرخطی رگرسیون انتقال ملایم (STR) و داده‌های روزانه طی دورۀ زمانی همه‌گیری کووید- 19 (30 بهمن 1398 تا 10 دی 1401) به بررسی نقش واکسیناسیون عمومی در رابطۀ بین سیاست‌های مداخله‌گرانۀ دولت‌ با بازار سهام کشور ایران می‌پردازد. در پژوهش حاضر با تکیه‌بر آزمون‌های کشف رفتار غیرخطی، وجود رابطۀ غیرخطی بین مداخلات دولت‌ و شاخص بازار سهام تأیید شد، متغیر تعداد افراد واکسینه‌شده به‌عنوان متغیر انتقال مناسب انتخاب گردید و مدل غیرخطی رگرسیون انتقال ملایم با تابع انتقال لاجستیک دو رژیمی با یک‌بار انتقال (LSTR1) به‌عنوان الگوی پیشنهادی برای این رابطه درنظر گرفته شد. نتایج حاصل از برآورد الگوی پژوهش نشان می‌دهد که افزایش اقدامات سخت‌گیرانۀ دولت در قالب یک ساختار دو رژیمی با سطح آستانه‌ای 20857 تعداد افراد واکسینه‌شده در رژیم اول (یعنی زمانی‌که تعداد افراد واکسینه‌شده کمتر از مقدار آستانه‌ای خود (20857) است) بر شاخص بازار سهام اثر مثبت و معنادار داشته است، اما با عبور از سطح آستانه و وارد شدن به رژیم دوم (یعنی زمانی‌که تعداد افراد واکسینه‌شده بیشتر از مقدار آستانه‌ای خود (20857) است) متغیر یاد شده بر شاخص بازار سهام تأثیر منفی و معناداری داشته است. 

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

The Relationship Between the Government’s Non-Pharmaceutical Interventions During the Period of the Spread of the Covid-19 Virus and the Iran Stock Market: The Role of Public Vaccination

نویسندگان [English]

  • Mahdieh Rezagholizadeh 1
  • Hossein Jafari 2
  • Morteza Abdolhosseiny 3
1 Associate Professor, Department of Economics, Faculty of Economics Sciences and Administrative, University of Mazandaran, Babolsar, Iran
2 PhD student in economics, Department of Economics, Faculty of Economics Sciences and Administrative, University of Mazandaran, Babolsar, Iran
3 MA. in Economics, Department of Economics, Faculty of Advance Engineering, University of Science and Technology, Tehran, Iran.
چکیده [English]

Following the spread of the Covid-19 virus at the end of 2019, governments have used a series of strict policies and non-pharmaceutical interventions (NPI) such as social distancing and mandatory quarantines to deal with the increasing spread of this virus, and therefore the trading process of global markets, Including the stock market, it was severely affected. In the following, the start of public vaccination affected various industries and groups and led to changes in stock market transactions of countries, including the Tehran Stock Exchange. The present study, by applying the Smooth transmission regression (STR) nonlinear model and daily data during the period of the Covid-19 epidemic (30 February 2018 to 10 January 2018), investigates the role of public vaccination in the relationship between the interventionist policies of the government and the stock market. In the present study, relying on tests to detect nonlinear behavior, the existence of a nonlinear relationship between government interventions and the stock market index was confirmed, the variable of the number of vaccinated people was selected as a suitable transition variable, and the nonlinear smooth transition regression model with a two-regime logistic transfer function With one transfer (LSTR1) was considered as the proposed model for this relationship. The results of the estimation of the research model show that the increase of strict measures of the government in the form of a two-regime structure with a threshold level of 20857, the number of vaccinated people in the first regime (that is, when the number of vaccinated people is less than the threshold value (20857)) had a positive and significant effect on the stock market index, but after crossing the threshold level and entering the second regime (that is, when the number of vaccinated people is greater than its threshold value (20857)), the mentioned variable had a negative and significant impact on the stock market index.

کلیدواژه‌ها [English]

  • Stock Market
  • Stringency Index
  • Covid-19
  • Smooth Transition Regression (STR)

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فصلنامه مطالعات اقتصادی کاربردی ایران
دوره 13، شماره 50
مرداد 1403
صفحه 169-199

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