بررسی و تحلیل نقش تحریم‌های اقتصادی در سرریز بازده به بازارهای سهام، ارز و سکه طلا

نوع مقاله : مقاله پژوهشی

نویسنده

گروه مدیریت مالی و بیمه ، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران.

چکیده
هدف: شناسایی و کمی‌سازی اثرات سرریز در بازارهای مالی یکی از مباحث مهم  علم مالی می‌‍باشد. با آگاهی از کانال‌های سرریز و اندازه‌گیری اثرات سرریز در بازارها می‌توان از اختلالات و بی‌نظمی در بازارها جلوگیری کرد و با برقراری شرایط ثبات و آرامش در بازارها زمینه رشد و توسعه اقتصادی را فراهم نمود. با توجه به شرایط حاکم بر کشور و تحریم‌های اقتصادی گوناگون از سوی کشورهای غربی حال سوال این است که در شرایط متفاوت تحریم‌های اقتصادی اثرات سرریز به بازارها چگونه است؟ لذا جهت پاسخ به سوال فوق هدف این پژوهش بررسی و سنجش اثر سرریز بازده دردوره‌های متفاوت تحریم‌های اقتصادی است.
روش‌شناسی پژوهش: در این پژوهش داده‌های روزانه مربوط به بازارهای سهام ، ارز و سکه طلا طی دوره زمانی 14/09/1387 الی 11/10/1401 با استفاده از مدل VARMA-AGARCH مورد بررسی و تحلیل قرار گرفت. برای بررسی دقیق‌تر نقش تحریم‌ها در سرریز بازده، دوره‌های پژوهش به چهار دوره شامل دو دوره تحریمی شدید (دوره‌های دوم و چهارم پژوهش) و دو دوره تحریمی غیر شدید (دوره‌های اول و سوم پژوهش) دسته‌بندی شدند.
یافته‌ها: نتایج این پژوهش  نشان دهنده  رابطه مستقیم و مثبت بین شدت تحریم‌های اقتصادی با افزایش اثر سرریز بازده در بازارها است که با گردش سرمایه‌ها در بازارهای مختلف موجبات بی‌ثباتی و بی‌نظمی در بازارها را فراهم می‌کند.
اصالت/ارزشافزوده علمی: این پژوهش با استفاده از یک روش جدید و نوآورانه  به بررسی و اندازه‌گیری اثر سرریز بازده تحت شرایط متغیر تحریم می‌پردازد که این شرایط متغیر تحریمی می‌تواند به‌عنوان یک عامل موثر در نوسانات بازده در بازارهای مختلف مورد توجه قرار گیرد.

کلیدواژه‌ها

موضوعات


عنوان مقاله English

Investigating and analyzing economic sanction roles in return spillover to stock, currency, and gold coin markets

نویسنده English

Mohammad Bagher Mohammadi Nejad Pashaki
Department of Financial and Insurance Management, Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran.
چکیده English

Purpose: Identification and quantification of spillover effects in financial markets is one of the most important topics in financial knowledge. By understanding the spillover channel and measuring spillover effects in financial markets, we can prevent disorder and disruption in markets and, by stabilizing markets, promote economic growth and welfare. In the present situation of the country and amid separate economic sanctions from Western countries, this question arises: how does the spillover effect differ across different economic sanctions scenarios? The purpose of this paper is to answer this question and investigate the spillover effect across different economic sanction periods.      
Methodology: In this order, we collect daily data on the stock, currency, and gold coin markets for the period 2009 to 2021, applying the VARMA-AGARCH model for analysis and surveying. To provide a more precise survey of the sanction role in return spillover, we divided the research period into 4 subperiods: 2 with harsh sanctions and 2 without.
Findings: Results present a direct, positive relation between the intensity of sanctions and the return spillover effect, causing instability and disorder in markets through capital shifts across markets. So we conclude that sanctions play a very important role in return spillovers across different periods of research.
Originality/Value: Using a new and innovative method, this research examines and measures the return spillover effect under variable sanctions conditions, which can be considered an effective factor in return fluctuations across markets.

کلیدواژه‌ها English

Economic sanction
Return spillover
Currency market
Gold coin market
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