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ارتباط رژیم های ارزی و بازار سرمایه در ایران | ||
راهبرد مدیریت مالی | ||
مقاله 1، دوره 11، شماره 1 - شماره پیاپی 40، فروردین 1402، صفحه 1-24 اصل مقاله (872.85 K) | ||
نوع مقاله: مقاله پژوهشی | ||
شناسه دیجیتال (DOI): 10.22051/jfm.2023.39842.2668 | ||
نویسندگان | ||
مهدی داوری1؛ محمد حسن نژاد* 2؛ محمد اسماعیل فدایی نژاد2 | ||
1مدیریت مالی و بیمه، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران | ||
2گروه مدیریت مالی و بیمه، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران | ||
چکیده | ||
هدف پژوهش حاضر ارائه مدلی برای شناسایی بهتر الگوی اثرات نرخ ارز بر بازار سرمایه و پیشبینی یک و دو سال آینده بازار سرمایه ایران بر اساس رژیمهای ارزی است. در این راستا با استفاده از 4 معیار تشخیصی حداکثردرستنمایی، آکائیک، شوارتز و حنانکوئین، میزان تناسب مدلهای دو و سه رژیمی انتقال مارکوف با نوسانات نرخ ارز و رابطه نوسانات نرخ ارز و بازار سرمایه مقایسه شده و در ادامه با استفاده از ویژگیهای مدل مارکوف به پیشبینی بازار سرمایه پرداخته می شود. نتایج پژوهش حاکی از آن است که مدل سهرژیمی از مدل دو رژیمی در تشخیص الگوی اثرات نرخ ارز بر بازار سرمایه بسیار بهتر عمل میکند. بر اساس یافته های پژوهش اگر بازار ارز دچار نوسان شدید باشد افزایش نرخ ارز حتما باعث افزایش بازده بازار سرمایه می شود اما در شرایط ثبات بازار ارز، اثر این متغیر بر بازار سرمایه می تواند مثبت یا منفی باشد. با توجه به احتمال های برآورد شده انتظار می رود در سال های آینده شاهد اثر مثبت نرخ ارز بر بازار سرمایه در فضایی کم نوسان باشیم. | ||
کلیدواژهها | ||
بازار سرمایه؛ رژیم های ارزی؛ مدل انتقال رژیم مارکوف | ||
عنوان مقاله [English] | ||
The Relationship between Exchange Rate Regimes and Capital Market in Iran | ||
نویسندگان [English] | ||
Mehdi Davari1؛ Mohammad Hasannejad2؛ Mohammadesmaeel Fadaeinezhad2 | ||
1Financial management and insurance group, Management and accounting faculty, Shahid Beheshti University, Tehran, Iran | ||
2financial management and insurance, accounting and management faculty, Shahid beheshti university, tehran, iran | ||
چکیده [English] | ||
providing a model for better identifying the pattern of exchange rate effects on the capital market and forecast the next one and two years of the Iranian capital market is The purpose of this study. In this regard, using 4 specification criteria (Maximum likelihood, Akaik, Schwartz and Hannan Quinn) we compare the fitness of two-regime Markov switching Model(2R-MSM) with three-regime Markov switching model(3R-MSM) relating to exchange rate fluctuations and the relationship between exchange rate fluctuations and capital market. Afterward we forecast the regime for relationship of exchange rate and capital market. results show in recognizing the pattern of exchange rate effects on the capital market, 3R-MSM outperforms 2R-MSM. According to the research findings, if the foreign exchange market fluctuates severely, an increase in the exchange rate will certainly increase capital market return, but when foreign exchange market is almost stable, the effect of this variable on the capital market can be positive or negative. According to the estimated probabilities, in the coming years we are expected to see a positive effect of the exchange rate on the capital market in a low volatility environment. | ||
کلیدواژهها [English] | ||
Capital Market, Exchange Rate Regimes, Markov Switching Model | ||
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