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بررسی ارتباط بین گروه بانکها، خودرو، سیمان، فلزات اساسی و فرآوردههای نفتی در بورس اوراق بهادار تهران به تفکیک شرایط با بازدهی مثبت و منفی با استفاده از الگوی Asymmetric TVP-VAR | ||
| راهبرد مدیریت مالی | ||
| مقاله 4، دوره 12، شماره 1 - شماره پیاپی 44، فروردین 1403، صفحه 69-86 اصل مقاله (502.31 K) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22051/jfm.2024.43995.2830 | ||
| نویسندگان | ||
| وحید امیدی* 1؛ سهیل رودری2؛ امیر جمشیدی3 | ||
| 1استادیار گروه اقتصاد، دانشکده علوم اقتصادی و اداری، دانشگاه قم، قم ایران. | ||
| 2دکتری اقتصاد، دانشکده علوم اداری و اقتصادی، دانشگاه فردوسی، مشهد، ایران | ||
| 3دانشجوی دکتری اقتصاد، دانشکده اقتصاد و علوم اجتماعی، دانشگاه شهید چمران، اهواز، ایران | ||
| چکیده | ||
| ارتباط گروههای صنعتی مختلف در تعیین سبد بهینه سرمایهگذار اهمیت زیادی دارد. اگر مشخص شود کدام گروه در چه بازه زمانی و در چه بازدهی انتقال دهنده ریسک یا پذیرنده ریسک است میتوان در پروتفوی سرمایهگذار تعدیلات لازم جهت دستیابی به بیشترین بازدهی را اعمال کرد. به این منظور در مطالعه پیش روی شیوه اثرگذاری گروههای بانکها، خودرو، سیمان، فلزات اساسی و فرآوردههای نفتی در بازه 05/01/1394 تا 17/02/1402 در حالت تقارن، بازدهی مثبت و بازدهی منفی مورد بررسی قرار گرفته است. نتیجه مطالعه بیانگر آن است که در سالهای اخیر شاخص کل ارتباط گروههای ذکر شده در بازدهی منفی بیش از بازدهی مثبت بوده است. همچنین، بانکها و فلزات اساسی نقش هدایت کننده و انتقال دهنده ریسک به سایر گروهها را داشتهاند. از سوی دیگر، گروه خودرو و فراوردههای نفتی پذیرنده ریسک بودهاند و بازدهی آنها توسط دو گروه بانکها و فلزات اساسی قابل توضیح است | ||
| کلیدواژهها | ||
| Asymmetric TVP-VAR؛ پورتفو؛ بازدهی؛ بورس اوراق بهادار تهران | ||
| عنوان مقاله [English] | ||
| Investigating The Relationship Between Bank, Automotive, Cement, Base Metals, And Petroleum Products in Tehran Stock Exchange in Positive and Negative Return by Asymmetric TVP-VAR | ||
| نویسندگان [English] | ||
| Vahid Omidi1؛ Soheil Roudari2؛ Amir Jamshidi3 | ||
| 1Assistant Professor, Department of Economics, Faculty of Economic and Administrative Sciences, University of Qom, Qom, Iran. | ||
| 2PhD in Economics, Faculty of Administrative and Economic Sciences, Ferdowsi University, Mashhad, Iran | ||
| 3PhD Student in Economics, Faculty of Economics and Social Sciences, Shahid Chamran University, Ahvaz, Iran | ||
| چکیده [English] | ||
| The interplay between various industrial groups plays a crucial role in determining the optimal investment portfolio for investors. Identifying which group carries or accepts risk within a specific time period and performance range allows for necessary adjustments in the investor's portfolio to achieve maximum returns. In this regard, the present study examines the impact of banking, automotive, cement, basic metals, and petroleum products groups on a symmetric, positive, and negative performance basis from January 5, 2015, to February 17, 2023. The results of the study indicate that in recent years, the overall index of these mentioned groups has shown more negative performance than positive performance. Moreover, banks and basic metals have acted as guiding and risk-transferring entities to other groups. On the other hand, the automotive and petroleum products groups have been risk-accepting, and their performance can be explained by the two groups of banks and basic metals. | ||
| کلیدواژهها [English] | ||
| Asymmetric TVP-VAR, Portfolio, Return, Tehran Stock Exchange | ||
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