چکیده:
هدف: در دهههای اخیر، افزایش سرعت انتقال اطلاعات و درهمتنیدگی بازارها موجب افزایش همگرایی و اثرگذاری بازارهای مالی بر یکدیگر شده است. امروزه پیدایش اثرهای سرریز در یک بازار، به اثرهای سرریز در سایر بازارها منجر خواهد شد. تشخیص صحیح اثرهای سرریز وارده به بازارهای مالی، جهت مدیریت و کنترل نوسانها بسیار حائز اهمیت است. هدف این پژوهش، اندازهگیری و تحلیل اثرهای سرریز بین بازارهای سهام، ارز، طلا و کامودیتی است.
روش: بدین منظور، دادههای روزانه مربوط به شاخص سهام، نرخ ارز (دلار)، قیمت طلا و فلزات اساسی، طی دوره زمانی 12ساله، از ابتدای سال 1388 تا پایان سال 1399 با استفاده از مدل VARMA-BEKK-AGARCH بررسی و سنجیده شد.
یافتهها: نتایج حاصل از برآورد مدل سرریزی یکسویه بازده از نرخهای ارز، طلا و کامودیتی به سهام و سرریز یکسویه شوک از کامودیتی به سهام و سرریز یکسویه نوسان از سهام به نرخ ارز را نشان میدهد. همچنین نتایج نشاندهنده اثرهای اهرمی شوکها بهصورت دوسویه بین نرخهای ارز و طلا و بهصورت یکسویه از سهام به نرخ ارز است.
نتیجهگیری: با توجه به ارتباط معکوس بین سهام و طلا، ایجاد پرتفوی متشکل از سهام و طلا، جهت کاهش اثرهای ریسک سرریز مفید است و به سرمایهگذاران جهت کاهش ریسک سرمایهگذاری کمک میکند. همچنین با توجه به تایید شوکهای وارده از سهام به بازار ارز، مدیریت بازار سهام و جلوگیری از نوسانهای شدید جهت کنترل بازار ارز توصیه میشود.
Objective: In recent years, the increasing speed of information transfer and market connectedness has caused markets to converge and affect each other. The spillover effect occurs when the return or volatility of one market cause fluctuation in another market or other markets. Nowadays every shock or volatility from one market affects others. Properly identifying the effects of spillover on financial markets is crucial for managing and controlling fluctuations. This paper aims to measure and analyze the nexus and spillover effects among the stock market, currency market, gold market, and commodity market. Methods: In this study, the researchers selected some variables like the stock market, currency market, gold market, and commodity market and for better analyses of these variables, they used daily returns of the stock index, currency (dollar), gold, and commodity for 12 years, starting from January 1, 2009, to December 31, 2020. Next, they applied the VARMA-BEKK-AGARCH Model to measure and estimate the spillover effects. The model is very strong and robust for measuring and examining the return and volatility spillovers between markets. Results: Results achieved from the estimation model showed unidirectional return spillovers from the gold, dollar, and commodity to the stock index, unidirectional shock spillover from commodity to the stock index, and unidirectional volatility spillover from the stock index to currency. Also, the leverage effect of shock was proved as bidirectional between currency and gold and unidirectionally from stock to currency. Conclusion: According to the obtained results and considering the inverse relationship between stocks and gold, creating a portfolio consisting of stocks and gold seems useful to reduce the effects of risk spillover and helps investors to reduce their investment risk. Regarding the confirmation of shocks from stocks to the foreign exchange market, to control the foreign exchange market, it is recommended to manage the stock market and prevent severe fluctuations. Depending on the established flexibility and interaction among markets, shock and volatility spillover may have three outcomes. First, when markets are flexible and with a good and coherent relationship, the hitting negative shocks transmit among them making no damage to the markets. Second, when markets are inflexible but the relationship among them is weak, the negative shocks would damage one but would have not any effects on other markets. Third, when markets are inflexible but the relationship among them is good and coherent, negative shocks hitting one market not only damages that market but also harm those connected to it. Therefore, to diminish and modify the effects of shock and volatility spillover on the markets, markets need to be improved and enhanced from the two established aspects of flexibility and relationship among them.