بررسی شبکه سرریز تلاطم سهم‌های شاخص سی شرکت: دوره حباب و سقوط بازار سهام

نوع مقاله : علمی- پژوهشی

نویسندگان

1 دانشجوی دکترای اقتصاد، دانشکده اقتصاد، مدیریت و حسابداری، دانشگاه یزد.

2 دانشیار اقتصاد، دانشکده اقتصاد، مدیریت و حسابداری، دانشگاه یزد .

3 استادیار اقتصاد، دانشکده اقتصاد، مدیریت و حسابداری، دانشگاه یزد.

4 دانشیار مدیریت صنعتی، دانشکده اقتصاد، مدیریت و حسابداری، دانشگاه یزد.

10.30465/jnet.2024.45484.2038

چکیده

بازار سهام از بازارهای مهم برای سرمایه‌گذاری است و شناخت رفتار سهم‌ها در دوره حباب و سقوط بازار، برای سرمایه‌گذاران اهمیت دارد. این پژوهش به بررسی سرریز تلاطم در سهم‌های شاخص سی شرکت به‌عنوان سهم‌هایی با بیش‌ترین ارزش بازار و نقدشوندگی در بازار سهام، با استفاده از آزمون سرریز دیبلدییلماز و تئوری شبکه پیچیده برای دوره زمانی حباب بازار سهام در سال 1399 و دوره سقوط سال‌های 1399 و1400 می‌پردازد. مطابق نتایج در دوره حباب بازار، سهم وپاسار بیش‌ترین گیرنده تلاطم در بازار و سهم کگل ‌بیش‌ترین فرستنده تلاطم در بازار سهام است. در دوره سقوط بازار، سهم خودرو بیش‌ترین فرستنده تلاطم و سهم وبصادر، بیش‌ترین گیرنده تلاطم در شبکه می‌باشد. در دوره حباب بازار، سهم وپاسار و جم دارای کم‌ترین سرریز تلاطم هستند. در دوره سقوط بازار سهام، ترکیب سهم‌های مبین و جم و هم‌چنین جم و پارسان، سهم‌های شپدیس و جم، سهم‌های شخارک و جم، سهم‌های شتران و جم در پرتفولیو دارای کم-ترین یکپارچه‌گی هستند.
طبقه­ بندی jel: C52 ،C51 ،C4

کلیدواژه‌ها

عنوان مقاله [English]

Investigating the spillover network of volatility of index stocks of 30 companies: The bubble period and the crash of the stock market

نویسندگان [English]

  • samaneh bagheri 1
  • Habib Ansari Samani 2
  • mohammad hassan zare 3
  • mojtaba hossini bamakan 4
1 Ph.D. Student in Economics, Faculty of Economics, Management and Accounting, Yazd University
2 Associate Professor in Economics, Department of Economics, Yazd University.
3 Assistant Professor in Economics, Department of Economics, Yazd University.
4 Associate Professor in Industrial Management, Department of Industrial Management, Yazd University
چکیده [English]

The stock market is one of the important markets for investment, and it is important for investors to know the behavior of stocks during the bubble period and the market crash. This research investigates the volatility spillover in the index stocks of 30 companies as stocks with the highest market value and liquidity in the stock market, using the Diebold-Yilmaz spillover test and complex network theory for the time period of the stock market bubble in 2019 and the crash period. It covers the years 2019 and 2019. According to the results during the market bubble period, Vepasar´stock is the most receiver of turbulence in the market and Kegel´ stock is the most sender of turbulence in the stock market. During the period of market collapse, the stock is the most sender of volatility and the stock of exporters is the most receiver of volatility in the network. During the market bubble period, Vepasar and Jam have the least volatility. During th crach of the stock market, the combination of Mobin and Jam stocks, as well as Jam and Parsan´stock, Shapdis and Jam´stock, Shekhark and Jam stocks, Shatran and Jam stocks in the portfolio have the least integration.

کلیدواژه‌ها [English]

  • stock market bubble؛ stock market crash؛ Diebold-ylimaz spillover index؛ complex network theory؛ stock market jel classification: C52
  • C51
  • C4

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  • تاریخ دریافت: 20 اردیبهشت 1402
  • تاریخ بازنگری: 26 مهر 1402
  • تاریخ پذیرش: 29 آبان 1402

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