واکنش خطی و غیرخطی بخش‌های بازار سهام به حرکات قیمتی طلا، ارز و نفت

پژوهش های مالی و رفتاری در حسابداری

مقاله 3، دوره 1، شماره 1، شهریور 1400، صفحه 36-54   

نوع مقاله: مقاله پژوهشی

شناسه دیجیتال (DOI): 10.30486/fbra.2021.1932596.1011

نویسندگان

شهناز مشایخ^{* 1}؛ طیبه جمشیدی²

¹دانشیار گروه حسابداری، دانشکده علوم اجتماعی و اقتصادی، دانشگاه الزهرا (س)، تهران، ایران

²دانشجوی دکتری حسابداری، دانشکده علوم اجتماعی و اقتصادی، دانشگاه الزهرا (س)، تهران، ایران

چکیده

هدف این پژوهش بررسی واکنش خطی و غیرخطی بخش‌های بازار سهام به حرکات قیمت طلا، ارز و نفت است. جامعۀ آماری پژوهش شرکت‌های عضو بورس اوراق بهادار تهران است. داده‌های پژوهش طی سال‌های 1389 تا 1399 بررسی شد. داده‌های پژوهش از نوع سری زمانی است و جهت آزمون فرضیۀ پژوهش از روش رگرسیون خطی و غیرخطی استفاده شده است. نتایج نشان داد که در کوتاه‌مدت قیمت سهام در وقفه‌های 1، 3 و 7 اثر مثبت و در وقفه‌های 2، 4، 6 و 8 اثر منفی بر قیمت سهام دورۀ جاری دارد. مطابق با آزمون والد در مجموع قیمت سهام به طور مثبت از وقفه‌های خود تأثیر می‌پذیرد. همچنین در بلندمدت هم شوک مثبت و هم شوک منفی قیمت نفت اثر معنادار بر شاخص سهام دارد، کشش شاخص به قیمت جهانی نفت‌های 1 درصد است. نرخ ارز و طلا برخلاف قیمت نفت، اثری مثبت بر قیمت سهام در ایران دارند. مطابق با نتایج ضرایب برآوردی الگوی غیرخطی نشان می‌دهد قیمت سهام در مجموع به طور مثبت از وقفه‌های خود تأثیر می‌پذیرد.

کلیدواژه‌ها

واکنش‌های خطی و غیرخطی؛ بازار سهام؛ قیمت طلا؛ قیمت ارز؛ قیمت نفت

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