آزمون تجربی تالطم قیمت و سرریز نوسانات بین بازار انرژی )نفت و گاز( و فوالد

نوع مقاله : مقاله پژوهشی

نویسندگان

1 Department of Accounting,, Qeshm Branch, Islamic Azad University

2 Département of Accounting, Faculty of Accounting and Economic, Soth Tehran Branch, Islamic Azad University

3 Department of Accounting. Qeshm Branch, Islamic Azad University

4 Département of Accounting, Islamic, , Azad University,

10.22034/ijissi.2023.2003840.1265

چکیده

وابستگی متقابل بازارها ممکن است باعث شود که نوسانات در یک بازار بر بازار دیگر تأثیر مثبت یا منفی بگذارد. بنابراین، بررسی رفتار نوسانات در بازارهای مالی و علل آن در فرآیندهای قیمت‌گذاری دارایی‌های مالی، اجرای استراتژی‌های پوشش ریسک جهانی و تصمیم گیری ترجیحی سبد دارایی، از اهمیت بالایی برخوردار است. باعنایت به اهمیت این موضوع، پژوهش حاضر باهدف مدل‌سازی تلاطم قیمت انرژی و فولاد و آزمون تجربی سرریز نوسانات بین بازارها با به‌کارگیری مدل GARCH BEKK ، طی بازه زمانی 10ساله 1392-1401 پرداخته شده است. داده‌های پژوهش حاضر، به صورت روزانه از بانک داده‌های جهانی، سایت اطلاع رسانی سکه و ارز، بانک داده‌های اقتصادی و مالی، استخراج و مورد بررسی قرار گرفت؛ سپس با استفاده از آزمون‌های دیکی فولر و فیلیپس پرون، مانایی داده‌ها مورد ارزیابی و پس از آن با استفاده از آزمون گارچ تک متغیره و GARCH BEKK، اثر سرریز نوسانات بین بازار مورد آزمون قرار گرفت. نتایج فرضیه اول حاکی از آن است که بازار انرژی طی دوره مطالعه، دارای تلاطم است. نتیجه فرضیه دوم مشخص شد که اثر تلاطم طی دوره مطالعه، در قیمت فولاد وجود دارد. در نهایت نتیجه فرضیه سوم نشان داد که سرریز نوسانات از قیمت نفت‌وگاز به قیمت فولاد وجود دارد.

کلیدواژه‌ها

موضوعات

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مجله بین‌المللی انجمن آهن و فولاد ایران
دوره 19، شماره 2
اردیبهشت 1402
صفحه 73-83

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