اثر شاخص فعالیت واقعی اقتصادی جهانی بر شاخص سهام ایران

نوع مقاله : علمی- پژوهشی

نویسندگان

1 دانشجوی دکترای اقتصاد، دانشکده علوم اجتماعی و اقتصادی دانشگاه الزهرا

2 دانشیار گروه اقتصاد دانشکده اقتصاد و علوم سیاسی دانشگاه شهید بهشتی

3 دانشیار گروه اقتصاد دانشکده علوم اجتماعی و اقتصادی دانشگاه الزهرا

10.30465/jnet.2022.42941.1948

چکیده

در مواجهه با تلاطم‌های مکرر بازار سهام که به زیان سرمایه‌گذاران منجر می‌شود، تعیین عواملی که قادر به پیش‌بینی هر چه دقیق‌تر شاخص سهام هستند، ضروری است. این عوامل بستگی به شرایط اقتصادی، سیاسی، اجتماعی، فرهنگی و ... در هر کشوری بستگی دارد. لذا این مطالعه رابطه بین شاخص سهام ایران و فعالیت اقتصادی جهانی را بررسی می‌کند. از این رو، شاخص اقتصادی کیلیان به عنوان شاخصی برای برآورد فعالیت اقتصادی جهانی استفاده می‌شود. پس از تعریف و شیوه محاسبه این شاخص، در ادامه این مقاله به بررسی اثر شوکهای وارد بر فعالیت واقعی اقتصادی بر شاخص سهام ایران می-پردازد. لذا با به کارگیری روش برآورد خودرگرسیون برداری ساختاری(SVAR) طی دوره زمانی 1387:01 تا 1398:03 و استفاده از توابع واکنش آنی و تجزیه واریانس به بررسی اثر متغیر فعالیت اقتصاد جهانی بر شاخص سهام ایران پرداخته شده است. همچنین از متغیرهای قیمت نفت، تولید جهانی نفت و نرخ ارز به عنوان متغیرهای کمکی و موثر بر شاخص سهام استفاده شده است. نتایج توابع واکنش آنی نشان می‌دهد که در کوتاه مدت، شوک‌های فعالیت واقعی اقتصادی جهانی مشخصا از ابتدای دوره تا انتهای دوره اثر مثبت بر شاخص سهام داشته است و به عبارتی شاخص سهام واکنش مثبت به شوک این متغیر نشان داده است.

کلیدواژه‌ها


عنوان مقاله [English]

The effect of global real economic activity index on Iran's stock index

نویسندگان [English]

  • masoumeh dadgar 1
  • vida varahrami 2
  • mir hossein mousavi 3
1 Masoumeh Dadgar, PhD student of development Economics,Corresponding Author, Department of economics, Faculty of social science and economics, Alzahra university
2 Vida Varahrami, Associate Professor, Department of economics, Faculty of economics and politics science, Shahid Beheshti university
3 , Associate Professor, Department of economics, Faculty of social science and economics, Alzahra university
چکیده [English]

In the face of frequent stock market turbulences that lead to losses for investors, it is necessary to determine the factors that are able to predict the stock index as accurately as possible. These factors depend on economic, political, social, cultural, etc. conditions in each country. Therefore, this study examines the relationship between Iran's stock index and global economic activity. Therefore, Kilian's economic index is used as an index to estimate global economic activity. After the definition and calculation method of this index, in the rest of this article, it examines the effect of shocks on real economic activity on Iran's stock index. Therefore, by applying the structural vector autoregression estimation method (SVAR) during the time period from 2001:01 to 2018:03 and using instantaneous response functions and analysis of variance, the effect of the variable of global economic activity on Iran's stock index has been investigated. Also, the variables of oil price, global oil production and exchange rate have been used as auxiliary and effective variables on the stock index. The results of the instantaneous reaction functions show that in the short term, the shocks of real global economic activity have had a positive effect on the stock index from the beginning of the period to the end of the period, and in other words, the stock index has shown a positive reaction to the shock of this variable.

کلیدواژه‌ها [English]

  • Killian Index
  • Global Real Economic Activity
  • Stock Index
  • SVAR
  • oil price JEL Classification: N2
  • G10
  • F65
  • F00
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